超额配售选择权下的发行定价策略  

Study of Pricing Strategy in IPO with Green-shoe Option

作　　者：刘钰善[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院金融工程研究中心,上海200052

出　　处：《系统管理学报》2009年第5期492-499,共8页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70772067);教育部"新世纪优秀人才支持计划"项目

摘　　要：以我国引入超额配售选择权的新股发行流程为基础,将发行定价策略分为热销策略和弱销策略进行分析和求解,并用具体算例进行比较。结果表明,承销商制定的发行价格直接关系到超额发售比例以及超额配售权的执行比例,选择最优发行定价策略时应根据具体的参数以及对上市初期价格的估计,通过比较2种策略的期望收益来决定。算例进一步说明,当上市初期价格的预期不是很高时,选择弱销策略最优;当预期上市初期价格过高时,承销商会选择热销策略。Based on the schedule of IPO with green-shoe option in China, we classify the IPO pricing into hot-IPO strategy and weak-IPO strategy to analyze and find the solution. A numeric sample is developed to compare the two strategies. The results show that both the fraction of over-sold shares and the fraction of green-shoe to exercise are dependent on the offering price determined by the underwriter. To choose the optimal pricing strategy, the specific parameters and the estimation of initial aftermarket price should be considered, and the expectation of underwriter＇s profit using the two strategies should be compared. Furthermore, the numerical sample indicates that weak-IPO strategy is optimal when the estimation of initial aftermarket price is not too high while hot-IPO strategy is optimal in case of very high expectation of initial aftermarket price.

关 键 词：新股发行 超额配售选择权 定价策略 热销策略 弱销策略 

分 类 号：F830.91[经济管理—金融学]