有限理性监管、初步询价和IPO定价效率  

Regulation under Bounded Rationality,Preliminary Inquiry and the Efficiency of IPO Pricing

作　　者：陆蓉[1] 韩东进[1] 

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《经济管理》2010年第5期16-23,共8页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目"基金治理与投资者利益保护研究"(70803027);上海市哲学社会科学规划项目"证券投资基金投资者利益保护研究"(2008BJB004);上海市教委曙光计划项目"基金治理问题根源与金融财富的不和谐分配"(08SG34);上海财经大学研究生科研创新基金项目"非理性监管;利益博弈和IPO异常询价"(CXJJ-2009-329)

摘　　要：在询价机制中加入初步询价阶段是我国累计投标询价机制区别于国际通行做法的主要特征。作为定价源头,初步询价为定价提供了最重要信息。本文从询价规则本身合理性出发,研究了初步询价在定价程序中的关键作用。研究发现,监管者的有限理性导致询价规则本身存在缺陷;由初步询价得到的初始价格区间主要受到询价家数、筹资额和市场整体回报影响,研究结果不同于成熟市场的结论;由于询价规则存在歧视性分配机制缺失、发行价受到控制和初步询价报价无有效约束等缺陷,初步询价没有改善定价效率。It is a unique feature of book-building including a preliminary inquiry process in China. As a source of pricing, preliminary inquiry provides the most important information that would affect pricing. We study the key function of the preliminary inquiry on pricing based on the rationality of the rule. The theoretical and empirical study shows that irrational behaviors of the regulators results in some initial defects of the rules. The initial price range derived from preliminary inquiry would be affected by the number of the bidders, the financing amount and the market conditions. The efficiency of pricing has not been improved yet with the present preliminary inquiry mechanism in China due to the absence of allocation discrimination, listing price control and none valid constrains on preliminary inquiry quotations.

关 键 词：有限理性监管 初步询价 累计投标询价 IPO定价 

分 类 号：F832.5[经济管理—金融学]