异质信念与随机需求IPO定价模型——基于承销商视角的理论与数值模拟  

Heterogeneous Belief and Stochastic Demand IPO Pricing Model:Based on the Underwriter Perspective and Numerical Simulation

作　　者：张永林[1] 田业钧[1] 

机构地区：[1]北京师范大学经济与工商管理学院

出　　处：《投资研究》2013年第3期114-122,共9页Review of Investment Studies

摘　　要：本文从承销商利润最大化角度,构建IPO随机需求模型,研究异质需求风险对IPO发行价格和抑价的影响机制并进行数值模拟。研究表明:承销商具有有意抑价的激励,抑价是对投资者提供真实需求信息的一种利益让渡,也是合理定价的必要条件;均衡的发行价格取决于投资者之间的意见分歧程度以及机构投资者对新股需求的概率分布特征;当机构投资者对新股价值存在分歧时,分歧越大IPO抑价越高,但预期的抑价率不变。本文从承销商角度揭示的IPO价格形成机制对中国进行的新股发行制度改革具有一定参考价值。We model the pricing decision of an underwriter that manages a book-built IPO and faces a stochastic downward sloping demand curve for the finn＇s IPO shares. The study shows, the underwriter intends to incentive underpricing, underwrit- ers transferring the interests to institutional investors. The issue price depends on the divergence between the investors and insti- tutional investors demand characteristics. When the underwriters and the institutional investors have divergence to IPO price, the more divergence, the lower IPO price, but the expected underpricing is stable. The model that reveals IPO price formation and underpricing mechanism from the perspective of underwriters is important to IPO system reform in China.

关 键 词：异质信念 随机需求定价模型 最优IPO价格 抑价 

分 类 号：F224[经济管理—国民经济] F832.51