询价对象报价行为与IPO价格形成的进化博弈  

Evolutionary game of institutional investors' bidding behavior and IPO price formation

作　　者：姜婷[1,2] 周孝华[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030 [2]重庆师范大学经济与管理学院,重庆401331

出　　处：《系统工程学报》2015年第5期642-649,共8页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70972055)

摘　　要：在新股定价窗口指导淡化的前提下,采用进化博弈理论对询价对象群体建立单群体模仿者动态模型,分析了新股询价过程中询价对象报价行为和新股发行价格的形成.模型的分析表明,询价对象的报价行为及IPO价格的形成与询价对象对新股抑价率的先验估计有关.询价对象群体存在三种不同的进化稳定策略:询价对象群体中高报价和低报价同时存在,承销商定价较合理;询价对象倾向于选择高报价,承销商的定价也偏高;询价对象倾向于选择低报价,或者不参与新股询价,承销商的定价也偏低.询价对象对新股抑价率先验估计的均值与方差间的关系将会影响博弈结果.Under the premise that IPO pricing window guidance is canceled, the author establishes an one- group replicator dynamic model of the inquiry institution investors, and analyzes the institutional investors＇ bidding behavior and the IPO price formation in bookbuilding. The results indicate that the institutional investors＇ bidding behavior and the IPO price formation are both related with the investors＇ priori estimate of IPO underpricing. The inquiry institution investors have three different ESS （evolutionary stable strategies）. The first ESS is that high bidding and low bidding will both exist in the inquiry institution investors, and the underwriter＇s pricing will be reasonable. The second ESS is that the investors will tend to choose a high bid- ding, and the underwriter＇s pricing will be high. The last ESS is that the investors will tend to choose a low bidding or not to participate in the inquiry, and the underwriter＇s pricing will be low. Relationship between the mean and variance in the priori estimate of the IPO underpticing can affect the results of the game.

关 键 词：进化博弈 询价对象报价 IPO价格 

分 类 号：F830.91[经济管理—金融学]