IPO定价机制选择和制度改进——基于全局信号的信号博弈研究  

IPO pricing mechanism and its improvement:From the perspective of signaling game and global signal

作　　者：赵墨非 徐翔[2,3] 李涛 ZHAO Mo-fei;XU Xiang;LI Tao(School of Economics and Management,Beihang University,Beijing 100191,China;School of Economics,Central University of Finance and Economics,Beijing 100081,China;China Center for Internet Economy Research,Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]中央财经大学经济学院,北京100081 [3]中央财经大学中国互联网经济研究院,北京100081

出　　处：《管理科学学报》2022年第10期57-75,共19页Journal of Management Sciences in China

基　　金：国家社会科学基金资助重大项目(21ZDA032);国家自然科学基金青年科学基金资助项目(72103016);中央财经大学科研创新团队支持计划项目。

摘　　要：高效率、高质量的股票首次公开发行(IPO)是一国资本市场平稳健康发展的重要标志.世界范围内,IPO主要采取询价制和拍卖制两种形式.已有研究认为,拍卖制在价格发现上更为有效.然而在现实中,询价制却被绝大多数资本市场采用.本文构建了一个含全局信号的信号博弈模型,用于模拟IPO发售期间投资银行和投资者的价格发现和信息传递过程,分析投资银行的发售机制选择如何影响信息传递,进而影响投资者的预期、出价以及IPO的最终收益.模型结果显示,该博弈模型唯一可通过D1标准筛选的均衡是投资银行始终采取询价制进行IPO的混同均衡.本文还发现,投资银行在路演过程中提供的信息越准确,路演覆盖的投资者范围越广,IPO的定价越有效,抑价率越低.基于模型结果本文建议,应结合询价制的路演模式与拍卖制的最终认购方式,以同时发挥询价制的信息沟通优势和拍卖制的低抑价率,实现资本市场体制增效,更好地服务于实体经济.The healthiness of IPO market lays the foundation of a healthy financial market.Two mainstream methods for IPO are book-building and auction.Most literature believe that auction is superior in price discovery and efficiency;nevertheless,the book-building has taken the lead and is chosen by more capital markets in reality.This paper builds a signaling model to characterize the decision-making process of investment banks in the IPO process.Global signals are used to model the information structure of IPO;the incentives of investment banks are analyzed and their further implications on investors’decisions and underpricing are examined.The results show that the only PBE of the model that satisfies divinity criterion is a pooling equilibrium in which every investment bank chooses the book-building method.The empirical simulations and tests show that underpricing is negatively related to the coverage of the road show and the accuracy of the information provided by the investment bank.An IPO mechanism that combines the information advantage of book-building method and the low underpricing of auction method are prosposed,so as to better serve the capital market as well as the real economy.

关 键 词：询价制 拍卖制 全局信号 信号博弈 

分 类 号：F830.91[经济管理—金融学]