新股询价配给规则与IPO价格形成的进化博弈分析

针对新股询价“价高者得”的配给规则，本文提出与之相对应的“价近者得”规则，运用进化博弈理论，对询价对象群体建立单群体模仿者动态模型，分析两种规则下询价对象的报价行为和新股发行价格的形成，并采用2009年6月到2010年10月我国中小企业板市场发行的新股数据，对两种规则下询价对象的进化稳定策略进行数值分析。结果表明，当询价对象预期抑价率均值足够大时，“价高者得”规则下询价对象有高报价的倾向，而“价近者得”规则下询价对象倾向于合理报价，改变我国现行“价高者得”的新股分配规则，采取“价近者得”的规则有助于提高IPO询价效率。

Evolutionary Game Analysis of the Allocation Rules and IPO Price Formation in Bookbuilding

At present, the essence of allocation rules in bookbuilding is that the one who offers the highest price obtains the stock. In this work, another principal is proposed that the one who offers the closest price obtains the stock. A one-group replicator dynamic model for the inquiry institution investors is established based on evolutionary game theory, and institutional investors' bidding behavior, IPO price formation in bookbuilding under the present highest price principle and the proposed closed pricing principal are investigated. Additionally, China SME Board IPO data from June 2009 to October 2010 are selected for subsequent numerical analysis of the ESS (Evolutionary stable strategy) under the two principles. It is shown that, when the expected mean of IPO underpricing is large enough, the inquiry institution investors will tend to choose high bidding under the highest pricing principle, and reasonable bidding under the closest principle. Thus proposed principle in this paper is then potentially capable to increase the efficiency of IPO bookbuilding if the current IPO allocation rule is changed.