新股询价发行中的配售规则对IPO抑价的影响

以机构投资者追求期望效用最大化为目标,求解出了他们在两种不同询价规则,即询价前和询价后确定机构投资者IPO配售比例下的最优报价策略,进而建立了IPO定价和抑价模型.对模型的分析表明,为规避IPO申购中的“赢者诅咒”问题和追求更高的期望抑价,机构投资者有隐藏真实需求的激励.而引入供给不确定性可以阻止投资者采用极端的需求隐藏策略,从而消除确定供给情形下可能存在的部分高抑价区间,因此具有更高的询价效率.

The Effect of the Allocation Regulations upon IPO Underpricing under Bookbuilding

On the objective of maximizing the institutional investors' expected utility,this paper works out their optimal bidding strategies under two difference bookbuilding regulations that is,to decide the institutional investors' IPO allocation shares before and after their bidding.Furthermore,we establish the IPO pricing and underpricing models.Our analysis indicates that institutional investors have incentive to shade their demands in order to avoiding the "Winner's Curse" and pursuing higher expected IPO underpricing.Supply uncertainty could prohibit the extreme demand reduction and eliminate some high underpricing section which may exist under the condition of certain supply,So,it has higher IPO bookbuilding efficiency.