询价制下IPO定价的演化博弈分析

基于网下询价过程中发行人、投资者与承销商的策略选择,构建IPO定价演化博弈模型,分析中国询价制下IPO定价过程中发行人、投资者与承销商策略行为的演化均衡过程,结果表明不同策略下的收益差异决定了三者的演化稳定策略：1）如果发行人如实报告并不能得到相匹配的收益,那么之后的上市公司在披露信息时将选择粉饰业绩,进而导致IPO市场出现"逆向选择"问题;2）投资者是追求风险报价还是价值报价,取决于新股发行定价与上市后价格之间的净抑价,因而只有压缩风险报价下的净抑价空间,才可能使投资者回归价值报价;3）对于承销商来说,一方面承销收入激励其提高新股发行价,另一方面声誉约束其高定价,因而只有当掠夺的抑价利益不能够抵消声誉损失时,其才采取让渡定价策略,否则采取掠夺定价策略。

Evolutionary Game Analysis of IPO Pricing in Book-building

As an important part of IPO, IPO pricing has always been one of the concerns in the capital market. Book-building has been widely proved to be highly efficient in the United States and other developed countries, but it has costed problems frequently in the operation of the Chinese stock market. The classic theories in related filed usually assume that the interests of the issuer and the underwriter are unified, and only the game within the group of investors has been studied. Differently, it is believed that the IPO pricing under the book-building is the result of multi-parties game and it is necessary to study the IPO pricing problem with the strategic choices of the issuers, investors and underwriters in the process of book-building. Based on this new perspective, an evolutionary game model of IPO pricing is built. With the model, evolutionary equilibrium processes of strategic behaviors of issuers' information disclosure, investors' bids and underwriters' pricing ways during IPO pricing in Chinese book-building are analyzed. The results show that the different payoff determines evolutionary equilibrium strategies of participants. 1) If issuers could not get matched payoff when they truthfully report their information, the follow-up companies would choose the strategy of dressing up economic performance and further, adverse selection would occur in IPO market. 2) Whether investors chase risk bidding or value bidding depends on net underpricing between offering price and aftermarket price. Only when net underpricing is compressed, could investors bid in accordance with value. 3) Underwriter would raise the offering price to gain more income and meanwhile, reputation could restrict the behavior of asking a high price. Only when the predatory profit could not offset reputation losses, would underwriters adopt the strategy of delivered pricing. Otherwise, the strategy of predatory pricing would be adopted. The evolutionary equilibrium process of the strategy choices of the issuer, investor and underwriter in the IPO pricing process is simulated using MATLAB,and the consistent results have been obtained. This paper helps to understand the internal mechanism of the Chinese book-building in theory profoundly, and it can provide some reference for deepening the reform of the new issue and pricing system in practice, and also a positive supplement to the existing related research.