IPO定价机制的信息产生能力、定价效率与市场表现——拍卖与累计投标的实验比较

发布时间：2018-05-17 09:31

本文选题：IPO + 拍卖　；参考：《经济管理》2013年09期

【摘要】：本文运用建模和实验方法,对统一价格拍卖、歧视性拍卖和累计投标的信息产生能力、定价效率和市场表现进行比较研究。研究表明,累计投标更能激励投资者搜集信息,拍卖机制更能揭示投资者的信息。累计投标的抑价率最高,发行价均值最接近股票价值。拍卖机制高估股票真实价值,但能将股票配置给估价较高的投资者。累计投标下投资者能获得较高的收益,二级市场运行更平稳。拍卖机制下存在赢者诅咒和更大的市场泡沫。总体上看,累计投标在信息产生能力、定价准确性和市场平稳性方面优于拍卖机制。
[Abstract]:By using modeling and experimental methods, this paper makes a comparative study on the information generation ability, pricing efficiency and market performance of unified price auction, discriminatory auction and cumulative bidding. The research shows that the accumulative bidding can encourage investors to collect information and auction mechanism can reveal investors' information. The accumulative bid underpricing rate is the highest and the average issue price is the closest to the stock value. The auction mechanism overestimates the real value of stocks, but allocates them to investors with higher valuations. Investors can obtain higher returns under the cumulative bid, and the secondary market will run more smoothly. There is a winner-curse and a bigger market bubble under the auction mechanism. In general, the cumulative bidding is superior to the auction mechanism in terms of information generation ability, pricing accuracy and market stability.
【作者单位】：南开大学中国公司治理研究院;
【基金】：国家自然科学基金重点项目“我国集团企业跨国治理与评价研究”(71132001) 国家社会科学重大招标课题“完善国有控股金融机构公司治理研究”(10zd&035)
【分类号】：F830.91;F224

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