机构投资者异质预期下IPO配售策略

发布时间：2018-06-22 01:00

本文选题：机制设计 + 异质预期　；参考：《经济与管理研究》2016年04期

【摘要】：本文运用机制设计理论研究风险规避的机构投资者异质预期下IPO配售策略。研究表明:在承销商具有自主配售权的条件下,存在一个门槛值,当所有机构投资者揭示的私人信息小于这一门槛值时,将不能获配,新股全部配售给散户投资者;当机构投资者揭示的私人信息大于这一门槛值时,机构投资者获配的数量随私人信息的增强即报价的提高而增加,具体配售数量为满足特定方程的解。同时发现当机构投资者同质预期时,门槛值大于异质预期下的门槛值,说明承销商通过提高获配门槛值对机构投资者合谋进行惩罚,配售方案为机构投资者之间同比例配售。最后,结合中国新股发行实践,分析了IPO配售策略的适用性,说明了自主配售权受限的缺点。
[Abstract]:In this paper, the mechanism design theory is used to study the IPO placement strategy under heterogeneous expectations of institutional investors. The research shows that under the condition that the underwriter has the right of independent placing, there is a threshold value, when all the private information revealed by the institutional investors is less than this threshold, the new shares will not be allocated and all the new shares will be distributed to the retail investors; When the private information revealed by institutional investors is greater than this threshold, the amount allocated to institutional investors increases with the increase of private information, that is, the increase of quotation, and the specific quantity of placing is the solution of the specific equation. At the same time, it is found that when institutional investors have homogeneous expectations, the threshold is higher than the threshold under heterogeneous expectations, indicating that underwriters punish institutional investors collusion by raising the allocated threshold, and the placement scheme is the same proportion between institutional investors. Finally, the applicability of IPO placement strategy is analyzed based on Chinese IPO practice, and the limitation of independent placement rights is explained.
【作者单位】：重庆大学经济与工商管理学院;
【基金】：国家社会科学基金重大项目“开放经济条件下我国虚拟经济运行安全法律保障研究”(14ZDB148)
【分类号】：F832.51

【相似文献】