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不同发行机制下IPO抑价比较研究

, PP. 35-42

Keywords: 发行机制,异质预期,抑价

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Abstract:

?在CARA模型的基础上,构建不同发行机制下IPO定、抑价模型,研究投资者异质预期对IPO抑价的影响,并进行抑价比较分析。研究表明,固定价格和询价发行都不能消除IPO抑价;在两种发行方式下,投资者异质预期越大,IPO抑价也越高;当两种发行机制下投资者的异质预期相同时,与固定价格发行相比,询价发行机制下IPO抑价更低,从而具有更高的定价效率;若询价下投资者的异质预期更大时,异质预期引起的抑价增大,IPO抑价可能比固定价格发行更高。最后,通过数值分析论证了本文结论,并从投资者异质的角度解释了询价发行下也可能导致IPO高抑价的原因。

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