机构投资者串谋、IPO抑价与定价策略分析

研究存在信息更新的情况下,机构投资者完全串谋对IPO定价的影响。通过对初次询价阶段的分析,给出机构投资者的报价策略;通过对累积投标询价阶段的分析,给出发行方的最优定价策略。研究表明,配售比例、市场信息质量、参与申购人数、机构投资者的风险厌恶程度以及私人信息质量均会影响首次发行价格,并且认为机构投资者串谋是引起IPO抑价程度加深的原因之一。分析表明,发行方可以通过控制配售比例降低串谋对IPO定价的影响。最后,通过数值分析对上述观点做了进一步的阐释。

Collusion of Institutional Investors,IPO Underpricing and Bidding Strategies

This paper studies the effect of institutional investors’ collusion on the IPO pricing under the conditions of rational expectations of the institutional investors.We first give the bidding strategies of institutional investors in initial inquiry stage.Then,we give the issuer’s optimal pricing strategies in bidding inquiry stage.The results show that the placement ratio,the quality of market information,the number of people participating in purchase,institutional investors’ risk aversion and private information quality all influence the initial issue price;and the collusion of institutional investors is one of the reasons that causes IPO underpricing,to increase.We suggest that the issuers should reduce the effect of collusion on IPO pricing by controlling the proportion of placement.Finally,we test the results by comparing static analysis.