基于私人和公共信息精度IPO定价的期望效用模型研究

在指数效用函数下,提出了基于私人信息和公共信息精度的IPO最优发行价和发行股份额的期望效用模型，并对最优解进行了求解和分析．研究结果表明：发行价格与申请发行股份数量负相关．发行价格随着公司基本价值条件期望的增加而增加，随着条件方差的增加而减小；噪音信息和调整成本，都将导致发行价格的部分调整；私人信息和公共信息都对股票发行价格和发行数量产生影响；随着私人和公共信息精度的增加，纳入到发行价格中信息的比例将增加：股份发行数量的调整与私人和公共信息存在着正相关关系．

IPO Pricing Expected Utility Model Based on Private and Public Information Precision

Under the condition of index utility function, this paper proposes expected utility models about optimal offer price and offer shares of IPO based on private information and public information precision, and solves and analyzes the optimal solution. The results show that the offer price is negatively related to the number of shares filed, increasing （decreasing） with the conditional mean （variance） of the fundamental firm value, either the noise in information or the price adjustment cost may result in the partial adjustment of the offer price, both private information and public information have influence on the offer price and the number of shares offered, the proportion of the private （public） information that is incorporated into the offer price increases with the precision of the private （public） informarion, the adjustment of the number of shares offered is positively related to the private and public information.