基于内生信息的股票发售机制比较研究

Comparative Analysis of IPO Methods under Endogenous Cost

本文在内生信息成本的基础上,通过引入投资银行的信息成本函数,考察了国际上主要股票发售机制的内在机理,并用一个统一的框架比较了各种发售机制的差异及演进趋势。本研究表明,在投资银行和投资者信息成本相同的情况下,由于固定价格发售机制须用额外的折价去解决投资者之间的信息问题,因而相对于累计投标询价制是一种处于劣势的机制选择。同时指出,具有信息成本优势的机构投资者的出现和发展,是固定价格发行向询价发行过渡的一个必要条件。

The IPO selling methods and their comparative weakness and strength have become the focus of academic research. I introduce cost function to bookbuilding and public offering in a uniform endogenous information environment and illustrate the differences between them. My model predicts that the public offering method is inferiors to the bookbuilding one while underwriters and investors have the same cost function. I also conclude that it is necessary for bookbuilding to supersede public offering when institutional investors with information of low cost are available.