两阶段询价制下的IPO价格形成与需求隐藏研究

IPO price formation and demands shading study in two-stage bookbuilding

本文结合我国IPO询价的现实,在询价分为初步询价和累计投标询价两个阶段的前提下,分别研究了机构投资者两阶段的均衡报价策略及最终的IPO价格形成,从理论上剖析了机构投资者初步询价时隐藏需求报价压低发行价格的动机.研究结果表明,机构投资者会在初步询价时有意隐藏其需求,最终的均衡价格为初步询价后承销商确定的发行价格区间上限,且初步询价时机构投资者需求隐藏比例越大,IPO发行价格越小,承销商确定的发行价格区间宽度越大,IPO发行价格越大.

Considering the reality of China＇s IPO bookbuilding, under the premise that bookbuilding can be di- vided into preliminary bookbuilding and accumulated bidding bookbuilding, this paper studies the equilibrium bidding strategy of the institutional investors in two stages and the final IPO price formation. We analyze the motivations of the institutional investors by shading their demands in the bidding and lowering the issue price. Our analysis indicates that： institutional investors will shade their demands in the preliminary bookbuilding deliberately; the ultimate equilibrium price will be the upper limit of the issue price range; the greater the shad- ing demands of the institutional investors in the preliminary bookbuilding, the smaller the IPO issue price; the greater the width of the issue price range, the higer the IPO issue price.