承销商声誉、超额配售选择权与IPO定价

Underwriter Reputation, Over-allotment Option and IPO Pricing

本文将声誉成本因素引入了承销商利润模型,以此考察我国承销商的定价决策过程,分析声誉成本和超额配售选择权对IPO价格的影响。研究结果确定了不同认购情况及预期市场表现下的最优股票发行价格;从数理角度证明了承销商声誉、超额配售选择权的存在将促使承销商降低发行价格。研究还表明承销商的声誉越好,声誉成本对承销商的影响越大;投资者情绪也可以通过影响承销商声誉间接作用于承销商定价决策。

In this paper, the profit model of underwriters is set up to study the decision making process of underwriters and analyze effect from the reputation and the over-allotment option to IPO pricing. The results obtain the optimal stock issue price under different subscribe situations and different expected market performances. It also mathematically provess that the presence of underwriter reputation and the over-allotment option will lead to lower issue price. Further, the study also finds that the better the reputation of the underwriters, the greater the impact of the reputation cost on underwriters. And the sentiment of investors also influences the pricing decision indirectly through affecting reputation.