一级市场定价机制、投资者行为与二级市场交易——一个实验比较

Primary Market Pricing Mechanisms,Investors' Behavior and Secondary Market Trading——An Experimental Comparison

针对企业在上市过程中适用的4种定价机制,即统一价格拍卖、歧视性拍卖、广义VCG拍卖和累计投标制,本文开展了实验研究.结果表明,累计投标制下投资者更愿意搜集信息,但也更倾向于隐藏私人信息,累计投标制下的投资者对一级市场股票的需求最高,且对其所获得的股票的价值评价最准确;广义VCG机制下投资者在一级市场最有动力揭示私人信息,对其获得的股票也有较高评价,二级市场投资者买入行为也较积极;歧视性拍卖下投资者在二级市场上的买入报价揭示了最多的私人信息,统一价格拍卖下二级市场上投资者出售自有股票比例最高,表明两种机制下二级市场投资者过度乐观,对一级市场获得的股票的评价不高.总体上看,信息搜集激励较大的机制,倾向于在一级市场让利给投资者,并带来更平稳的二级市场.

An experimental study was made to compare the four primary market pricing mechanisms of uniform price auction,discrimination auction,VCG auction and bookbuilding. The results show that the investors of bookbuilding collect but also hide more information than other mechanisms,and their demand of primary market shares are highest while their evaluations are most accurate. The investors of VCG auction reveal most information,and their behavior is aggressive in both the primary and the secondary markets. In the secondary market,the investors of discrimination auction reveal most private information through the bid price,and the investors of uniform price auction holding the primary market shares sell the highest rate of them,indicating the investors of the two mechanisms underestimate the shares of primary market and be overoptimal in the second market. In general,the mechanism which provides the higher incentives of information collection will give more benefit to the investors in the primary market and bring the stabler secondary market.