非自主歧视配售规则与投资者报价决策

Rule of Discriminatory Allocation Without Underwriter’s Discretion and Investors’ Quotation Decision-Making

鉴于IPO配售环节存在的寻租问题,首次对非承销商自主支配下的歧视性配售规则进行了设计和研究。从投资者有限理性的特征出发,构建投资者损失厌恶报价决策函数,并使用演化博弈模型分析和比较不同配售规则下投资者报价决策的动态调整和演化均衡过程。最后,进行了数值分析。研究结果表明:同比例配售规则无法激励投资者真实报价,而非自主数量歧视配售规则和非自主价格歧视配售规则均能有效激励投资者真实报价。研究为改革我国新股配售机制提供了新的思路。

In consideration of rent-seeking in IPO(initial public offering)allocations,this paper,for the first time,designed and studied discriminatory allocation regulation without underwriter's domination.Besides,it constructed a decision function of loss aversion bidding from investors'characteristics of bounded rationality.Moreover,it used the evolutionary game model to analyze and compare the dynamic adjustment and evolution process of investors,bidding decisions in different allocation regulations.Furthermore,it numerically analyzed the above processes.The results show that two discriminatory allocation regulations without underwriter's domination can stimulate investors'real bids,but the sameproportion allocation regulation cannot.This paper provides a new train of thought for reform of the IPO allocation mechanism in China.