基于供给不确定的非对称投标者线性均衡报价策略与净抑价

The Linear Equilibrium Auction Strategy of Asymmetric Bidders and Net Underpricing under Uncertain Supply

利用贝叶斯——纳什均衡的思想研究IPO市场统一价格拍卖中,异质投标者在非对称信息和不确定供给下的线性报价策略与净抑价。首先得到投标者线性报价策略均衡解的表达式,进而得到卖方期望收益、发行价与净抑价的表达式。分析发现净抑价与竞争性投标者数目、供给不确定性、均衡报价策略对私有信号的敏感性以及需求对价格的敏感性等因素有关。抑价有可能被消除。本文的研究能够为相关部门提供决策参考。

Based on the Bayesian-Nash equilibrium,we study the linear auction strategies and net underpricing in the uniform price auction on the asymmetrically informed IPO market with uncertain supply.First we derive the linear equilibrium auction strategies,and then derive the seller's expected revenue,the expected stop-out price and the net underpricing.Through analysis we find that,the net underpricing is impacted by the number of competitive bidders,the uncertainty of supply,each bidder's sensitivity(or responsiveness)to his own private signal and the slope of each bidder's bid schedule.In addition,the net underpricing may be eliminated.This study can provide a reference for the relevant department.