The authors construct an IPO selling mechanism with risk neutral retail investors, and two institutional investors that are better-informed and less-informed, respectively. In the mechanism,in addition to the main con...The authors construct an IPO selling mechanism with risk neutral retail investors, and two institutional investors that are better-informed and less-informed, respectively. In the mechanism,in addition to the main constraints such as the individual rationality(IR), the incentive compatibility(IC), and the feasibility constraint(FC), the authors consider two more typical constraints: There is a lower bound and no bound for allocation of the shares to two institutional investors. The authors derive the explicit expression of the optimal allocation of the shares to the investors. Under the lower bound constraint,the optimal mechanism will encourage the better-informed bidder to report sufficiently higher signal in order to get shares. If he gets allocation of shares, then the higher signal he reports,the more shares he will get, and the more the issuer's expected maximum revenue will be.展开更多
基金supported by the National Natural Science Foundation of China under Grant No.71571044
文摘The authors construct an IPO selling mechanism with risk neutral retail investors, and two institutional investors that are better-informed and less-informed, respectively. In the mechanism,in addition to the main constraints such as the individual rationality(IR), the incentive compatibility(IC), and the feasibility constraint(FC), the authors consider two more typical constraints: There is a lower bound and no bound for allocation of the shares to two institutional investors. The authors derive the explicit expression of the optimal allocation of the shares to the investors. Under the lower bound constraint,the optimal mechanism will encourage the better-informed bidder to report sufficiently higher signal in order to get shares. If he gets allocation of shares, then the higher signal he reports,the more shares he will get, and the more the issuer's expected maximum revenue will be.