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论文编号：	1547
作者编号：	2120082212
上传时间：	2010/5/25 10:35:04
中文题目：	基于拍卖理论和实验方法的IPO定价机制研究
英文题目：	IPO Pricing Mechanism Research: Auction and Experimental Approach
指导老师：	李建标
中文关键字：	统一价格拍卖IPO定价机制/歧视性拍卖IPO定价机制/静态Vickrey拍卖IPO定价机制/累计投标IPO定价机制/实验
英文关键字：	Uniform Price Auction IPO Pricing Mechanism/Discriminative Auction IPO Pricing Mechanism/Static Vickrey Auction IPO Pricing Mechanism/Bookbuilding IPO Pricing Mechanism/Experiments
中文摘要：	IPO定价机制研究的目的就是比较各种定价机制的特征和效率，选择最优的定价机制。目前研究IPO定价机制的主要范式是理论建模和实证检验。本研究利用实验经济学方法和拍卖理论，坚持价值诱导和并行原理的有效性，考察并比较累计投标IPO定价机制、统一价格拍卖IPO定价机制、歧视性拍卖IPO定价机制和静态Vickrey拍卖IPO定价机制的一级市场和二级市场特征及投资者行为。 在一级市场上，实验结果表明，统一价格拍卖IPO机制的抑价率最低，但定价准确性较差；累计投标的IPO定价机制最大的特点是它依赖于承销商的引导和投资者对承销商的信心，这为承销商操纵市场提供了空间。该机制的发行价和市盈率处于最低水平，不存在市场泡沫，同时对投资者搜集信息的激励最强；静态Vickrey拍卖IPO机制最能激励投资者按个人估价报价，但存在较大的市场泡沫；歧视性拍卖IPO机制的市场泡沫最小，抑价率等指标处于适中水平。在二级市场上，实验结果表明，统一价格拍卖IPO机制和累计投标IPO机制下，投资者报价较为理性；静态Vickrey拍卖IPO机制和歧视性拍卖IPO机制下，投资者存在过度乐观倾向。 在投资者行为方面，实验结果表明，投资者普遍过度乐观。不同IPO机制对一级市场投资者有不同的诱导作用，导致不同的发行价和股份分配；二级市场参与者观察到发行结果，预期新股持有者在二级市场的要价和出售量，做出相应的购买决策，因此不同机制蕴含着不同的赢利知识。 本研究创新有三：一是将静态Vickrey机制引入IPO定价，构造并检验基于静态Vickrey拍卖的IPO定价机制；二是创新了IPO定价机制比较制度实验的设计。实验设计包含了投资者信息搜集的设置、内生化了投资者对股票真实价值的估计，设计了二级市场交易，考察了市盈率、股票分配状况等市场关键特征；三是首创了边际价值非递减的可转售的多物品共同价值拍卖实验，已有的多物品拍卖实验都是边际价值递减、不可转售的私人价值或共同价值拍卖，本研究将多物品拍卖理论和实验推进了一步。
英文摘要：	The object of researches on IPO pricing is to compare the features and efficiencies of IPO pricing mechanisms, so as to explore the most effective IPO pricing mechanism. The mainstream research paradigms of IPO pricing researches are mathematical modeling and empirical research. This research uses experimental economics method and auction theory, sticks to the efficiencies of value inducing and parallel theorem, and studies and compares the first and second market features and investors’ behavior of bookbuilding IPO pricing mechanism, uniform price auction IPO pricing mechanism, discriminative price auction IPO pricing mechanism and static Vickrey auction IPO pricing mechanism. In the first market, the results show that underpricing in uniform price auction IPOs is lowest, but the pricing accuracy is bad. The issue price and opening price are lowest in bookbuilding, and the most significant feature of Bookbuilding is that its features are based on the under writer’s guide. There is no bubble in the first market in bookbuilding, and investors are encouraged to search information most. Static Vickrey auction IPOs encourages bidders to make bids according to their own assessment best, but at the same time bubbles are the biggest. In discriminative auction IPOs, the bubbles are the smallest, and index, such as underpricing ratio, are moderate. In the second market, the results show that, the quoted pricing of investors are more rational in uniform price auction IPOs and bookbuilding, while in the other two mechanisms, investors are over-optimistic. The results about investors’ behavior show that, investors are over-optimistic. Different IPO mechanisms have different effect on investors, inducing different issue prices and stock allocations in the first markets. In the second market, investors observe the IPO results and estimate the ask-price and sales made by shareholders, so there are different profit knowledges in different IPO pricing mechanisms. The innovation is reflected in three directions. Firstly, static Vickrey IPO pricing mechanism is designed and tested. Secondly, the new IPO pricing mechanism experiments are designed, and the nature of the four different IPO pricing mechanisms are made clear. This study examines investors’ information gathering situation, endogenizes investors real assessment of stocks, and the second market for transactions is designed to investigate key market characteristics, such as price-earnings ratio, stock distribution and so on. Thirdly, the multiple unit common value auction experiment with non-decreasing marginal value has been practiced. In existing auction experiments, the marginal value are diminishing, the private value or common value are not for resale auction. This research promotes the development of auction theory and experiment.
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