我国IPO市场的询价发行机制研究
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摘要
各国家或地区的IPO发行机制向累计投标询价机制融合已经成为一个世界性的趋势,我国的新股发行也开始全面采用询价机制,要实现与全球市场的接轨,必须接受和适应累计投标询价机制,为此对询价发行机制的深入研究意义重大。
在发行方式历经诸多变迁,甚至在引入询价机制后,我国的IPO抑价程度依然保持长期以来的高位,对询价发行机制做出客观评价将有助于我国新股发行市场的健康有序发展。我国采用的询价机制与主流询价机制的最大不同就是没有赋予承销商自主分配权,对有自由分配权时的利与弊的认识,将有助于未来进一步完善我国现行询价制度。而对无自主配售权下的询价发行机制的研究则更多考虑了我国询价发行的实际背景,有助于在当前把握作为询价发行主体的机构投资者的申购策略对发行的影响。另外,对发售数量控制权的研究,有助于加深对使用超额配售选择权的认识,为我国是否有必要推广超额配售选择权的应用以及需要注意的问题提供了借鉴。
基于以上研究意义和目的,综合运用金融市场微观结构理论、机制设计理论、信息经济学、博弈论、拍卖理论、最优控制理论等相关理论,通过规范分析方法、实证分析方法以及数值模拟方法,结合我国询价发行的流程背景,主要围绕询价发行的配售权要素,从自主分配权和发售数量控制权两方面对不同前提条件下的询价发行过程进行了详细的分析和考察,得到的主要结论如下:
1、相比固定价格机制类的发行方式,我国询价机制类的发行方式能够显著降低IPO抑价水平。市场投资者情绪抵消或掩盖了询价机制的作用效果,使得询价机制阶段的抑价水平依然较高。询价类发行方式下向机构投资者配售的股票在锁定期到期时的持有收益率仍然维持非常之高的水平。
2、在有自主分配权的询价过程中,可以同时利用低定价和数量歧视来实现最优机制设计,除了折价以外,承销商还可以充分利用自主分配权来激励知情投资者真实报价。在发生超额认购时,承销商通过有策略地分配股票可以有效地降低折价水平并保证较高的发行底价,减少了发行成本的同时也减轻了IPO抑价程度,建议我国监管当局可以考虑在适当的时候赋予承销商一定的新股自主分配权。
3、在有自主分配权的条件下也可能会发生承销商与关联机构投资者共同进行市场操纵的行为。当新股未来可能的真实价值的差异足够大时不会发生混同均衡的操纵。在一定条件下,操纵存在的概率与未来股票真实价值为高的概率、关联投资者长期持股成本、动量交易者数量以及承销商从关联投资者处获取的提成比例正相关,而与操纵者进入市场的先验概率、流动性交易者新股申购量对发行价的敏感度、市场价格对需求量的敏感度、承销商从发行公司处获得的佣金比例以及发行规模负相关。此外,承销商与关联投资者在IPO及二级市场的操纵行为会使新股价格在上市后短期内增长而长期则下降。建议未来我国询价发行逐渐放宽或取消股票分配权限制时,制定有效的监管措施来保证承销商不滥用分配权,并密切关注一些相关因素防范此类操纵发生。
4、在无自主分配权下与固定价格发售混合的询价发行中,机构投资者的申购策略会对发行结果产生直接的影响。机构投资者在询价与固定价格发售序贯与同步进行的两种方式下的申购策略要点分别是网下投标策略及网上网下申购资金分配策略。在机构投资者完全对称情况下,通过数值仿真发现,机构投资者在两种方式下的申购策略使得发行价格、IPO抑价以及发行价格与真实价值差异对各个变量变化时的响应变化基本保持一致,随着真实价值期望、上市首日价格期望、上市首日价格高于真实价值的概率、网下发行比例、网下申购成本的减少,或是随着机构投资者数量的增加,IPO抑价以及发行价格与真实价值的差异都会有所降低。建议市场管理层可以据此采取适当措施降低IPO抑价水平、减小发行价格与真实价值差异、提高询价发行效率。
5、包含超额配售选择权的询价发行中,承销商被赋予的在一定范围内对发售数量的控制权,可以让承销商在热销策略和弱销策略两种定价策略中做出选择。预期上市初期价格较低时,承销商会选择弱销策略,制定相对较高的发行价格,通过二级市场买入来轧平超额发售的空头,发售总量维持不变;预期上市初期价格较高时,承销商会选择热销策略,制定相对较低的发行价格,最终全额执行超额配售选择权,发售总量增加。建议市场管理层进一步鼓励推广超额配售选择权的应用,发挥超额配售选择权对询价发行的负反馈作用,从而在一定程度上平抑发行价格及上市初期价格的较大波动。
本文主要的创新之处在于:
1、在对我国IPO首日收益率的实证分析中,与已有文献不同的是,利用主成分法综合五项因素构建了投资者情绪指标,并将其加入控制变量中,在此基础上检验了发行机制对IPO上市首日收益率的影响。此外,对我国A股市场询价发行方式与固定价格发行方式下的IPO锁定期到期时持有收益率、以及我国A股市场与香港市场的询价发行价格区间进行了统计比较,为评价我国IPO市场的询价发行提供了比较全面的依据。
2、相比已有文献仅考虑折价和分配中的一种激励措施,本论文在有自主配售权下的机制设计中并用了分配与折价两种激励措施,并且在价格区间的制定中引入发行底价,考察了价格区间与分配量之间的关系,得到最优的价格区间和分配策略,从中体现自主分配权的优点;在有自主分配权下的操纵行为研究中则体现了自主配售权的弊端,与已有文献不同的是,在模型中引入了累计投标询价机制,研究了承销商在混同均衡操纵中采取的分配策略,并对操纵存在的条件进行分析讨论,得出各个因素对混同均衡操纵存在的影响。
3、在无自主分配权下的询价发行中,充分考虑了我国实际应用的背景,加入了与固定价格发售混合的条件,并将询价与固定价格混合发行分为序贯与同步两种方式,指出机构投资者在两种情况下申购策略的侧重点各有不同,通过对序贯混合发行方式下的网下累计投标策略以及同步混合发行方式下的资金分配策略的模型建立和数值仿真,考察了机构投资者申购策略对无自主分配权下的询价发行的影响,填补了相关研究文献的空白;在包含超额配售选择权的询价发行中,将发行定价策略分为热销策略和弱销策略,在考虑了我国含超额配售选择权的发行流程下,通过建模以及数值仿真得出承销商会对发行定价策略作出怎样的选取,进而会对新股发行价格、发售数量产生怎样的影响,对目前相关研究的缺乏做出了有益的补充。
IPO Bookbuilding mechanism has been a global trend. It is also becoming increasingly popular in Chinese IPO market. To be in line with international practice, we have to accept and adapt to bookbuilding mechanism, therefore, study on bookbuilding mechanism is definitely important.
Although offering mechanism in Chinese IPO market has experienced reform many times, the degree of IPO underpricing always maintains high level, even after introducing bookbuilding mechanism. Making objective evaluation on bookbuilding mechanism will be instructive for the development of our IPO market. The greatest difference between Chinese bookbuilding mechanism and standard bookbuilding mechanism is restricting IPO allocation. Recognizing the advantages and disadvantages of free IPO allocation will help to perfect bookbuilding mechanism in our country. The realistic background of Chinese IPO market is considered more in the study on IPO bookbuilding without independent IPO allocation, and it will be conducive to grasp the effects of institutional investors’subscription strategy on offering. Moreover, research on control of issue size will be beneficial to understand over-allotment option deeply, and it will provide reference about the necessity and the problems of popularizing over-allotment option.
For above significance and motive, we use financial market microstructure theory, design theory, information economics, game theory, auction theory, optimal control theory, etc., and normative analysis, empirical analysis and numerical simulation. Taking into account the real procedure of Chinese IPO bookbuilding, we analyze and investigate IPO bookbuilding under different premise from two aspects, that is independent IPO allocation and control of issue size. The main conclusions as follows:
1. Compare to the fixed-price-class offering methods,bookbuilding-class offering methods reduce IPO underpricing more significantly. Investors’sentiment counteracts or covers up the impact of bookbuilding mechanism, so that IPO underpricing is still high during bookbuilding phase. IPO holding return for lockup period still maintains very high level under bookbuilding-class offering methods.
2. Under the bookbuilding procedure with independent IPO allocation, both lower pricing and quantity discrimination can be used to realize optimal mechanism design. Besides discount, underwriter can employ free allocation right to induce the informed investor to tell the true price. When oversubscription happens, underwriters can reduce the level of discount and increase the bottom price by strategic allocation so that both financing cost and IPO underpricing will be less. It suggests that financial supervisor should allow underwriter to allocate IPO stocks freely to a certain extent in China.
3. If independent IPO allocation is allowed in IPO bookbuilding, the underwriter and affiliated institutional investor maybe exploit free allocation and information asymmetry to manipulate. The results show that if the difference of possible real values is large enough then the manipulation will not exist, otherwise the manipulation may arise. The probability of manipulation has positive relation to the probability of high value, the cost of holding IPO for affiliated investor, the number of momentum investors and the percentage of commission from affiliated investor, while has negative relation to the prior probability of manipulator entering the market, the sensitivity of liquidity investors demand to offering price, the sensitivity of market price to demand quantity, the percentage of underwriting fee from IPO firm and the offering size. Moreover, such kind of manipulation will lead to increase of IPO stock price in the short run while decrease of price in the long run. If the control of IPO allocation is canceled in the future in China, we should set up effective supervision system to prevent abuse of IPO allocation, and pay more attention to some factors related to manipulation.
4. Under the conditions that bookbuilding mechanism is combined with fixed-price offering without independent IPO allocation, institutional investors’subscription strategies will affect IPOs results directly. Bookbuilding and fixed-price hybrid offering can be divided into sequential hybrid and simultaneous hybrid according to the sequence of bookbuilding and fixed-price offering. The subscription strategies under sequential method and simultaneous method are bidding strategy and capital distribution strategy respectively. On the assumption that institutional investors are homogeneous, the results of numerical simulation show that institutional investors’subscription strategies make the response of offering pricie and the difference between offering price and true value to other variables under sequential method and simultaneous method is almost identical. With the decrease of the expected true value, the expected first-day market price, the probability of first-day market price higher than true value, the fraction of bookbuilding issue size and information cost, or with the increase of the number of institutional investors, both IPO underpricing and the difference between offering price and true value will be lower. It suggests that market management layer should adopt appropriate measures according to above relation.
5. When over-allotment option is included in IPO bookbuilding, the control of issue size within certain range will allow the underwriter to make choice between hot-IPO strategy and weak-IPO strategy. If the estimation of initial aftermarket price is low, the underwriter will choose weak-IPO strategy, which means the underwriter will select relatively high price and offset the over-sold short through buying stocks from the secondary market, and the overall issue size will be invariant. If the estimation of initial aftermarket price is high, the underwriter will choose hot-IPO strategy, which means the underwriter will select relatively low price and offset the over-sold short through executing the over-allotment option completely, and the overall issue size will be increased. It suggests that over-allotment option should be popularized to exert its negative feedback on IPO bookbuilding so that the variance of offering price and initial aftermarket price will be lower.
The primary innovations of the thesis are as follows:
1. In the part of empirical analysis of Chinese IPO first-day return, the difference between existing study and this study is that we use principal components analysis to extract from five factors to construct investors’sentiment index, add it to controled varibles, on which we examine the influence of offering mechanism on IPO first-day return. Moreover, we gather statistics and compare the IPO holding return for lockup period between fixed-price-class offering method and bookbuilding-class offering method, as well as price range between Chinese A-share market and Hongkong stock market, which prvide comprehensive evidence to appraise Chinese IPO bookbuilding mechanism.
2. Compare to the existing literatures which consider discount or allocation, incentive allocation and discount are considered at the same time in optimal mechanism design in this dissertation, and the offering bottom price is introduced to the price range. We investigate the relationship between price range and allocation quantity, and obtain the optimal price range and allocation strategy so that the advantages of independent allocation are reflected. On the other hand, the disadvantages of independent allocation are reflected in the manipulation in case of no restriction on IPO allocation. To distinguish from the existing literatures, bookbuilding mechanism is introduced to the model. We study the allocation strategy adopted by the underwriter in the pooling equilibrium of manipulation. In addition, we analyze the incentive compatibility conditions to which the existence of pooling equilibrium should satisfy and examine some factors’impact on the existence of manipulation.
3. In bookbuilding without independent IPO allocation, Chinese realistic IPO background is considered and the condition of bookbuilding and fixed-price hybrid offering is added. Divide bookbuilding and fixed-price hybrid offering into sequential hybrid and simultaneous hybrid, and point out that the key points of subscription strategy in the two kinds of hybrid are different. Through modeling and simulation we obtain the impact of institutional investors’subscription strategy on bookbuilding without independent IPO allocation, which fill the gap in related research. Moreover, in the part of IPO bookbuilding with over-allotment option, the pricing strategy is divided into hot-IPO strategy and weak-IPO strategy. Take into account the procedure of Chinese IPO with over-allotment option, it presents how the underwriter determines the pricing strategy and what effect it brings to offering price and issue size through modeling and simulation. Therefore, it is instructive as a complement to existing literatures.
在发行方式历经诸多变迁,甚至在引入询价机制后,我国的IPO抑价程度依然保持长期以来的高位,对询价发行机制做出客观评价将有助于我国新股发行市场的健康有序发展。我国采用的询价机制与主流询价机制的最大不同就是没有赋予承销商自主分配权,对有自由分配权时的利与弊的认识,将有助于未来进一步完善我国现行询价制度。而对无自主配售权下的询价发行机制的研究则更多考虑了我国询价发行的实际背景,有助于在当前把握作为询价发行主体的机构投资者的申购策略对发行的影响。另外,对发售数量控制权的研究,有助于加深对使用超额配售选择权的认识,为我国是否有必要推广超额配售选择权的应用以及需要注意的问题提供了借鉴。
基于以上研究意义和目的,综合运用金融市场微观结构理论、机制设计理论、信息经济学、博弈论、拍卖理论、最优控制理论等相关理论,通过规范分析方法、实证分析方法以及数值模拟方法,结合我国询价发行的流程背景,主要围绕询价发行的配售权要素,从自主分配权和发售数量控制权两方面对不同前提条件下的询价发行过程进行了详细的分析和考察,得到的主要结论如下:
1、相比固定价格机制类的发行方式,我国询价机制类的发行方式能够显著降低IPO抑价水平。市场投资者情绪抵消或掩盖了询价机制的作用效果,使得询价机制阶段的抑价水平依然较高。询价类发行方式下向机构投资者配售的股票在锁定期到期时的持有收益率仍然维持非常之高的水平。
2、在有自主分配权的询价过程中,可以同时利用低定价和数量歧视来实现最优机制设计,除了折价以外,承销商还可以充分利用自主分配权来激励知情投资者真实报价。在发生超额认购时,承销商通过有策略地分配股票可以有效地降低折价水平并保证较高的发行底价,减少了发行成本的同时也减轻了IPO抑价程度,建议我国监管当局可以考虑在适当的时候赋予承销商一定的新股自主分配权。
3、在有自主分配权的条件下也可能会发生承销商与关联机构投资者共同进行市场操纵的行为。当新股未来可能的真实价值的差异足够大时不会发生混同均衡的操纵。在一定条件下,操纵存在的概率与未来股票真实价值为高的概率、关联投资者长期持股成本、动量交易者数量以及承销商从关联投资者处获取的提成比例正相关,而与操纵者进入市场的先验概率、流动性交易者新股申购量对发行价的敏感度、市场价格对需求量的敏感度、承销商从发行公司处获得的佣金比例以及发行规模负相关。此外,承销商与关联投资者在IPO及二级市场的操纵行为会使新股价格在上市后短期内增长而长期则下降。建议未来我国询价发行逐渐放宽或取消股票分配权限制时,制定有效的监管措施来保证承销商不滥用分配权,并密切关注一些相关因素防范此类操纵发生。
4、在无自主分配权下与固定价格发售混合的询价发行中,机构投资者的申购策略会对发行结果产生直接的影响。机构投资者在询价与固定价格发售序贯与同步进行的两种方式下的申购策略要点分别是网下投标策略及网上网下申购资金分配策略。在机构投资者完全对称情况下,通过数值仿真发现,机构投资者在两种方式下的申购策略使得发行价格、IPO抑价以及发行价格与真实价值差异对各个变量变化时的响应变化基本保持一致,随着真实价值期望、上市首日价格期望、上市首日价格高于真实价值的概率、网下发行比例、网下申购成本的减少,或是随着机构投资者数量的增加,IPO抑价以及发行价格与真实价值的差异都会有所降低。建议市场管理层可以据此采取适当措施降低IPO抑价水平、减小发行价格与真实价值差异、提高询价发行效率。
5、包含超额配售选择权的询价发行中,承销商被赋予的在一定范围内对发售数量的控制权,可以让承销商在热销策略和弱销策略两种定价策略中做出选择。预期上市初期价格较低时,承销商会选择弱销策略,制定相对较高的发行价格,通过二级市场买入来轧平超额发售的空头,发售总量维持不变;预期上市初期价格较高时,承销商会选择热销策略,制定相对较低的发行价格,最终全额执行超额配售选择权,发售总量增加。建议市场管理层进一步鼓励推广超额配售选择权的应用,发挥超额配售选择权对询价发行的负反馈作用,从而在一定程度上平抑发行价格及上市初期价格的较大波动。
本文主要的创新之处在于:
1、在对我国IPO首日收益率的实证分析中,与已有文献不同的是,利用主成分法综合五项因素构建了投资者情绪指标,并将其加入控制变量中,在此基础上检验了发行机制对IPO上市首日收益率的影响。此外,对我国A股市场询价发行方式与固定价格发行方式下的IPO锁定期到期时持有收益率、以及我国A股市场与香港市场的询价发行价格区间进行了统计比较,为评价我国IPO市场的询价发行提供了比较全面的依据。
2、相比已有文献仅考虑折价和分配中的一种激励措施,本论文在有自主配售权下的机制设计中并用了分配与折价两种激励措施,并且在价格区间的制定中引入发行底价,考察了价格区间与分配量之间的关系,得到最优的价格区间和分配策略,从中体现自主分配权的优点;在有自主分配权下的操纵行为研究中则体现了自主配售权的弊端,与已有文献不同的是,在模型中引入了累计投标询价机制,研究了承销商在混同均衡操纵中采取的分配策略,并对操纵存在的条件进行分析讨论,得出各个因素对混同均衡操纵存在的影响。
3、在无自主分配权下的询价发行中,充分考虑了我国实际应用的背景,加入了与固定价格发售混合的条件,并将询价与固定价格混合发行分为序贯与同步两种方式,指出机构投资者在两种情况下申购策略的侧重点各有不同,通过对序贯混合发行方式下的网下累计投标策略以及同步混合发行方式下的资金分配策略的模型建立和数值仿真,考察了机构投资者申购策略对无自主分配权下的询价发行的影响,填补了相关研究文献的空白;在包含超额配售选择权的询价发行中,将发行定价策略分为热销策略和弱销策略,在考虑了我国含超额配售选择权的发行流程下,通过建模以及数值仿真得出承销商会对发行定价策略作出怎样的选取,进而会对新股发行价格、发售数量产生怎样的影响,对目前相关研究的缺乏做出了有益的补充。
IPO Bookbuilding mechanism has been a global trend. It is also becoming increasingly popular in Chinese IPO market. To be in line with international practice, we have to accept and adapt to bookbuilding mechanism, therefore, study on bookbuilding mechanism is definitely important.
Although offering mechanism in Chinese IPO market has experienced reform many times, the degree of IPO underpricing always maintains high level, even after introducing bookbuilding mechanism. Making objective evaluation on bookbuilding mechanism will be instructive for the development of our IPO market. The greatest difference between Chinese bookbuilding mechanism and standard bookbuilding mechanism is restricting IPO allocation. Recognizing the advantages and disadvantages of free IPO allocation will help to perfect bookbuilding mechanism in our country. The realistic background of Chinese IPO market is considered more in the study on IPO bookbuilding without independent IPO allocation, and it will be conducive to grasp the effects of institutional investors’subscription strategy on offering. Moreover, research on control of issue size will be beneficial to understand over-allotment option deeply, and it will provide reference about the necessity and the problems of popularizing over-allotment option.
For above significance and motive, we use financial market microstructure theory, design theory, information economics, game theory, auction theory, optimal control theory, etc., and normative analysis, empirical analysis and numerical simulation. Taking into account the real procedure of Chinese IPO bookbuilding, we analyze and investigate IPO bookbuilding under different premise from two aspects, that is independent IPO allocation and control of issue size. The main conclusions as follows:
1. Compare to the fixed-price-class offering methods,bookbuilding-class offering methods reduce IPO underpricing more significantly. Investors’sentiment counteracts or covers up the impact of bookbuilding mechanism, so that IPO underpricing is still high during bookbuilding phase. IPO holding return for lockup period still maintains very high level under bookbuilding-class offering methods.
2. Under the bookbuilding procedure with independent IPO allocation, both lower pricing and quantity discrimination can be used to realize optimal mechanism design. Besides discount, underwriter can employ free allocation right to induce the informed investor to tell the true price. When oversubscription happens, underwriters can reduce the level of discount and increase the bottom price by strategic allocation so that both financing cost and IPO underpricing will be less. It suggests that financial supervisor should allow underwriter to allocate IPO stocks freely to a certain extent in China.
3. If independent IPO allocation is allowed in IPO bookbuilding, the underwriter and affiliated institutional investor maybe exploit free allocation and information asymmetry to manipulate. The results show that if the difference of possible real values is large enough then the manipulation will not exist, otherwise the manipulation may arise. The probability of manipulation has positive relation to the probability of high value, the cost of holding IPO for affiliated investor, the number of momentum investors and the percentage of commission from affiliated investor, while has negative relation to the prior probability of manipulator entering the market, the sensitivity of liquidity investors demand to offering price, the sensitivity of market price to demand quantity, the percentage of underwriting fee from IPO firm and the offering size. Moreover, such kind of manipulation will lead to increase of IPO stock price in the short run while decrease of price in the long run. If the control of IPO allocation is canceled in the future in China, we should set up effective supervision system to prevent abuse of IPO allocation, and pay more attention to some factors related to manipulation.
4. Under the conditions that bookbuilding mechanism is combined with fixed-price offering without independent IPO allocation, institutional investors’subscription strategies will affect IPOs results directly. Bookbuilding and fixed-price hybrid offering can be divided into sequential hybrid and simultaneous hybrid according to the sequence of bookbuilding and fixed-price offering. The subscription strategies under sequential method and simultaneous method are bidding strategy and capital distribution strategy respectively. On the assumption that institutional investors are homogeneous, the results of numerical simulation show that institutional investors’subscription strategies make the response of offering pricie and the difference between offering price and true value to other variables under sequential method and simultaneous method is almost identical. With the decrease of the expected true value, the expected first-day market price, the probability of first-day market price higher than true value, the fraction of bookbuilding issue size and information cost, or with the increase of the number of institutional investors, both IPO underpricing and the difference between offering price and true value will be lower. It suggests that market management layer should adopt appropriate measures according to above relation.
5. When over-allotment option is included in IPO bookbuilding, the control of issue size within certain range will allow the underwriter to make choice between hot-IPO strategy and weak-IPO strategy. If the estimation of initial aftermarket price is low, the underwriter will choose weak-IPO strategy, which means the underwriter will select relatively high price and offset the over-sold short through buying stocks from the secondary market, and the overall issue size will be invariant. If the estimation of initial aftermarket price is high, the underwriter will choose hot-IPO strategy, which means the underwriter will select relatively low price and offset the over-sold short through executing the over-allotment option completely, and the overall issue size will be increased. It suggests that over-allotment option should be popularized to exert its negative feedback on IPO bookbuilding so that the variance of offering price and initial aftermarket price will be lower.
The primary innovations of the thesis are as follows:
1. In the part of empirical analysis of Chinese IPO first-day return, the difference between existing study and this study is that we use principal components analysis to extract from five factors to construct investors’sentiment index, add it to controled varibles, on which we examine the influence of offering mechanism on IPO first-day return. Moreover, we gather statistics and compare the IPO holding return for lockup period between fixed-price-class offering method and bookbuilding-class offering method, as well as price range between Chinese A-share market and Hongkong stock market, which prvide comprehensive evidence to appraise Chinese IPO bookbuilding mechanism.
2. Compare to the existing literatures which consider discount or allocation, incentive allocation and discount are considered at the same time in optimal mechanism design in this dissertation, and the offering bottom price is introduced to the price range. We investigate the relationship between price range and allocation quantity, and obtain the optimal price range and allocation strategy so that the advantages of independent allocation are reflected. On the other hand, the disadvantages of independent allocation are reflected in the manipulation in case of no restriction on IPO allocation. To distinguish from the existing literatures, bookbuilding mechanism is introduced to the model. We study the allocation strategy adopted by the underwriter in the pooling equilibrium of manipulation. In addition, we analyze the incentive compatibility conditions to which the existence of pooling equilibrium should satisfy and examine some factors’impact on the existence of manipulation.
3. In bookbuilding without independent IPO allocation, Chinese realistic IPO background is considered and the condition of bookbuilding and fixed-price hybrid offering is added. Divide bookbuilding and fixed-price hybrid offering into sequential hybrid and simultaneous hybrid, and point out that the key points of subscription strategy in the two kinds of hybrid are different. Through modeling and simulation we obtain the impact of institutional investors’subscription strategy on bookbuilding without independent IPO allocation, which fill the gap in related research. Moreover, in the part of IPO bookbuilding with over-allotment option, the pricing strategy is divided into hot-IPO strategy and weak-IPO strategy. Take into account the procedure of Chinese IPO with over-allotment option, it presents how the underwriter determines the pricing strategy and what effect it brings to offering price and issue size through modeling and simulation. Therefore, it is instructive as a complement to existing literatures.
引文
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