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本文从承销商利润最大化角度,构建IPO随机需求模型,研究异质需求风险对IPO发行价格和抑价的影响机制并进行数值模拟。研究表明:承销商具有有意抑价的激励,抑价是对投资者提供真实需求信息的一种利益让渡,也是合理定价的必要条件;均衡的发行价格取决于投资者之间的意见分歧程度以及机构投资者对新股需求的概率分布特征;当机构投资者对新股价值存在分歧时,分歧越大IPO抑价越高,但预期的抑价率不变。本文从承销商角度揭示的IPO价格形成机制对中国进行的新股发行制度改革具有一定参考价值。
This paper constructs IPO stochastic demand model from the perspective of underwriter’s profit maximization, and studies the influence mechanism of heterogeneous demand risk on IPO issue price and underpricing. The research shows that the underwriters have incentivized incentives, the underpricing is a kind of transfer of benefits for investors to provide real demand information, and is also a necessary condition for reasonable pricing. The balanced issue price depends on the degree of disagreement among investors And the probability distribution of institutional investors’ demand for new shares. When institutional investors disagree on the value of new shares, the bigger the disagreement, the higher the IPO underpricing, but the expected underpricing rate will not change. This article reveals the IPO price formation mechanism from the perspective of the underwriter of China’s reform of the IPO system has some reference value.