新股首次公开发行的抑价现象：一种合作博弈的理论方法.pdfVIP

第42卷 第5期 复旦学报(自然科学版) V_o1．42 No．5 2003年1O月 Journal of Fudan University(Natural Science) Oct．20o3 Article lD：O427．7104(2003)05．0643．12 Underpricing of Initial Public Offerings： A Cooperative Game Theoretic Approach Chu ZHANG (HongKong University ofScio~e and Technology，(Taina HongKong) Ah由偿西：Underpricingofinitialpubicoerings(IPOs)isimpliedbythe conditionsthattheIPOshavepositive expect． ed net-present-value(NPv)and that the~derwritersof IFOs are not perfectly~xxnpetitive．Underpricing r~gllts from the inability of issuing firms to reap all the gains of the NPVs．In an assignment game，the gains to the issuing firms and to the唧 investors are allocated according to their competitive stren h in the overall IIK)market，and the IPO market is showntobesegmentedbetweenhrgeNPvissuingfirms thprestigiousunderwritersand锄all NPV firms tll less~ oLi8 underwriters． ~ yworas：I ：tmderpricing；gallle 1 Introduction A long observed phenomenon in initial public offerings(IPO~)of corporate equity around world is that they are underpriced on average．Ibbotson，Sindelar and RitterL川report an averse initial return of 16．37％ for 8 668 new issues in the 1960．1987 period in the United States．Similar evidence for other time periods and inother countriesalso aboundsintheliterat~e．ThepuzzleofunderpricingofIP0shasmotivated anumberof theories．AIl of them are based on the assum ption of asymmetric information~． The current paper presents a normative model of IPO pricing．It is based on the premise that the main geason for firms to go public is to raise funds for their growth opportunities．Like other models in the literature，it