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Heterogeneous expectations, IPO Underpricing and issuing mechanism

机译：异质期望，IPO抑价和发行机制

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Abstract Background Compared with the fixed-price mechanism, the bookbuilding mechanism has not changed the Chinese IPO high underpricing. How to develop scientific and reasonable IPO pricing, and reduce the high IPO underpricing has become a major challenge for China's securities market. Methods In this paper, using behavioral finance theory and game theory, we build the Initial public offering (IPO) pricing and underpricing models with investors’ heterogeneity based on different issuing mechanisms and provide a comparative analysis. Results Firstly, our models show that IPO underpricing will not be eliminated by using either fixed-price or bookbuilding mechanisms, but when the investors’ heterogeneity expectation is the same, lower IPO underpricing can be obtained by the issuing of bookbuilding compared with that of fixed price. Secondly, the IPO underpricing may be larger than that under fixed price if the heterogeneity of investors under bookbuilding is larger than that under fixed price. Thirdly, the numerical analysis results provide strong support for our model. Conclusions These findings further explains the cause of the high IPO underpricing long-standing in China.
机译：摘要背景与固定价格机制相比，簿记机制并未改变中国IPO的高价抑价现象。如何制定科学合理的IPO定价，以及降低较高的IPO定价不足已成为中国证券市场的主要挑战。方法本文采用行为金融理论和博弈论，基于不同的发行机制，建立了具有投资者异质性的首次公开发行（IPO）定价和定价偏低模型，并进行了比较分析。结果首先，我们的模型表明，不能通过使用固定价格或簿记机制来消除IPO抑价，但是当投资者的异质性期望相同时，通过发行簿记制可以使IPO抑价低于固定定价。价钱。其次，如果在簿记建档下的投资者的异质性大于在固定价格下的投资者的异质性，则其IPO抑价可能会大于固定价格的IPO。第三，数值分析结果为我们的模型提供了有力的支持。结论这些发现进一步解释了中国长期以来首次公开发行股票高估的原因。

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