Study On The Market Equilibrium And The Underwriter Behavior In The SEO

When the SEO in the Domestic Capital Market (DCM) become popular, the new issue encountered by the SEO is due to the DCM's Institution Background (DCMIB). The more severe interest transference of the SEO is due to the configuration of binary stock equity. Mealtimes, the domestic underwriter with the information superiority plays the key role in the SEO under the verification system, and so he would manipulate the secondary market price to profit from underwriting at a high offer price. In addition, this potential traded manipulation would affect the underwriter's due diligence investigation.Starting from the DCMIB, the SEO market equilibrium based on the configuration of binary stock equity were investigated by the general and partial equilibrium methods, and the underwriter's traded manipulation and its due diligence investigation were studied by the methods of the game theory and optimization theory. The main research results and conclusion are as follows:At first, the research under the institution background of the configuration of binary stock equity indicates a market portfolio in the SEO market, and the new issue's market demand only directly related to the market capacity, the composite price index, speculative gains, the risk inverse matrix and its row vector. Moreover, the offer quantity and the offer price have an effect on speculative gains and so the demand is indirectly related to them.The net value and stock price approach the composite price in the simple dynamic SEOs, and they approach the discounted one in the time-value SEOs. The higher offer price could decrease the offer quantity and the stock price may be higher, and so the prophase SEO value has a positive effect to the upper one. The SEO gross could be as a company financing resource, the company may use more at hot time, but it would save it at hard time.Empirically, the price theory of the right fare perfectly adapts to the SEO, and the market capacity gradually becomes an important factor.In addition, the underwriter's traded manipulation research based on DCMIB indicates, the underwriter will take a pure manipulative strategy when the underwriter spread is far more than the gain of the normal trade, and the secondary market lose its information efficiency. The partial manipulative strategy is the best choice when the spread is reduced at a certain point and the information efficiency increases. The nonmanipulative strategy makes the market's information efficiency higher when the spread continues to decrease. And so the key of the SEO game is the underwriter spread, so the spread controlling through the SEO scale in the domestic primary market could increase the secondary market information efficiency and make the underwriter to play its role of the information production and transmission.Empirically, the low explanatory power of the trading volume suggests that the traded manipulation is still a quite prevalent; the disturbed trading volume is unpredictable with public information. The low explanatory power with the high underwriter spread shows that the spread has an influence on the trading volume predictability. The closing price has a greater inheritance from the prophase price, and the trading volume loses its signal effect in the closing price OLS.At last, the study on the underwriter's due diligence investigation based on its traded manipulation discovers, under the market environment of the pure manipulative equilibrium, that the underwriter reputation has no relation to the decision about the due diligence investigation, and the delinquency is the underwriter's consistent choice when the investigation cost is higher than the delinquency loss, and that when the cost is lower than the loss it is different from the foreign mature market that a less reputable underwriter is apt to investigate instead and this can't be changed in the repeated decision, and only the reputation critical value can be changed.The relation between the underwriter reputation and the SEO performance has been studied under the approval system and the verification system. Its results indicate that the reputation is negative relate to the performance and short of restriction under the approval system, and that no relation under the verification system, and this may be due to the reduction of the underwriter spread and the delinquency lost. And so the certification effect of the underwriter reputation may appear after the registration system.There are the key issue and innovations.Firstly, this thesis has established a model about the SEO market equilibrium based on the configuration of binary stock equity, and demonstrated that the market capacity become gradually the key factor about the SEO underpricing. It has established a standard theoretical model about the listed company SEO, and discovered the relation between the SEO demand and market capacity, and empirically tested the fitness of the ex right pricing theory in the SEO and demonstrated that the capacity become the key factor. Secondly, it has also established a game model about the underwriter traded manipulation in the SEO based on DCMIB, and so has demonstrated the underwriter traded manipulation behavior accord with the DCM institution and structure. According to the equity offering approval system and the domestic E-traded mechanism without a market maker, this thesis holds that the domestic underwriter might manipulate the secondary price as an informed trader, and so established the game model, and empirically proved the model results.Thirdly, it has established a game model about the underwriter traded manipulation in the SEO based on DCMIB, and so discovered that the manipulation could make the certification effect of the domestic underwriter invalid. The domestic underwriter traded manipulation is due to the DCMIB. In the study on the underwriter due diligence investigation decision based on this, the thesis has discovered that the underwriter's lacking foresight action can't be changed by the repeated decision, and this show that the underwriter traded manipulation may make the certification effect invalid. Meantime, it has empirically proved that underwriter reputation mechanisms under the approval system and the verification system had not any certification effect.The conclusions will enrich the refinance theory under the domestic transition economy institution background, and is benefit for the company effectively to utilize the SEO, and to optimize the allocation function of the capital market. At the same time, the governor can also perfect the issuing system about SEO and standardize behaviors of the participators in the SEOs.