IPO Pricing Mechanism Research: Auction And Experimental Approach

The object of researches on IPO pricing is to compare the features and efficiencies of IPO pricing mechanisms, so as to explore the most effective IPO pricing mechanism. The mainstream research paradigms of IPO pricing researches are mathematical modeling and empirical research. This research uses experimental economics method and auction theory, sticks to the efficiencies of value inducing and parallel theorem, and studies and compares the first and second market features and investors'behavior of bookbuilding IPO pricing mechanism, uniform price auction IPO pricing mechanism, discriminative price auction IPO pricing mechanism and static Vickrey auction IPO pricing mechanism.In the first market, the results show that underpricing in uniform price auction IPOs is lowest, but the pricing accuracy is bad. The issue price and opening price are lowest in bookbuilding, and the most significant feature of Bookbuilding is that its features are based on the under writer's guide. There is no bubble in the first market in bookbuilding, and investors are encouraged to search information most. Static Vickrey auction IPOs encourages bidders to make bids according to their own assessment best, but at the same time bubbles are the biggest. In discriminative auction IPOs, the bubbles are the smallest, and index, such as underpricing ratio, are moderate. In the second market, the results show that, the quoted pricing of investors are more rational in uniform price auction IPOs and bookbuilding, while in the other two mechanisms, investors are over-optimistic.The results about investors'behavior show that, investors are over-optimistic. Different IPO mechanisms have different effect on investors, inducing different issue prices and stock allocations in the first markets. In the second market, investors observe the IPO results and estimate the ask-price and sales made by shareholders, so there are different profit knowledges in different IPO pricing mechanisms.The innovation is reflected in three directions. Firstly, static Vickrey IPO pricing mechanism is designed and tested. Secondly, the new IPO pricing mechanism experiments are designed, and the nature of the four different IPO pricing mechanisms are made clear. This study examines investors'information gathering situation, endogenizes investors real assessment of stocks, and the second market for transactions is designed to investigate key market characteristics, such as price-earnings ratio, stock distribution and so on. Thirdly, the multiple unit common value auction experiment with non-decreasing marginal value has been practiced. In existing auction experiments, the marginal value are diminishing, the private value or common value are not for resale auction. This research promotes the development of auction theory and experiment.