IPO pricing and share allocation: The importance of being ignorant

• 成果类型: Article
• 署名作者: Gondat-Larralde, Celine; James, Kevin R.
• 署名单位: University of London; London School Economics & Political Science; Universite de Bordeaux
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01321.x
• 发表日期: 2008
• 页码: 449-478
• 关键词: initial public offerings; INFORMATION; issues

摘要

Since an underwriter sets an IPO's offer price without knowing its market value, investors can acquire information about its value and avoid overpriced deals (lemon-dodge). To mitigate this well-known risk, the bank enters into a repeat game with a coalition of investors who do not lemon-dodge in exchange for on-average underpriced shares. We (i) derive and test a quantitative IPO pricing rule (showing that tech IPOs were not excessively underpriced during the boom of the 1990s); and (ii) analyzing a unique multibank data set, find strong support for the conjecture that a bank preferentially allocates shares to its coalition.