股票发行定价:基于不完全信息动态博弈模型的市场效率及均衡条件分析

企业在信息不对称条件下发行股票时,对定价的选择与外部投资者的决策构成一个信息不完全的动态博弈。通过博弈的精炼贝叶斯均衡可以发现,均衡条件下的市场类型及效率关键取决于卖方以高价卖出“差”企业时所获取的“超额收益”与差企业的“包装成本”之间的相对大小;在某些情况下,还要受到发行企业质量分布函数的影响。改善效率的关键在于提高包装成本、降低信息不对称,在某些特殊情况下,则应实行限价发行制度。

An Analysis of Market Efficiency and Equilibrium Prerequisite Based on an Incomplete Information Dynamic Game Model for Enterprise's Equity Issuing Pricing Policy

In an asymmetric information environment,enterprise's equity issuing pricing policy and outer investor's strategy make up an incomplete information dynamic game.Perfect Bayesian equilibrium finds that the equilibrium market's type and efficiency are mainly decided by the comparative of "extra profit" and "disguising cost",and also by enterprise's quality distribution function in some other circumstances.The key to better equity issuing market's efficiency is to raise "disguising cost" and makes information more symmetric.