Auctions vs. Bookbuilding and the Control of Underpricing in Hot IPO Markets
利用法国股市1992-1998年数据，比较拍卖、累计投标询价和固定价格三种IPO机制，发现拍卖能更有效降低抑价程度和波动性，因其能更好吸收近期市场信息。
Market returns before the offer price is set affect the amount and variability of initial public offering (IPO) underpricing. Thus an important question is "What IPO procedure is best adapted for controlling underpricing in "hot" versus "cold" market conditions?" The French stock market offers a unique arena for empirical research on this topic, since three substantially different issuing mechanisms (auctions, bookbuilding, and fixed price) are used there. Using 1992–1998 data, we find that the auction mechanism is associated with less underpricing and lower variance of underpricing. We show that the auction procedure's ability to incorporate more information from recent market conditions into the IPO price is an important reason.