Signalling and the Pricing of New Issues
构建了一个包含两种信号和两种属性的信号模型，解释新股发行折价现象，发现发行人保留的股份比例和发行价格能向投资者传递公司内在价值和现金流方差的信息，且折价程度与上市后股价正相关。
ABSTRACT This paper develops a signalling model with two signals, two attributes, and a continuum of signal levels and attribute types to explain new issue underpricing. Both the fraction of the new issue retained by the issuer and its offering price convey to investors the unobservable “intrinsic” value of the firm and the variance of its cash flows. Many of the model's comparative statics results are novel, empirically testable, and consistent with the existing empirical evidence on new issues. In particular, the degree of underpricing, which can be inferred from observable variables, is positively related to the firm's post‐issue share price.