Initial Public Offerings: An Equilibrium Model of Price Determination
构建了一个包含企业家、承销商和投资者的均衡模型，研究新股发行定价问题，发现承销商为避免高估而低估发行价，导致新股折价发行。
We determine the optimal initial offering price for a new equity issue. Our model includes an entrepreneur, an underwriter, and investors, all belonging to a larger economic environment. The entrepreneur is willing to forgo some of his equity for investors' capital. We formulate the underwriter's pricing decision in the presence of signaling uncertainty as a minimax problem and show that underpricing follows from a specific set of loss functions. The more the underwriter wishes to avoid the consequences of overpricing relative to underpricing, the lower the optimal initial offering price and, all things being equal, the greater the underpricing. Also, when the optimal initial offering price is driven to its lower bound, it is, almost surely, less than the random equilibrium price, and the issue is underpriced. Consistency of our model with empirical evidence is discussed.