Bookbuilding: How Informative Is the Order Book?
研究国际股票发行中机构投标的信息含量，发现限价投标（尤其是大额和频繁投标者）影响发行价，超额认购对IPO有较小但显著影响，需求弹性与首日回报正相关、与后市波动负相关，支持累计投标询价旨在从投资者处提取信息的观点。
ABSTRACT We examine the institutional bids submitted under the bookbuilding procedure for a sample of international equity issues. We find that information in bids which include a limit price, especially those of large and frequent bidders, affects the issue price. Oversubscription has a smaller but significant effect for IPOs. Public information affects the issue price to the extent that it is reflected in the bids. Oversubscription and demand elasticity are positively correlated with the first‐day aftermarket return, and demand elasticity is negatively correlated with aftermarket volatility. Our results support the view that bookbuilding is designed to extract information from investors.