Signalling and the Pricing of New Issues
构建了一个包含两种信号、两种属性及连续信号水平的信号模型，解释新股发行折价现象，发现发行方保留的股份比例和发行价格共同向投资者传递公司内在价值与现金流波动信息。
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.