Publication

A game-theoretic model of underpricing and over-subscription in Chinese IPO’s

Geertsema, Paul
; 
Lu, Helen
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2016-05
Journal
Finance Research Letters
Book
Publication Volume
17
Publication Issue
May
Publication Begin page
93
Publication End page
96
Publication Number of pages
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Abstract
In Chinese A-share IPO’s the bulk of available stock is allocated to investors via a lottery, with the payoff structure of participating in an IPO resembling a game. We solve a simple version of the game for the static Nash equilibrium in continuous strategies and derive the optimal IPO deposit for an arbitrary number of investors with common risk aversion within a two-moment decision model. A data set of 1121 Chinese A-share IPO’s provides empirical support for our results.
Research Projects
Organizational Units
Journal Issue
Keywords
3502 Banking, Finance and Investment, 35 Commerce, Management, Tourism and Services
Citation
Knowledge Domain/Industry
Accounting & Finance
DOI
https://doi.org/10.1016/j.frl.2016.02.001
URI
http://hdl.handle.net/20.500.12127/7484
Other links
https://doi.org/10.1016/j.frl.2016.02.001
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