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The Research of Expected Utility Models Based on Classified Information in IPO Pricing

In: Proceedings of 20th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Hai-feng Pan

    (Anhui Polytechnic University)

  • Zhi-min Li

    (Anhui Polytechnic University)

Abstract

Under the condition of private information and public information, we propose exponential and logarithmic expected utility models about optimal issue price and issue shares of IPO, and make a theoretical analysis and simulation calculation for the optimal solution. The results show that both private information and public information have influence on the issue price and the number of shares; the effect weight of private information is higher than that of public information; the issue price is negatively related to the number of shares filed; the simulation results of logarithmic expected utility model is very close to that of exponential expected utility model. Considering the Taylor approximation in logarithmic expected utility model, we can regard the results of exponential expected utility model as the optimal solution in practical application, verified by logarithmic expected utility model.

Suggested Citation

  • Hai-feng Pan & Zhi-min Li, 2013. "The Research of Expected Utility Models Based on Classified Information in IPO Pricing," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), Proceedings of 20th International Conference on Industrial Engineering and Engineering Management, edition 127, pages 943-952, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-40063-6_93
    DOI: 10.1007/978-3-642-40063-6_93
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