A Dynamic Analysis of Price Formation in Securities Markets

本研究对日本股票市场和直接公司债券市场进行了实证分析。构建了股票首次公开发行（ipo）数据库并对外发布。针对在承销商没有压低价格动机的拍卖制度下观察到高初始回报的困惑，提出了一个解释这一结果的假设，并使用IPO数据进行了验证。指出了选择“建帐”作为公共价格确定机制存在的问题，并提出了改革的政策建议。对于债券市场，本文实证分析了发行公司和承销商的过去行为对发行量、价格等的影响。具体而言，将发行人与承销商关系的历史纳入实证模型，并对这种关系的影响进行了研究。

This research undertakes an empirical analysis of Japan's share market and market for straight corporate bonds. A data base for initial public offerings (IPOs) of shares was constructed and publicly released. In relation to the puzzle that high initial returns are observed when an auction system where the underwriter has no incentive to underprice is adopted, a hypothesis explaining this outcome was suggested and verified using IPO data. Problems associated with the choice of "book building" as a mechanism to determine public prices were pointed out and some policy recommendations for reform were made. For the bond market, an empirical analysis of the impact of the past behavior of the issuing firm and underwriters on issuing volumes, prices etc was undertaken. To be concrete, the history of the relationship between the issuer and the underwriter was included in the empirical model, and the impact of this relationship was investigated.