What do underwriters learn from investors? Evidence from equities, corporate bonds, and leveraged loans

当公司发行证券时，他们会向投资银行或“承销商”寻求帮助。在发行过程中，承销商的主要任务之一是解决需求发现问题：为了以尽可能高的价格出售证券，承销商必须找出投资者愿意付多少钱。投资者知道自己的支付意愿，但承销商不知道，因此支付意愿是一种私人信息。承销商使用一种称为“建帐”的程序从投资者那里获取这些私人信息。这些私人信息的性质是什么？它是关于投资者偏好的信息，还是关于发行公司基本面的信息？我建议在这个项目中对这些问题进行实证调查。这些问题的答案具有重要的经济和现实意义。在簿记过程中披露的信息类型影响一级市场价格的信息含量，从而影响金融市场的资本配置，并最终影响实际投资。了解谁拥有哪种类型的私人信息，对于了解承销商在发行过程中的经济功能也至关重要。在文献中，对承销商的许多解释都围绕着这样一种假设，即他们比投资者拥有或获得更多关于发行公司基本面的信息。相反，如果投资者比承销商更了解公司，那么对承销商角色的许多解释就需要重新评估。先前的文献使用承销商提出的初始价格与最终发行价格之间的变化（又称“价格调整”）作为建帐过程中披露的私人信息的代理。为了了解投资者透露了什么类型的信息，我建议检查价格调整是否预测了正在发行的证券的未来基本面和/或回报。

When companies issue securities, they turn to investment banks or “underwriters” for help. One of the main tasks of the underwriter in the issuance process is to solve a demand discovery problem: To sell the security at the highest possible price, the underwriter must find out how much investors are willing to pay. An investor knows her willingness to pay but the underwriter does not, so the willingness to pay is a form of private information. Underwriters use a procedure called bookbuilding to elicit this private information from investors. What is the nature of this private information? Is it information about investors’ preferences, or is it information about the fundamentals of the issuing firms? I propose to empirically investigate these questions in this project. The answer to these questions has important financial and real consequences. The type of information revealed during bookbuilding affects the information content of prices in the primary market and therefore the allocation of capital in financial markets, and, ultimately, real investment. Understanding who has which type of private information is also crucial for understanding the economic function of underwriters in the issuance process. In the literature, many explanations of underwriters revolve around postulating that they have or acquire better information about the fundamentals of the issuing firms than investors. If, instead, investors have better information about firms than underwriters, then many explanations of the role of underwriters would require a re-evaluation. The prior literature has used the change between the initial price proposed by the underwriter and the final issuance price (a.k.a the “price adjustment”) as a proxy for the private information revealed during the bookbuilding process. To see what type of information investors reveal, I propose to examine whether price adjustments predict future fundamentals and/ or returns of the security being issued.