存在轉賣市場下證券發行量與價格關係之理論模型建構

The Relation between the Security's Prices and Its Quantities Being Issued When There is Resale Markets

高銘淞(Ming-Sung Kao)

《中華管理學報》 8卷2期 (2007/06) Pp. 83-102

摘要

本篇文章我們考慮存在兩層交易市場下(初級市場與次級市場)證券發行數量與價格之間的關係。在次級市場的交易中發行數量與價格之間的關係受到承銷商(dealer)成本敏感度的影響，當承銷商成本很敏感時，發行量與價格成反向變動。當承銷商成本敏感度小時，發行量與價格同向變動。當成本敏感性為1時，價格則不受發行量影響。在初級市場的交易中，本模型環境如同Vickrey [17]單一標的物的競標環境。但與其不同的是，Vickrey模型中競標者的私有價值都是外生給定的，而本模型中承銷商的私有價值則是由次級市場交易後內生決定的。我們發現發行者所面對需求曲線的型態仍然受到承銷商成本敏感度的影響，當成本敏感度低時，發行者所面對需求曲線呈先遞減再遞增的型態；相反的當成本敏感度大時，發行者所面對需求曲線滿足需求法則。最後我們考慮是否要交由承銷商銷售，我們得到只要在所有承銷商之中，存在兩個以上有擴展市場意願的承銷商時，將證券交由承銷商來承銷成為發行者最適的決策。此外因為收益均等定理成立，以上結果在不同競標機制下也會成立。

關鍵字

轉賣市場 ； 需求曲線 ； 競標理論

並列摘要

In this paper, we construct a model which consists of primary and secondary markets to consider the relation between the security's prices and its quantities being issued. We found that in the secondary market transaction the shape of the security demand curve a dealer faces is determined by the sensitivity of the dealer's sales cost. When the dealer's sales cost is sensitive, the security demand function satisfies ”Law of Demand”; when the dealer's sales costs is insensitive, the securities' prices increase with the quantities, i.e. the law of demand is violated; when the sensitivity of dealers' cost equals to 1, the securities' prices and quantities are independent, i.e. the demand curve is flat. In the primary market transaction, our environment is the same as Vickrey's single-object-private-value environment except that the bidders' private values are determined endogenously in our model. The shape of security demand curve the issuer faces also depends on the sensitivity of dealers sales costs. When the dealer's sales cost is sensitive, law of demand still holds for the demand curve the issuer faces. When the dealer's sales cost in insensitive, there is a critical point q(superscript *), such that law of demand holds as the issued amount is less q(superscript *) while the correlation between the price and the quantities are positive as the issued amount is larger than q(superscript *). Finally, we introduce that it is better for the issuer to sell the securities through dealers when there are at least two dealers who have the incentive to enlarge the market. Moreover, because of revenue equivalence principle, the above results hold for most common auction formats.

並列關鍵字

resale ； auction theory ； demand curve