Three Essays on the Pricing Theory of Seasoned Share Issues and InvestmentBanking Services

摘要

The thesis develops the pricing theory of seasoned cash offers and relatedunderwriting guarantees. We develop the existing theory so that it takes into account the fact that the guarantor is prematurely released from his obligation from the moment the issue is fully subscribed. This may happen before the offer expires, and it affects pricing. This thesis also contains the first model to price the share price jump observed at the time the issue is made public. The developed models are applied to study the pricing of new shares in a simple principal-agent framework. Pricing is affected by various case-specific factors, including information asymmetry and characteristics of the issuer, the guarantor and the market. The market for underwriting guarantees does not need to be a single-price market, but may result in market segmentation, where larger investment banks arrange larger issues and smaller investment banks smaller issues.