Ipo, Market Effectively And Behavioral Finance,

The IPO market includes government, intermediaries, enterprises and investors. It's a bridge between investors and enterprises, an important financing method for enterprises and the fundamental of second market. So the research of this field is very useful. But up to now, most of the researches about IPO market in China only focus on testifying the theory of western countries so as to increase the credibility of these theories without so much as taking the character of China market. The purpose of this article is to fill in this blank.This article includes four parts:The first part I review the IPO activity from the motivation and timing of IPO, IPO mechanisms, "hot issues" market, IPO under pricing and the long term under performance. After that I review what the researchers of China had done in this field. And then, I point out the weakness of their researches and what I will do in my article.The second parts I point out there are many "anomalies" in financial market and the stock market is not a perfect market, especially for China market. To testify my ideas, I use autocorrelation test and runs test to test the efficiency of China IPO market. The empirical results show China IPO market is not a weak efficient market and which question the exiting research results of China market.The third part I point out China stock market is a closed market and the investors in IPO market maybe have some psychological bias and irrational behaviors. These irrational behaviors and interactions between investors may causes some "anomalies" and influent the pricing of IPO in the second market.In the fourth part I found there exist cycles in China IPO market meanwhile there are some correlations between IPO volumes and IPO initial returns. And then I discuss the role of "nosier" in IPO cycles. By providing a simple demand-supply model of IPO market I research into the correlation between IPO volumes and IPO initial returns. The empirical results show there is obviously "momentum effect" in IPO market and the IPO volumes will influent the IPO initial returns, but the influence is lagged. Meanwhile the IPO initial returns will influent IPO volumes, too. Also this influence is lagged.The last part I research into how these irrational behaviors influent IPO pricing through providing multifactor regression model. Before doing that I first review the traditional capital pricing theories and the suitability of these theories in IPO pricing. Second, I discuss the pricing environment of China enterprises. And then I hypothesis the initial returns includes two part, which are risk redemption caused by...