Study On The Seasoned Equity Offering Pricing Efficiency Of Listed Company

An efficient security market can price stock reasonalbly, and embell all kinds of information to the stock price, thus pricing efficiency, as an important efficiency indicator of security market, directly reflects the health degree of a security market. Since the implementation of Measures for the Administration of the Listed Company Issuing New Shares and restarting the equity refinancing in2006, the seasoned equity offering has become a main way of equity financing instead of rationed shares and convertible bonds. Nevertheless, during the process of seasoned equity offering, there is a significant phenomenom named underpricing, that is to say, the offering price is lower than the trading price in secondary market. The underpricing affects the financing efficiency, and brings the loss to the issuing company, mean while, it restricts the allocation function and efficiency of the capital markets.Under this back ground, it is theoretically important to detect the seasoned equity offering behavior and the its pricing efficiency for the stock pricing and portfolio management, besides, it is also meaningful to seasoned equity offering market supervison, financing decision and capital operation of a listed caompany, and investment decision for investors. For above reason, this paper adopts the listed companies in China as the research objects, and analyzes the seasoned equity offering behavior and its pricing efficiency both theorectically and empirically.Firstly, the thesis describes the seasoned equity offering behavior, summarizes the current situation and system restrains of Seosoned euity offering, and analyzes the factors that influence the seasoned equity offering. Meanwhile, the influence factor of SEO decsion is theoretically and empirically analyzed.Secondly, the thesis analyzes the pricing methods of the seasoned equity offering. Then the price efficiency, relative pricing efficiency and absolute pricing efficiency are defined. On the basis of the pricing methods and above definition, the thesis analyzes the mechanism that enterprise characteristics, information characteristics, issuing characteristics and market characteristics influence the pricing efficiency.Thirdly, the pricing efficiency models and influencing factor models based on underpricing level and return adjusting day are constructed. The listed companies which refinanced from26, April in2006to31, December in2009are adopted as the emprical samples. The study finds that the average underpring is19.16%, and pricing efficiency is80.84%. Judging by the retun adjusting day, the average adjusting day is2.4940. Meanwhile the empirical results show that growth ability)、average price prior to issuing day、return volatility、issue cost、spread between issue day and listing day、cumulative abnormal return prior to the issue day、purchasing ratio of controllers and ratio of restricted share influence the pricing efficiency based on underpricing level, and the growth ability, average price prior to issuing day and cumulative abnormal return have statistical influence on pricing efficiency base on return adjusting day.Forthly, the absolute pricing efficiency of seasoned equity offering is analyzed by using stochastic frontier analysis model and bayesian stochastic frontier model from the aspects of input-output. The empirical results of stochastic frontier model find that that the average pricing efficiency is low at an average level of68.25%, and the pricing efficiency of public offering is higher than private placement. Judging from the models, operation ability, growth ability, profitable ability, average prices, EPS, scale, underwriter reputation, return of market, cummulative abornomal return, cash purchased ratio, issuing number, ratio of restricted share are positively related to the technical efficiency, while debt-paying ability, volume volatility, return volatility, spread between announcement day and first trading day, issue cost, purchasing ratio of controllers, benefits transter degree have negative influence on pricing efficiency respectively. Lastly, adopting relative pricing efficiency and absolute pricing efficiency as the prior information, the thesis further analyzes the pricing efficiency of the seasoned equity offering. The results show that the efficiency of pricing is65.33%, and the issuing company and the underwriter lose about40%pricing efficiency, this result is in line with the result of stochastic model.Lastly, based on the pricing results, some policy suggestions about seasoned equity offering supervision are provided. In order to promote the pricing efficiency of the seasoned equity offering, the quality of the listed company should be promoted, the information disclosure system and issue system should be improved, and the reform should also be considerd according to the market enviroments.