A Study On The IPO Pricing Efficiency And New Shares' Anomalies Of Growth Enterprise Market

Since the launch of China's Growth Enterprise Market(GEM)in 2009,the supervisory authority has adhered to the direction of market reforms,and has introduced a series of reform measures for all aspects related to the new share issuance mechanism,such as the pricing of new shares,the distribution of new shares,the secondary market trading of new shares,and the stock price maintenance after listing.Based on the assumption that policy evolution promotes the evolution of IPO pricing efficiency,starting with the accurate measurement of IPO pricing efficiency,this dissertation studies the impact of policy change on the short-term valuation and long-term performance after IPO,and analyzes the abnormal phenomena of new shares breaking and consecutive daily limit in this process.Finally,based on the research results and aiming at the existing problems,this dissertation provides policy suggestions for the reform of IPO mechanism.This dissertation studies the pricing efficiency of the primary market of new shares for 12 years since the opening of the GEM.During this period,it has experienced several institutional changes,which will have a structural impact on the pricing efficiency.However,subject to the assumption that the stochastic frontier of the classical stochastic frontier model will not drift,the previous literature ignored the structural impact of policy change on the pricing efficiency of the primary market,so it is difficult to accurately measure the pricing efficiency of new shares.By constructing a new stochastic frontier model including the number and location of unknown stochastic structural change points,this dissertation captures the impact of policy environment changes on the stochastic frontier,which is an econometric theoretical innovation of the classical stochastic frontier model.The empirical study of this dissertation finds that with the gradual advancement of reform,there have been three significant structural mutations in the IPO pricing efficiency of GEM.After each mutation,the IPO pricing efficiency has been substantially improved.On the basis of accurately measuring the pricing efficiency of the primary market of new shares under the issuance reform environment,compared with the existing literature,this dissertation creatively analyzes the impact mechanism of the pricing efficiency of the primary market on the three anomalies of new shares breaking,new shares consecutive daily limit and long-term weakness,and obtains the following research conclusions by using the analysis of variance and survival analysis model:(1)There is a significant positive correlation between pricing efficiency and new shares breaking.Although the IPO price with high pricing efficiency is in a relatively reasonable valuation range,it is easier to break when encountering negative impact in the secondary market;(2)Pricing efficiency has no significant impact on the risk of opening the limit board.Under the policy superposition of price limit and price/earnings(PE)ratio control,the rise of new shares far exceeds the reasonable valuation,and the correlation between pricing efficiency and the risk of opening the limit board is weakened.With the improvement of market pricing efficiency,policy control should be reduced in time,so that the valuation can quickly return to a reasonable range;(3)IPO pricing efficiency is significantly negatively correlated with the degree of long-term weakness.The valuation of new shares with high pricing efficiency is relatively reasonable,and the short-term fluctuation after listing is small,which helps to reduce the long-term weakness of new shares.Therefore,in practice,improving the pricing efficiency of new shares is conducive to reducing the degree of long-term weakness;(4)Under the influence of the "nominal price illusion",the continuous rise and fall of low-cost new shares is more prominent.Policies such as the PE ratio control of new share issuance,the rise and fall limit on the first day of listing,the lock-in period limit of offline placement and the reduction limit of senior executives significantly affect the long-term performance of new shares.Based on the above research conclusions and the problems existing in the issuance pricing of the current GEM registration system,this dissertation puts forward five policy suggestions: first,continue to carry out the market-oriented reform of issuance pricing on the basis of gradually improving the professionalism of offline inquiry investors,so as to improve the efficiency of IPO pricing;Second,further expand the scope of the registration system,timely reduce or cancel the PE ratio control and the rise and fall limit on the first day of listing;Third,learn from the follow-up investment mechanism of the recommendation institutions of the science and innovation board,and require the recommendation institutions to follow up the investment of the companies with the pricing issuance of the GEM;Fourth,vigorously develop wealth management,guide retail investors with poor professionalism to entrust professional institutions to invest,establish an investor classification system,and urge institutional investors to continuously improve their professional level;Fifth,further strengthen the penetration verification of equity investment,clarify the ultimate holder of shares,and standardize the pledge of shares.The above policy suggestions help to solve the problems such as the excessive increase on the first day of some new shares on the GEM,the short-term breaking of individual new shares after listing,and the "group quotation" of institutions participating in inquiry.