Pricing Model Of New Stock Under Seeking System

The execution of the system combination of pre-seeking and book building seeking is the significant symbol of the marketization of Initial Public Offering of our Security Market. The new seeking system requires seeking objects evaluate as accurate as possible. If they overrate the value, they have to accept the lost. If they underrate the value, they may lose the chance to subscribe so that they may lose the chance to get profit. So it seems to be very important to price accurately. At present, small single investors take the large percent of China Security participants, so the probability of non-rational is still higher. Based on Behavioral Asset Pricing Theory, stock price includes not only basic value of listed corporation, but also the prospective to the future of corporation, market environment factor and the psychology factor of investors, so we must take the wrong pricing resulted in non-rational behavior into consideration when pricing.Based on above realism background and theoretical foundation, the paper selects 15 stocks under seeking system as sample, and collects their pre-seeking data as well as market data. Then it analysis the pre-seeking data in virtue of statistics method, and discovers some rules of the variety of indexes, and distill some behavioral indexes under pre-seeking that may influence the price largely. Based on Prospect Theory in Behavioral Finance, it builds up Prospect Function Model, and carries out the demonstration research to the applicability of Prospect Theory, and draws the conclusion that Prospect Theory is the same with our security market. Then it distills some behavioral indexes under listed moment that may influence the price largely. Consideration on the basic value of corporation, market value and behavioral value integrally, it chooses indexes, filter indexes with principal component method, distills principal factors, builds up pricing model under seeking system, and checks up the application effect of model, so that it proves that pricing model importing the behavioral factors is more availability than the models before.The characteristics and innovations are as follows: (1) it analysis the pre-seeking result under seeking system for the first time, and discovers the behavioral factors that can reflect the change of investors' psychology. (2) it builds up value function and weight function of prospect theory with the data in pre-seeking result, and the builds up prospect function model. (3) it bring the behavioral factors that can reflect investors' psychology into pricing model, which can improve the veracity of pricing model forecast.Through the research of the paper, it discovers that the crucial factor is still the basic factor of corporation, but we should not neglect the influence of behavioral factor under different moment. If we can estimate the influence degree of behavioral factor, we can take probable s trategy t o g et m ore return m aking u se o f p eople's p sychology. The result o f thepaper is useful and valuable to both institution investors and individual investors.