| Whether the new share pricing is reasonable will affect whether the resources are used effectively, and the degree of IPO directly reflect the accuracy and rationality of the new share pricing. Therefore there is extremely vital and practical significance to study the real reason of IPO underpricing so we can instruct the market to form the correct value investment idea, avoid issue risk of the market, and reduce the stock price bubbles of trading market.This article uses 845 new stocks of initial public offerings in Shanghai and Shenzhen from 1997 to 2005 as a data, and does empirical study to test the phenomenon of IPO underpricing in China A-shares market. Firstly, in the part of empirical study design, we screen 38 explanatory variables from three aspects of the intrinsic value information, the issue information and the market environmental information and use dummy variable method and factor analysis to process the data in advance. Secondly, in the part of empirical study, after one-factor analysis, we propose 13 hypotheses, use stepwise method to establish the multi-dimensional return model and do multi-factors analysis about the influence factor of IPO underpricing. From the aspect of pricing decision-making diversities between market main bodies, we study IPO underpricing resulted from information asymmetry, as well as the reform of stock issue system how to reflect IPO underpricing degree and IPO market structure. On the basic of empirical study, aiming at issue market, utilize information economics method to analyze the gaming process among the market main bodies and the formation mechanism of IPO underpricing. In view of the trading market, we have proven investor's non-rationality and excessive speculation by using behavior economic. Finally, in view of changing supervising notion, consummating the issue pricing system, also the information disclosure system and restraining speculation of investor, propose suggestions about solving the problem of IPO underpricing. |
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