The Study On Ipo Underpricing In China

The phenomenon of IPO underpricing is prevailing both in China and the international stock market, it has been 35 years since Ibboston started the systematic research of IPO underpricing phenomenon. During this period, although a large number of hypotheses and models had been put forward to explain this phenomenon, yet no consensus is reached, therefore, this phenomenon is also considered as one of the ten puzzles in the study of contemporary finance, so, there is far-reaching and positive meaning on furthering this research. After reviewing the classical theories, this thesis gives a statistical description on the IPO underpricing phenomenon, then uses the option theory to interpret this phenomenon, which is an innovative thinking. It is through empirical testing that proved the "fluctuations in the value of option" do make an effective improvement of the traditional multiple regression models. Which should be mentioned is that, during the process of analysis, this thesis describes and analyzes the IPO underpricing characteristics of GEM (growth enterprise market), which has just opened on October 2009. The main text reads as follows:First, this thesis starts from the development process of China's stock market, briefly introduces the research background, research significance, research methods and innovative points.Then this thesis classifies the classical theories on explaining the IPO underpricing. Mainly three parts: First, the relevant hypotheses based on information asymmetry; second, hypothesis based on other theories; third, the domestic research situation on this subject.After that, this thesis gives a statistical description of the phenomenon on the time trend and statistical parameters separately, based on the sample data from our country, Since 95% of the sample data are from SME(small and medium enterprises) and GEM, the description is mainly about the two above.Next, based on the option theory, this thesis builds a theoretical options with the underlying assets of IPO shares, calculated by the B-S formula. After resolution, we extract the conception of "fluctuations in the value of option", which is a pure pricing part of the volatility during the IPO interval. With this method, we achieved in the integration of the two factors: the success rate and IPO interval.Finally, I use the multiple regression model to do the empirical test. By comparing test, I prove the "fluctuations in the value of option" is better than the combination of the success rate and IPO interval on the interpretation of the IPO underpricing phenomenon, which is efficiency; we prove that the market index is a decisive factor on the IPO underpricing in SME; we verify the existence of Rock's Winners'curse phenomenon. According to the results of the empirical test, some policy recommendations are raised, among which the formulation of the GEM index is included. KEY WORDS:IPO underpricing, SME, GEM, Black-Scholes formula,...