GEM IPO Multi-factor Pricing Model

October28,in 2009, Chinese capital market reopened a new page ,that is GEM in Shenzhen Stock Exchange Started trading。It benefits constructing a multi-level capital market formation, Further development of the SME and High-growth industry, providing for the financing of new roads, which had attracted a lot of media attention. In all aspects of GEM, has A clear distinction with the Main-Board Market or the small and medium sized enterprises board. Whether IPO pricing can be reasonable is a an Important manifestation whether the Growth Enterprise Market can be developing of secure and orderly. IPO pricing related to the interests of the majority of investors, underwriters, issuers and other interests of stakeholders. at the same time has a direct impact on resource allocation efficiency of the capital market.The thesis is divided into several parts. In the first part, after describing the research background and writing background, it describes writing motivation ,research methods and basic research ideas. Chapter II has a Theoretical Summary of the Stock Pricing, and analyzes its adaptability in GEM .chapter III analyzes necessity of pricing reasonable, by introducing the Growth Enterprise Market conditions and whether the IPO price is reasonable .Chapter IV probes Factors which can affect IPO pricing and how to .Chapter V outline the theoretical methods and data processing. Chapter VI, which is the most important part, condense a number of indicators into a few principal components factor by the method of principal component analysis, and do regression analysis by stepwise multiple regression analysis. In the final establish model of IPO pricing multi-factor. Whether the price of IPO is consistent with secondary market pricing is an important standard which determine the reasonableness of the pricing. Therefore, the price of the listing for one month is chosen to be the dependent variable. In the last chapter, forecast five stocks using multi-factor pricing model. Model can better explain price of the estimated stock, which can be used as a reference.The core idea of Multi-factor pricing model is extract internal factors and external factors which reflects the company stock price. And embody the quantitative and qualitative relationship between stock prices and these factors. In the thesis, the principal component analysis and stepwise multivariate analysis is the research approaches .It finds that many factors affects the IPO pricing, including that financial data Non-financial data. For example, earnings per share growth rate ROE, ROA, BPS, growth of total profit. Industry factors and the market risk and so on, can lead a stock price to different. there are some factors which affect not significant, that is Market boom level of the issue date,Share capital structure Market boom level of the listing date。In the word, the tissue reveals the main factors that affect IPO pricing and establish a related model, with the conditions of practical application. With a better simulation results, the model give a certain condition for following study and provide a reference.