| As one of the top ten puzzles in the field of securities research, IPO underpricing is the key financial topic which the domestic and foreign scholars focused on. Compared with western countries'mature capital markets and emerging developing countries'capital markets, IPO underpricing in China's stock market was significantly high. Ultra-high IPO underpricing, not only caused deep contradictions between supply and demand of the stock market, inefficient allocation of funds, but also increased the volatility of new shares, giving investors huge losses. As a high-new platform for small and medium enterprises to raise funds, GEM's establishment has great significance, but the high IPO underpricing rate of GEM also caused widespread concern. Therefore, combined with the GEM's own characteristics, studying the phenomenon of IPO underpricing on the growth enterprise market, find the impacting factors for its high underpricing rate, and on this basis for targeted reforms, has profound theoretical and practical significance.The paper takes 153 new stocks which public offerings from October30th,2009 to December 31st,2010 in GEM as samples, selecting a number of financial indicators which can response the intrinsic value of the listed companies and using the principal component analysis method to regress the offering price and the trading price aim to judge the rate of high underpricing determined mainly by the low offering price in primary market or high trading price in secondary market. On this basis, referring to domestic and foreign IPO underpricing theories, combined with actual situation of the GEM, selecting 14 factors which may affect the rate of IPO underpricing of GEM, establishing multiple linear regression model, using the stepwise regression method, excluding the insignificant factors on IPO underpricing, get the best explanatory model.The empirical results indicated that the offering price and the trading price on the GEM deviated from the company's intrinsic value, the low pricing efficiency on primary market and speculative mood on secondary market is the common cause of high IPO underpricing of GEM. The 14 selected factors which may affect the rate of underpricing of GEM, turnover rate listed on the first day, lottery rate, the interval between the purchasing date and the listing date, the net assets per share, total share capitals and number of tradable shares passed the significant test. Therefore, investors'speculation, information asymmetry between issuers and investors and the contradictions between supply and demand of the stock market on GEM is the important reason for high rate of underpricing. Finally, based on the empirical results, giving the corresponding policy recommendations. |
