| IPO underpricing refers to the economic phenomenon of new share that the closing priceof the first day is higher than its offering price. IPO underpricing is an hard nut to crack inworldwide capital market, and domestic and foreign scholars have been studying this issue indepth for a long time. The selected sample data in this article is between1993and2010inpublic offering of the main board of the Shanghai and Shenzhen, and the sample covers mostof the industry sector, so that we could focus on the nature reason of IPO underpricing onthe exclusion of the impact of industry characteristics on underpricing.Firstly, the various factors that affect IPO underpricing is divided into factors of theperformance of the company, issue of the underwriting policy, market volatility and investorgroups psychological and other factors. We analyzes how these factors affect the IPOunderpricing comprehensively and deeply, and meanwhile we theoretically analyzes thecorrelation of these factors and the rate of IPO underpricing. In the next chapter, we introducethe stochastic frontier model, make a brief introduction and formula derivation of thestochastic frontier model, then the stochastic frontier analysis is applied to the analysis of theefficiency of IPO pricing. Subsequently, we use the stochastic frontier model and multiplelinear regression model to an empirical analysis to determine that the sample data does notexist upper border, does exist low border, and it also means that the actual value in the datasample is on the "inefficient region". This shows that China’s IPO pricing does not reflect thesupply and demand of the market for new shares, the excess demand and speculation in themarket led to the low efficiency of the IPO pricing. To further validate the impact of variousfactors on the IPO underpricing, the essay do the correlation test by multiple linear regressionmodel. Finally, the essay recommend the corresponding policy according to the empiricalresult. |
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