Research On IPO Underpricing In China’s A-share Market

Underpricing of initial public offering (IPO) is the initial public offering pricedsignificantly lower than the market price. The performance of the underpricing is thatthe issue price of the new shares is lower than the closing price on the first tradingday, and it is able to achieve significant excess returns. The underpricing iswidespread in the stock market in various countries around the world, and it Is one ofthe hot issues of the modern financial studies.Our research combines China’s stock market-specific factors with the majorforeign underpricing theories，like the theory of Ex ante uncertainty, the theory ofasymmetric information and so on. We establishs a multiple linear regression model,and estimates the multiple regression across the entire1996to august2012sampleperiod. The conclusion is that, with the classification of sample by nature, the issue ofpages, and the pricing method, the issue market is not the main factor to affect ourstock underpricing, and the core competitiveness of enterprises and the volatility ofthe second market are the key factors of the long-term impact of China’s stock marketunderpricing. Accurately identifing the major factors that affect the status of China’sstock market underpricing has a very important practical significance to China’s stockmarket.The thesis consists of six parts:The first part describes the background and significance of the topic of thisarticle, and pointed out that the innovation of this paper.The second part describes the status of domestic and international stock marketIPO underpricing theory.The third part briefly analyses the IPO status quo of China’s stock market andintroduces the evolution of the issuing system in China.The forth part describes the design of the multi-factor model and the selection ofthe date. The fifth part shows the descriptive statistics of the stock date from January1996to August2012and analyses the date univariatly and multivariatly.The sixth part makes the conclusion and points out the main factors to affectChina’s A-share market underpricing.