The Study On The Effect Of Heterogeneous Expectation To IPO Underpricing Of Small And Medium-sized Board Market In China

IPO underpricing refers to the situation that the closing price of a certain stock is significantly higher than the issuing price when its initial public offering and led investors to obtain higher excess returns than normal. The phenomenon spreads over the global capital markets, especially the emerging markets. So IPO underpricing has become a hot topic in academic studies since the seventies of the last century. According to the measurements,621stocks appeared to be underpricing among a total number of683, and all stocks in small and medium-sized board have a average level of IPO underpricing as77.8571%since the market opened in2004till the end of June2012. The number is testified by the single-sample t test, which shows a higher degree of IPO underpricing. When compared to the main board of the domestic market, the small and medium-sized board differs from it in three ways:the system of inquiry, the determination of opening and closing price in secondary market and the overall scale of financing. These unique qualities laid fundatios for our research of the IPO underpricing in small and medium-sized board from the heterogeneous expectations angle.The article departures from the literature study of relative sectors fromfour aspects:the behavioral approach to asset pricing, heterogeneous expectations,the foreign IPO underpricing theory, and factors that impact the domestic IPO underpricing.The paper then combines the unique qualities of IPO of small and medium-sized board with the reality,and then phased theoretical modeling and analysis of historical data heterogeneity from institutional investors and issuers, potential secondary market investment between the heterogeneity of small and medium-sized board IPO underpricing from two angles to explore in more depth, and finally dig the mechanism for heterogeneity expectation factors.When taking CARA utility function into consideration, we can establish the IPO underpricing model between issuers and institutional investors under some certain assumptions through mathematics method. The numerical analysis proved negative correlation between the degree of IPO underpricing and the number of agencies involved in the initial inquiry and IPO rates,positive correlation coefficient of risk aversion and the placing than institutions.Level of IPO underpricing as explanatory variables regression model, combined model updating and testing found no significant proportion of the outstanding shares of the explanatory power of the level of IPO underpricing, cash purchase in the success rate, turnover, earnings and to raise the amount of moneythe four factors to some extent have the ability to explain China’s small plates IPO underpricing level.Indicators agent heterogeneity of secondary market investors expected cash purchase in the success rate and turnover, and turnover indicators is more effective and stable. In response to the above conclusions, relevant countermeasures and suggestions can be made from angles of regulators and policy makers and investors in the stock market.