| The chinext stock market was established less than five year, although the time of establishment isshort, quantity and value of gem listed companies both in the absolute and relative weight of motherboardpresent growth trend. Bur due to the main bodies of market are lack of experience, and the system is notsound, especially the the IPO pricing process of gem market is much less scientific and normativecompared with that of western mature market. The gem companies are mainly of small and medium size inemerging industries, who become a leader in the field because of a core technology or unique empiricalmode. Some widely used IPO pricing models in financial market, such as DDM model, DCF model,CAMPmodel, are often suitable for those relatively mature companies with stable rapid of development. If theyare used in gem listed companies in China, then it is hard to avoid being ‘endemic’. High underpricing andP/E ratio have been long existed in Chinese stock market. In particular, the ultra high P/E ratio in GEMrecently stimulates investment in the market but in the same time also arouse much concerns amonginvestors. As expected the subsequent frequent broken new shares have casted a shadow over the market.Most of the gem IPO pricing are using the P/E ratio method of motherboard market. However, in recentyears, the coexist of high P/E ratio and new shares broken in the growth enterprise market indicates that, ithas been a problem to be solved in theoretical and practical circles to study in-depth and draw lessons fromthe existing IPO pricing theory thought systematically and build a IPO pricing process more applicable tothe gem.This paper in the view of IPO pricing model, first of all, analysis the current IPO pricing and theirscope of application and limitations. Then, combine the multiple factors method and comparable companymethod to build the gem IPO pricing model.The two methods are differentiated on the function: themultiple factors method is mainly based on the theory of intrinsic value to establish various influencingfactors of stock price and its variable multiple regression model.Adopting principal component analysis toeliminate the correlation between variables. The comparable company method is mainly used to forecastthe market risk of the new listed companies. Because the new listed companies are lack of transaction data,it is difficult to forecast its market risk through its yield. Comparable companies VaR forecast methodbased on Copula function has provided an effective way to predict the new listed companies market risk.The model inherits the factor method more extensive applicability on one hand, on the other hand,effectively use the data of comparable companies to predict the evaluation of listed companies. In addition,further improve and revise the traditional multifactor pricing method by introducing the market risk as anew various into the multifactor model.Finally, in order to verify the applicability of the model, choose three listed companies who arerepresentative in certain degrees as the research objects. And select several comparable companiesaccording to the existing comparable companies choosing standard respectively. Adopt Copula function toanalysis the dependent relationship between the application objects and the corresponding comparable companies. Choose suitable Copulas to describe the dependency structure based on the log yield ofcomparable companies. Combines with GARCH model and Monte Carlo simulation method to forecast theVaR of the application objects. It has been proved that this method can effectively predict the VaR of thenew listed companies and the prediction result is more accurate compared with other commonly usedmethods. In the end use the constructed IPO issue pricing model based on Copula-VaR for the applicationobject to carry on the forecast. Results show that, the estimated IPO issue price of a certain extent improvesthe rationality and reliability due to considering the intrinsic value factors especially the VaR. |
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