The Study On The Effect Of Heterogeneous Beliefs To IPO Underprcing Of 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 it’s initial public offering. This phenomenon is a kind of abnormal phenomena existing in the capital market and it is also the hot and difficult problem in the financial community. Among the950stocks from2008to2012, IPO average underpricing rate reached42.11%. The number is testified by the single-sample T test, which shows a higher degree of IPO underpricing.The paper based on the research results about IPO underpricing theory, considering the characteristics and pricing mechanism of China’s stock market, then combined the heterogeneous beliefs make a study on effect of heterogeneous beliefs underpricing of IPO, laying the groundwork for the further theoretical research and empirical test.According to the phase of bookbuilding in the primary market, in order to maximize expected utility of publisher and institutional investor, the paper establish a IPO pricing and underpricing model based on CARA, the numerical analysis is carried out by Matlab software. firstly,analyze the influence of various factors on IPO underpricing explanation, then analyze the effect of level of institutional investors market and the issuer heterogeneity on IPO underpricingAccording to the phase of pricing in the secondary market, starting from the angle of various types of investors heterogeneous, analysis of the impact of heterogeneous beliefs on IPO underpricing by using empirical analysis methods. Select the appropriate explanatory variable and heterogeneous beliefs proxy variable, make linear regression analysis by Eviews software, Get the models of the form andfind that the first day turnover rate as proxy indicator is able to explain the heterogeneous beliefs and the rate of IPO underpricing is proportional, heterogeneity among investors is greater, the higher the IPO underpricing. Price earnings ratio, the average issue size, placement proportion and the proportion of shares in circulation and IPO underpricing rate is inversely proportional. Empirical results show that, the heterogeneous beliefs on IPO underpricing does impact and degree is high.Finally, according to the conclusions of the article, several relative policy proposals are put forward to ease the rate of IPO under pricing from the four angles of stock issuers, investors, regulators, policymakers, investment banking and securities intermediary structure...