The Empirical Research On IPO Pricing,Short Term Abnormal Return In Chinese Stock Markets And Related Influencing Factors

The valuation, especially the pricing of initial public offering(IPO) have been the hot spots of the countries on the securities market in both theoretical and practical sectors without exception. But the IPO underpricing and the weak price after IPO in short time are so common that imply the divergence for valuation of both IPO and after IPO pricing. Based on this starting point, using the abnormal return, the article analyzes the IPO pricing, short term abnormal return in chinese stock markets and related influencing factors.The article is divided into seven parts. The first introduces the background, significance and research methodologies. The second part is the literature review, simply reviewing the important literature on IPO pricing, IPO underpricing, short term abnormal return at home and abroad. The third part analyzes the changing legal system and offering strategy involved in the IPO pricing in chinese stock markets. The fourth part respectively includes the empirical research on the samples before and after the third IPO system reform to analyze whether the short term abnormal return after IPO is related to the IPO. The fifth part focus on linear regression to analyze the influencing factors of IPO pricing and short term abnormal return. The sixth part is the conclusion, and according to the conclusions the article makes some suggestions.With the empirical research on the sample of the IPO between June 2006 and Janurary 2015, the article arrives at the conclusion as the following:Fisrt, there significantly existed short term abnormal return after IPO with the samples in the three period between June 2006 and November 2012, but return rate showed a downward trend from the second trading day after IPO.Second, investor sentiment index had weak influence on IPO pricing while the mean price earning(PE) ratio of specific industry, market risk and liquidity risk had explanatory power.Third, investor sentiment index had strong explanatory power on short term abnormal return after IPO and other factors were relatively weak.Fourth, the mean PE ratio had a substantial increasing after the first IPO system reform that loosed the restriction of PE ratio of IPO, which resulted in the great decreasing of short term abnormal return. However, the influence from investor sentiment did not significantly change.Fifth, the short term abnormal return had a further but unconspicuous decreasing due to the second IPO system reform, but the influence from investor sentiment had a sharp drop that indicated the rationalization of the investors.Sixth, the third IPO system reform had a profound effects on IPO pricing and short term abnormal return. The IPO pricing was deeply discounted and the short term abnormal return had sharply surged while the raised amount was related to the demand for the investment of project, which means the IPO pricing was administratively restricted.