The Study Of The First-day Price Limit's Policy Effect And Mediation Mechanism On IPO Underpricing

This paper aims to study the First-day price limit's policy effect and mediation mechanism on IPO underpricing.This paper uses the IPO data of 149 new shares which went public on A-share market from April 2012 to February 2014,and adopts Rubin causal model and causal mediation effect model to respectively investigate the First-day price limit's policy effect and mediation mechanism on IPO underpricing.In this paper,the average treatment effect on the treated(ATT)of the First-day price limit estimated by Rubin causal model is significantly to be 54.416%.The average causal mediation effect(ACME)and the mediation proportion of the investor sentiment in the secondary market in the process of IPO underpricing affected by the First-day price limit estimated by average causal mediation effect model are respectively to be 14.44% and 27.49%.The empirical result estimated by quantile causal mediation effect model shows that the causal mediation effect of the investor sentiment in the secondary market is significant in the overall distribution of IPO underpricing,and the greater the quantile of IPO underpricing,the greater the proportion mediated by the investor sentiment in the secondary market.In summary,the results of this paper show that the First-day price limit leads to more IPO underpricing,and the investor sentiment in the secondary market plays an intermediary role between the First-day price limit and IPO underpricing.