中国新股发行定价市场的实证研究与分析-应用经济学专业论文.docxVIP

EMPIRICAL RESEARCH AND ANALYSIS ON CHINA’S IPO PRICING MARKETABSTRACTIPO underpricing and long-term underperform of IPO are widespread worldwide especially in China’s stock market. The analysis of influencing factors on IPO underpricing and long-term underperform of IPO could not only test if these western theory can be used to explain the irrational behavior of the Chinese IPO market, but also help to improve IPO efficiency and to optimize resource allocation of capital markets.After the literature review of existing academic study, the study made a summary of the development of China’s IPO market, especially the regulatory mechanism and the pricing mechanism of IPO. Based on the above analysis, the empirical research decided to use the data of companies listed after the implementation of the IPO book-building mechanism in 2005. The research tried to find out the influencing factors of IPO underpricing. In addition, based on the comparison of two measures on IPO long-term performance, the study decided to use BHAR as a more accurate method to describe the long-term excess return of new shares as well as therelationship between the amplitude of the new shares on the first day of underpricing.According to the empirical results: (1) The abnormal first-day return of new shares was 60% in China during 2005-2012, significantly higher than that of most of the developed markets. Major influencing factors include market sentiment, first-day turnover, bidding rate, adjusted net book value per share, PE ratio, the ratio of shares outstanding and the number of shares issued. Western academia for the IPO underpricing phenomenon of asymmetric information theory as well as the reputation of the underwriters theory and did not get a good validation in the IPO market, the secondary market for speculative mood is one of the main reasons of the new shares on the first day of high underpricing. (2) There exists the phenomenon that IPO long-term performance is negativel