The Research Of The SME IPO Pricing Multifactor Model

The startup of SME market in Shenzhen Stock Exchange offers a channel to the financing for Chinese SME, especially the company growing highly. But it's obviously different with the main board market in rules. Then, there is a question how to price the companies when they prepare to IPO. The investing idea of the investors is more mature with the development of the stock market. Value investing is popular more and more in China. And, it's approved to success in western. In order to help the investors price the company logically and find a worth stock to invest, the study in the article try hard to find a model fitting the actual.The core idea of the multifactor model is screening out the factor can delegate the internal value of the companies, and express the relationship between the factors and the share price. Therefore, the key building the model is to find an appropriate method. Based on the efficient market and the actual of the stock market, the article put forward a way how to build the multifactor model. (1) The article condenses the finance factors into less principal components by Principal Components Analysis. (2) Using the mean price of a month as interpreted variable, the principal components and external factors as independent variables, the article build a SME IPO Pricing Multifactor Model by Stepwise Regression Method. (3) Under the background of market reform, the article modifies the model by changing the external factor.Through the demonstration analysis to the three companies, it does approve that the Multifactor Model can forecast the price well. And it has the conditions to use in the actual.