Study On The IPO Underpricing Of Shenzhen A-Share Market Under The Book-building Mechansism

Based on theories of Ohlson(1995) modern residual income model, this research is studying on evaluating the inner value of IPO after 2009, and comparing with their offering price. The result showed that the mean value of inner value is above offering price, and to a certain degree, offering price responses to its inner value. In other words, the process of pricing in our IPO will take into account inner value of new stock, but high radio of under-pricing is causing because of short developing time, immature level of development and unbalanced purveyance of stock market resources in our stock market. Then we make the accumulative turnover rate of 120 days-turnover as variable for measuring the speculation in stock market. With the six explanatory variables, this paper performed 85 companies of the multiple linear regression analysis during June 29, 2009 and Feb 10, 2010, these companies are represented by Guilin Sanjin. The empirical results show that the speculation is certainly a major cause of our country high radio of under-pricing.In the process of IPO, the main participant, publisher, consignee and investor make the price bubble in order to their benefit, specifically the over-emotional speculation by the investor. So the speculation is a major cause of IPO under-pricing, with more seriously degree of speculation indicating higher level of under-pricing. In the course of the deepening the reformation, on the one hand, we should prefect and optimize the different IPO systems, eliminate the price bubble caused by primary market, guide IPO offering price return to their inner value, increase IPO pricing efficiency, but on the other hand, we ought to create a good market environment, enhance specialized knowledge and consciousness of middle and small investors, regard the revelation information, reduce the irrational money invested, and then discover and incarnate the IPO inner value in secondary market for the purpose of tending reasonable offering price in the whole market. The research results may provide same theoretical rationales and empirical supports for our country mechanism reform of IPO.