| Analysis indicates that IPO underpricing is a common phenomenon all over the world. However the special structure of capital market in China makes the degree of IPO underpricing higher than in other countries. The high premium of the first day leads to an unbalance of capital allocation between the primary market and the secondary market, and is harmful to a reasonable allocation of social capital.Based on the samples of IPOs since 2005, this article researches on the factors which influence the IPO underpricing and the change of IPO underpricing over time. This article firstly chooses some factors based on literature, and introduces annual rate of return and annual standard deviation of the industry indexes to reflect the industry influence, which prove to be significantly effective. With the addition of these two factors, the R2 will increase 0.2, and the correlation of the annual rate of return and the IPO underpricing rate is 0.566 which is the highest among all these factors, and the R2 of single-factor regression is also the highest which reaches to 0.319. Then this article finds that the IPO underpricing before and after September 2008 which is the bursting point of financial crisis, is significantly different. Lastly, this article regresses on the sample of all samples, pre-crisis and after-crisis also use stepwise regression to get rid of multicollinearity. We find that IPO underpricing is significantly influenced by size, industry annual rate of return and turnover of the first day, despite the period of the samples, while is not significantly influenced by the proportion of tradable shares, issue expense rate, underwriter prestige and the place of the issuer. And the difference of the period before and after the crisis may come from the deviation of the secondary market, the issuing board structure and the number of shares issued. |
