A Study On The IPO Underpricing Phenomenon In The GEM Board Based On Heterogeneous Beliefs

On the basis of domestic and foreign IPO underpricing theoretical studies, this thesissummarizes the development status of the GEM board. Under the theory of heterogeneousbeliefs, the thesis gives a general analysis of the current GEM’s IPO mechanism. By thegeneral analysis, this thesis gets a definite relationship between the IPO’s main participants inthe GEM board and the new shares price behavior, the causes of the heterogeneous beliefsbetween the participants, and the impact of heterogeneous beliefs on the IPO underpricingphenomenon. Under the general analysis conclusions and the current GEM’s IPO mechanism,the thesis builds a GEM IPO pricing or underpricing model based on the heterogeneous beliefstheory to further analyzes the GEM IPO underpricing. Form the analysis of underpricingmodel, the conclusions shows that the priori heterogeneous beliefs and the posterioriheterogeneous beliefs between the main participants in the IPO will cause the IPOunderpricing phenomenon. According to the causes of heterogeneous beliefs, the thesis selectssome appropriate proxy variables of the priori heterogeneous beliefs and the posterioriheterogeneous beliefs, to analyze the GEM IPO underpricing phenomenon by empiricalresearch method. The results of empirical analysis are consistent with the previous conclusionsof model analysis. Therefore this result indicates that heterogeneous beliefs theory based onbehavioral finance is quite adequate to explain the IPO underpricing problem; the GEM IPOunderpricing phenomenon in largely because of the heterogeneous beliefs between the IPO’smain participants in the GEM board. IPO underpricing phenomenon is impede the efficientallocation of resources of capital markets. According to the causes of the priori heterogeneousbeliefs and the posteriori heterogeneous beliefs, the thesis gives some policy suggestions tosolve the problem of the GEM IPO underpricing, from the perspective of GEM’s IPOmechanism reform.