Influencing Factors And Prediction Model Of IPO Under Pricing

IPO under pricing is the usual phenomenon in many countries’capital market, which had drawn a lot of academia attention. However, dozens of abnormal cases turned up in China’s A-share market all of a sudden since2010. This new phenomenon that the first-day closing price was less than IPO price subverts against the previous academic research. To provide a reliable reference to better investment practices, this article has conducted in-depth study of this new phenomenon. Firstly, based on comprehensive descriptive statistics, we analyzed the influencing factors of this new phenomenon by several empirical methods like variance analysis, regression test and factor analysis. We found these driving forces can be divided into four aspects:(1) financial characteristics like EPS;(2) IPO characteristics like IPO price;(3) information asymmetry characteristics like auditor reputation;(4) the overall stock market characteristics like Shanghai Composite Index. More importantly, this paper proposed a logistic model to predict this new phenomenon, which showed reliable predictions with the experiment of data from July to December in2011. In some ways, this logistic model could keep the prediction error within5%, which will provide a more effective method to avoid the risk of IPO investment.