The Research On IPO Underpricing Influenced By Institutional Investor’s Quotation Behaviors

IPO underpricing means that IPO price is far lower than the price listed on the first day. It is generally believed that institutional investors participating in the IPO pricing process will improve the IPO underpricing problem. Since the IPO pricing mechanism has been reformed in 2005, the inquiry has been used in IPO pricing, institutional investors have participated in the process of issuing new shares. Implementation of the inquiry system has changed the pricing of new shares, institutional investors have a significant impact on the pricing of new shares through initial inquiry and accumulated bidding inquiry stage, the issue price of new shares and underpricing influenced by institutional investors quotation behaviors under the net inquiry stage.Domestic literature mainly uses the number of institutional investors under the net inquiry stage, oversubscription offline rate and other macro variables index to measure the quotation behaviors of institutional investors. On this basis, this paper used the number of institutional investors under the net inquiry stage and institutional investors allocated shares number to measure the quotation behaviors of institutional investors and took into account the impact of the implementation of self-allotment option on the quotation behaviors of institutional investors. This paper used specific quote data under the net inquiry stage to analyze the impact of the quotation behaviors of institutional investors on IPO underpricing and explored how to better motivate institutional investors to disclose truthful information of stock price and reduce IPO underpricing and improve market efficiency of resource allocation.This paper selected the company listed on the Shanghai and Shenzhen A-share from January 2014 to March 2015 as samples, based on the result of parametric test and non-parametric test, correlation analysis and multiple regression analysis, analyze the influence of institutional investor’s quotation behavior on IPO underpricing, and examine the effect of self-allotment option on institutional investor’s quotation. The results showed that the number of institutional investors participating in the inquiry increased, the degree of new shares’ underpricing raised, institutional investors adopted a common strategy down the offer in the inquiry process. The implementation of self-allotment option reduced the degree of the impact of the number of institutional investors on IPO underpricing, the degree of depression quotation by institutional investors and the underpricing of the new shares reduced. "Winner’s curse" theory does not apply in the present stage, the implementation of self-allotment option did not effectively incentive institutional investors to disclose the information of real stock price, and IPO underpricing did not significantly reduce. On this basis, this paper also carried out robustness tests to enhance the persuasion of empirical results.The research results indicate that the implementation of self-allotment option help underwriters take advantage of the number of discrimination tools to incentive institutional investors and reduce the underpricing of new shares, at the same time, this paper recommend securities regulators for liberalizing self-allotment option further, and enhance the institutional investors and underwriter’s supervision.