Research On IPO Pricing Of Gem Based On Market Risk VaR Model

Listed companies which are supported by the GEM are enterprises of high growth and high-tech.They give huge return to investors and also contain high risk at the same time.So,how to effectively measure the risk has become a problem of investor or various risk managers need to solve immediately.As the most advanced method of risk measurement,VAR model has been wildly used by various finance institutions,regulatory institutions,non financial firm and asset controller all over the world.It can not only conduct risk management actively,but also can used for defensive risk control and negative information exposure.So,the risk management VaR model used in China GEM IPO pricing process is already imperative.Firstly,the paper summarizes the current situation of IPO pricing model and VaR model at home and abroad and the existing pricing system.Secondly,after introducing the detailed theory of VAR model,it explores the risk measurement results under different VaR models from the perspective of the GEM index,and obtains the optimal VaR measure model during the sample period.Thirdly,based on the samples of listed companies in the GEM,the optimal VaR risk measurement model is introduced from the microcosmic perspective,and the Multi-factors IPO pricing model is constructed.Finally,in order to verify the rationality of pricing and the applicability of the model,the EFF efficiency of Stochastic Boundary model and the Comparable Companies modle under multiple industries are used to test the pricing results and pricing model.Research indicates:(1)In the measurement of overall risk of the GEM,the effect of the Historical Simulation Method is better than Variance Covariance and GARCH-VaR.The Monte Carlo Simulation will lead to higher risk management costs because of its fine results,so it can,t be used in IPO pricing.(2)The addition of market risk in GEM IPO pricing process can improve the pricing efficiency.And the market risk has a positive effect on the value of the stock during the inspection period.(3)Compared it with the short-term market price,the stock issue price is not a good response to the value of the stock.(4)Compared with enterprises of different first day underpricing rate under multi-industry,we find that it can cause new shares break when investors realize that there is a bubble in the GEM pricing.