Research On IPO Pricing Efficiency Under GEM Registration System

China’s Growth Enterprise Market(Chi Next),established in 2009,is still in the exploration and growth stage due to its relative short history,imperfect practical experience and institutional construction.In terms of issue pricing,the development process of GEM has highlighted the phenomenon of "three high" IPO(high issue price,high P/E ratio and high over-raising ratio)and IPO price suppression under regulatory guidance,indicating that IPO pricing does not accurately reflect the true intrinsic value of issuers,and the problem of IPO pricing efficiency has long existed in China’s GEM market.In April 2020,the much-anticipated GEM registration system reform plan was introduced,which is another profound change in China’s capital market after the registration system reform of the SSE STAR Market.This registration system reform is based on the reform idea of "one main line" and "three co-ordination",and implements the registration system of stock issuance with information disclosure as the core,aiming to comprehensively improve the marketoriented level of stock issuance pricing on GEM.This paper examines whether the GEM registration system reform can improve the pricing efficiency of GEM IPOs,and further explores the impact of information disclosure rules,pricing mechanisms and other reform measures on the IPO pricing efficiency.This paper uses the data of 828 stocks publicly issued and listed on the GEM of SZSE from the opening of GEM on October 30,2009 to August 24,2020,and the data of 263 stocks publicly issued on the GEM after the registration system reform from August 24,2020 to January 7,2022 as the research samples,and measures the GEM IPO pricing efficiency before and after the registration system reform through the lower bound stochastic frontier model.To investigate whether the registration system reform can improve the IPO pricing efficiency of GEM.Then,a multiple linear regression model is used to investigate the effect of the main measures of the registration reform on the pricing efficiency of GEM,using the pricing efficiency of GEM companies to be listed after the registration reform as the explanatory variables.The empirical results of this paper show that:(1)the mean value of IPO pricing efficiency of GEM before the registration system reform is 68.13%,and the mean value of IPO pricing efficiency after the registration system reform is 82.99%,the pricing efficiency of GEM listed companies has been significantly improved after the registration system reform,and the IPO premium situation has been alleviated;(2)the reform measures in terms of information disclosure and pricing mechanism of the registration system have influenced to some extent the GEM IPO pricing efficiency,among which the impact of pricing mechanism-related variables on IPO pricing efficiency is more significant.This paper is divided into seven chapters.Chapter 1 is the introduction,which briefly introduces the background of the study and introduces the research questions;Chapter 2 is the literature review,which compares the research results of domestic and foreign scholars on IPO issuance system,IPO pricing efficiency and its influencing factors;Chapter 3 introduces the evolution of China’s IPO issuance mechanism,GEM market overview and the content of the registration system reform,IPO pricing efficiency concept and measurement method,which is a necessary prelude for the later empirical analysis;Chapter 4 describes the theoretical basis of stochastic frontier model and constructs the research design of this paper;Chapter 5applies the stochastic frontier model to measure the pricing efficiency of GEM before and after the registration system;Chapter 6 provides an empirical analysis of the impact of the registration system reform measures on the pricing efficiency;Chapter 7 provides conclusions and recommendations.The possible innovations of this paper are:(1)the data are relatively new and a large amount of data are manually collected and compiled.In terms of time,the data in this paper are up to January 2022;in terms of data collection,in the analysis of impact factors,this paper has conducted a lot of manual statistics and collation of263 companies’ inquiry response documents,prospectus disclosure words and number of risks disclosed by the official website of SZSE.(2)There are some innovations in variable selection and model design.Unlike previous literature,this paper is based on the perspective of GEM registration system,converts the reform measures of information disclosure rules and pricing mechanism into corresponding explanatory variables,and selects the lower bound stochastic frontier model by combining the characteristics of high valuation of GEM IPO(especially after the registration system reform).