Empirical Research on the Rationality of the GEM IPO Pricing

Abstract

Abstract: Based on the sample of 355 Gem listed companies from 2009 to 2012,this paper studies the rationality in the process of the Gem IPO pricing in our country by using VaR value at risk model and principal component analysis and efficiency value from two perspectives of enterprise internal value and market value at risk.The result indicate that market risk shall be incorporated in to the issue of IPO mechanism in order to improve the efficiency of pricing. It is found that the market risk has positive effect on the intrinsic value of the stock during the inspection period.The price of the share issue is difficult to reflect the value very well compared with the market price. When investors realize the value bubbles in the pr-ocess of IPO pricing, they would lead to lower yields on the first day, and even break.

Key words: IPO, Gem, VaR modle, principal component analysis, efficiency value, comparable company analysis

CLC Number:

F830.91

LIU Qiang-qiang, HUANG Shun-wu. Empirical Research on the Rationality of the GEM IPO Pricing[J]. , 2016(5): 41-52.

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