Advances in Economics, Management and Political Sciences
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Proceedings of the 7th International Conference on Economic Management and Green Development
Series Vol. 43 , 10 November 2023
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Research on IPO Underpricing Decomposition: Evidence from China's Science and Technology Innovation Board
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Abstract
The study focuses on the phenomenon of initial public offering (IPO) underpricing in China's Science and Technology Innovation Board (STAR market). The study employs the stochastic frontier model to analyze IPO underpricing and decomposes it into two components: primary market underpricing and secondary market premium. Additionally, the research investigates the impact of research and development (R&D) investment on IPO underpricing. The empirical analysis is based on a sample of 480 companies listed on the STAR market between July 2019 and January 2023. The results reveal that IPO underpricing on the STAR market is substantial, with an average underpricing rate of 131.81%. The primary market underpricing component contributes 4.24% to the overall underpricing rate, while the secondary market premium accounts for the remaining 95.76%. Furthermore, the study explores various factors that influence the secondary market premium using multiple linear regression analysis. The findings indicate that variables such as issuance volume, underwriting fee, turnover rate, and R&D investment significantly impact the secondary market premium.
Keywords
IPO underpricing, SFA model, STAR market, secondary market premium
References
1. Li Shilin, Xiao Yu. Research on the Composition of IPO underpricing in Chinese Stock Market [J]. Financial Regulation Research, 2022.
2. Ma Yu,Liu Guiling,Qi Chaoping. IPO Pricing, Investor Behavior, and IPO Underpricing of High-Tech Companies: Evidence from SSE STAR Market and Nasdaq Market[J]. Discrete Dynamics in Nature and Society,2022.
3. Hunt-McCool J, Koh S C, Francis B B. Testing for deliberate underpricing in the IPO premarket: A stochastic frontier approach[J]. The Review of Financial Studies, 1996, 9(4): 1251-1269.
4. Kumbhakar S C, Lovell C A K. Stochastic frontier analysis[M]. Cambridge university press, 2003.
5. Huang Shunwu, Jia Jie, Wang Wenjun. IPO underpricing decomposition based on two-tier stochastic frontier Model: Evidence from chinext [J]. Chinese Journal of Management Science,2017,25(02):21-29.
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 7th International Conference on Economic Management and Green Development
- ISBN (Print)
- 978-1-83558-107-0
- ISBN (Online)
- 978-1-83558-108-7
- Published Date
- 10 November 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/43/20232119
- Copyright
- 10 November 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited