第
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———
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Study of IPO Under鄄pricing Decomposition Based on Stochastic
Frontier Production Model and Its Lag Effect
HU Zhiqiang & ZHAO Meijuan
(
School of Economics and Management
,
Wuhan University
,
Wuhan
,
Hubei 430072
,
China
)
Abstract
: In order to explore the reason for IPO under鄄pricing in China's A share market, this paper decomposed IPO un鄄
der鄄pricing on the basis of stochastic frontier production model and got the boundary value of the IPO price. The empirical re鄄
search findings show that the IPO pricing efficiency is 99郾 14% , which proves the existence of the deliberately under鄄pricing be鄄
havior by issuer during the samples, but such behaviors are not obvious. Then the research studied the secondary market, and
found that the GARCH(1,1) is the optimal fitting of the first day IPO underpricing rate, and proved the existence of the lag
effect of new share under鄄pricing. Finally, this paper divided the sample intervals based on time for reforming the issue of new
share and found the lag effect had become gradually weaker, which supports the reform of IPO issuing system in the direction of
market鄄driven registration system.
Key Words
: IPO under鄄pricing; stochastic frontier production model; lag effect; GARCH model
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