Primary Market Under-pricing or Secondary Market Over-pricing?—An Empirical Analysis and Explanation of IPO Puzzles in the Chinese Stock Market
用随机前沿方法分析中国股市IPO溢价，发现一级市场定价偏低仅解释12.7%的溢价，而二级市场定价偏高解释了83%，对理解IPO定价机制有参考价值。
The paper examines the impacts of IPO underpricing on the premium of Initial Public Offering in the Chinese stock market with Stochastic Frontier Approach.The empirical results show that with one of the five sub-samples,the IPO pricing is systematically under-estimated.However,the intrinsic values of the IPO companies derived from Stochastic Frontier estimation could be systematically over-estimated due to the special institutional background in the Chinese stock market.Further analyses show that IPO underpricing could explain only 12.7%of the premium of Initial Public Offering,with the rest 83%be explained by the secondary market overpricing.