Research Article
The Factors that Affect IPO Premium in China: An Empirical Study
@INPROCEEDINGS{10.4108/eai.17-6-2022.2322811, author={Quanquan Xie}, title={The Factors that Affect IPO Premium in China: An Empirical Study}, proceedings={Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China}, publisher={EAI}, proceedings_a={ICIDC}, year={2022}, month={10}, keywords={ipo behavioral finance investors’ sentiment}, doi={10.4108/eai.17-6-2022.2322811} }- Quanquan Xie
Year: 2022
The Factors that Affect IPO Premium in China: An Empirical Study
ICIDC
EAI
DOI: 10.4108/eai.17-6-2022.2322811
Abstract
This paper analyzes the impact of significant factors on IPO premium, and makes an empirical test on 1000 IPO companies from 2006 to 2021. We find the data and information of these companies from GTA and Wind database. Firstly, sentiment factor S is composed by six factors. Then, we explore the correlation between every two factors by correlation analysis and analyze the data with statistical analysis. Through stepwise multiple linear regression, six models formed with different included factors and the coefficient of determination. To conclude, the model that has performed the best includes sentiment S (a component made from factor analysis of six variables), the number of effective subscription account, investor sentiment index (calculated based on a previously invented regression function), effective subscription funds, the first day price fluctuation, and IPO price-earnings ratio. All these variables mentioned have significant correlation with IPO premium. This model has the highest coefficient of determination, 0.414.
