The Impacts of Registration Regime Implementation on IPO Pricing Efficiency
We study the impacts of regime changes and related rule implementations on IPOs initial return for China entrepreneurial boards (ChiNext and STAR). We propose that an initial return contains the issuer fair value and an investors overreaction and examine their magnitudes and determinants. Our findings reveal an evolution of IPO pricing in response to the progression of regulation changes along four dimensions: 1) governing regulation regime, 2) listing day trading restrictions, 3) listing rules for issuers, and 4) participation requirements for investors. We find that the most efficient regulation regime in Chinese IPO pricing has four characteristics: 1) registration system, 2) no hard return caps nor trading curbs that restrict the initial return; 3) more specific listing rules for issuers, and 4) more stringent participation requirements for investors. In all contexts, we show that the registration regime governing the STAR IPOs offers the most efficient pricing.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
The Impact of Regulation Regime Changes on ChiNext IPOs: Effects of 2013 and 2020 Reforms on Pricing and Overreaction
Since its inauguration, ChiNext has gone through three time periods with two different regulation regimes and three different sets of listing day trading restrictions. This paper studies the impact of regulation regimes …
Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the…
Evaluating congestion pricing schemes using agent-based passenger and freight microsimulation
The distributional impacts of congestion pricing have been widely studied in the literature and the evidence on this is mixed. Some studies find that pricing is regressive whereas others suggest that it can be progressiv…
European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning
In this article, we employ physics-informed residual learning (PIRL) and propose a pricing method for European options under a regime-switching framework, where closed-form solutions are not available. We demonstrate tha…
A General Approach for Lookback Option Pricing under Markov Models
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We co…