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Estimating IPO pricing efficiency by Bayesian stochastic frontier analysis: The ChiNext market case

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  • Luo, Changqing
  • Ouyang, Zisheng

Abstract

Based on the Bayesian stochastic frontier analysis (BSFA), this paper empirically studies the pricing efficiency of initial public offering in the ChiNext market from October 2009 to January 2014. The average pricing efficiency calculated by the BSFA model is 0.5908, suggesting that most of the information about the issuers is not reflected in the offering price. Meanwhile, Fundamentals of issuers, Information asymmetry, Issue characteristics, and Market environments have different effects on IPO pricing.

Suggested Citation

  • Luo, Changqing & Ouyang, Zisheng, 2014. "Estimating IPO pricing efficiency by Bayesian stochastic frontier analysis: The ChiNext market case," Economic Modelling, Elsevier, vol. 40(C), pages 152-157.
    • Handle: RePEc:eee:ecmode:v:40:y:2014:i:c:p:152-157
    DOI: 10.1016/j.econmod.2014.03.030
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    References listed on IDEAS

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    Cited by:

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    2. Reber, Beat & Vencappa, Dev, 2016. "Deliberate premarket underpricing and aftermarket mispricing: New insights on IPO pricing," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 18-33.
    3. Changqing Luo & Siyuan Fan & Qi Zhang, 2017. "Investigating the Influence of Green Credit on Operational Efficiency and Financial Performance Based on Hybrid Econometric Models," IJFS, MDPI, vol. 5(4), pages 1-19, November.
    4. Colak, Gonul & Fu, Mengchuan & Hasan, Iftekhar, 2022. "On modeling IPO failure risk," Economic Modelling, Elsevier, vol. 109(C).

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