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

Changqing Luo and Zisheng Ouyang

Economic Modelling, 2014, vol. 40, issue C, 152-157

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.

Keywords: Bayesian inference; Stochastic frontier analysis; Pricing efficiency (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:40:y:2014:i:c:p:152-157

DOI: 10.1016/j.econmod.2014.03.030

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