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326Vol132No1620066JournalofFinanceandEconomicsJun12006IPO31,2(11,100080;21,362021):IPOIPO,,IPO,,IPO,IPO;,,:IPO;IPO;;:F830191:A:100129952(2006)06O0004O11IPO(InitialPublicOfferings),,,IPO,IPO,15%IPO,19931998136%(,1999),,,1999IPO,:,,,;:2006201209:(1945-),,,,;(1966-),,,4,,,,IPOIPO,,,,IPO,,,IPO,,IPO,IPO,IPO,,,,,:,,;;;;Ritter(2002)IPO,IPO:IPOIPOIPO1975RogerGIbbotson,,196019691203,IPO1114%(Ritter,1984;BeattyRitter,1986)IPO,15%,,IPO,,Rock,IPO,5:IPO,,IPO,,IPOIPO,,(1997)Rock,SuFleisher(1999)ChiPadgett(2002)AIPO,(2003)AllenIPOIPO,,,,,,IPOIPO,,(1999),,,,IPO(),,,,,1998,,,,11,,,IPOIPOIPO,IPO,,IPO620066,,IPO21,(199011199917)(199918200118)(2001111200418)(200511),:,1997119997,,343;,1999820018,,231;,20011120048,20,244,2004127,200511,,,,11IPO,,,525A,11IPOIPO()IPO()IPO(%)(%)199711199917160639343133910146165471721999182001181631202194231155817570156771172001111200418202108512624413841988217978136:21,,22V01IPOV15V02V16V03V17V04V18V05V197:IPO2V06V20V07V21V08V22V09V23V10V24V11V25V12V26V13V27V14V28,(),,,,,,,,,,IPOCSMAR,ExcelVBasic,SPSS1110Eviews510,IPO,,,:33(%)5120319521672127211111441118221621711911162918891196127511222162391815114361131701507617681189513531793113215121371136231261614713160101891013051932312639173531336412274151801448200663(%)510441152197118911581128112211022119018103121908123618851585131414521190391945218461107671957315378184831293,6880%,,,F1F2F3F4F5F6F7F8,::,IPO()11IPOV1=51973+01200F1+01093F2+01453F3-01177F4(65196)(2120)(1102)(4198)(-1195)-01292F5+01901F6-01463F7(-3121)(9192)(-5110)R2=01528,AdjustedR2=01506,D1W1=21062,F=241168t,21IPOOLS,V1=131861-11107F1-01468F2+11693F3-01646F4(32155)(-3136)(-1145)(5120)(-1199)-11201F5+21487F6-11398F7(-3176)(7145)(-4116)R2=01466,AdjustedR2=01440,D1W1=11970,F=181542,,IPO,,(1999),IPO,(,71888),IPOIPO,IPO,9:IPO()11IPOV1=81611+01996F1+01226F2+11764F3+01745F4(33128)(3184)(0187)(6179)(2187)-11719F5-01569F6(-6162)(-2119)R2=01433,AdjustedR2=01411,D1W1=11657,F=19175521IPOV1=201375-11330F1+11028F2+31652F3+11944F4(29131)(-11907)(11472)(5124)(2179)-31386F5-01337F6(-4186)(-0148)R2=01295,AdjustedR2=01268,D1W1=11671,F=101801,IPO,,,;,21638(81611-51973),,IPO,01268,IPO((201375-81611)/81611=136162%)((71888/51973=132106%),,,,,,,IPO,,,,IPO,,,,,,,,,(4),,,,,,0120066,,,4IPOIPO(%)19971418014810577187199814146131150109127199918100114156731022000341041541378611120013118813810490160:(2004)Bloomberg()11IPOV1=71201+11104F1-01736F2+21059F3-11107F4(44169)(6183)(-4155)(12173)(-6184)+01971F5-01245F6+01308F7+01069F8(6101)(-1152)(1190)(0142)R2=01715,AdjustedR2=01697,D1W1=11941,F=39178721IPOOLS,V1=141038+01475F1-21597F2+31391F3-11301F4(33127)(1160)(-8198)(10192)(-4149)+11092F5-01405F6+01449F7-01040F8(3164)(-1136)(1137)(-0113)R2=01666,AdjustedR2=01644,D1W1=11930,F=301616,IPO,IPO,0169701644,,20IPO,,18182,6178,20,15,,,2005,1418,11:IPO14145,16187,2005,,,,,,,,,,:,,,,IPO,,,,,,,,IPOIPO,,,,,,,,,,19992001,2005,,,,,,,21200661999,,,,,,,(),,,,3,:=IPOIPO-1100%,IPO;;;;;;;;,,:[1],1[J]1,2000,(8):112[2],1[J]1,2002,(5):25281[3],,1IPO[J]1,2005,(3):24271[4],,1IPO[J]1,2003,(4):46611[5],,1[J]1,2000,(3):7982[6]1[J]1,1997,(12):17241[7],,1[J]1,1999,(9):18231[8],,,1[J]1,1999,(4):64701[9]Baron,DavidP1Amodelofthedemandforinvestmentbankingadvisinganddistribu2tionservicesfornewissues[J]1JournalofFinance,1982,37:9559761[10]BeattyRP,RitterJR1Investmentbanking,reputationandthedistributionservicesfornewissues[J]1JournalofFinancialEconomics,1986,15:2132321[11]ChiJing,PadgettCarol1ShortOrununderpricinganditscharacteristicsinChineseIPO31:IPOmarkets[R]1WorkingPaper,UniversityofReading,20021[12]IbbotsonRG1Priceperformancetocommonstocknewissues[J]1JournalofFinan2cialEconomics,1975,3:2352721[13]RitterJR1Thehotissuesmarketof1980[J]1JournalofBusiness,1984,57:2152401[14]RockK1Whynewissuesareunderpriced[J]1JournalofFinancialEconomics,1986,15:1872121[15]SuD,FleisherBM1AnempiricalinvestigationofunderpricinginChineseIPOs[J]1PacificOBasinFinanceJournal,1999,7:1732021[16]WelchI,RitterJ1AreviewofIPOactivitypricingandallocations[R]1YaleICFWorkingPaper,2002,2:1441AnEmpiricalStudyontheRationalityofIPOPricingCAOFenOqi1,DONGXiuOliang2(11GuanhuaSchoolofMangement,PekingUniversity,Beijing100080,China;2.BusinessSchoolofHuaqiaoUniversity,FujianQuanzhou362021,China)Abstract:DomesticandforeignresearchersusuallyusethedegreeofIPOunderOpricingandthecomparisonwithmaturemarkettomeasuretheration2alityofIPOpricing.Infact,thismethoddoesn’tquitesuittotheChinesestockmarket.Inthispaper,weanalyzetherationalityofIPOpricingthroughtheexplainingabilityofthemaincomponentsofvaluevariablestoprices.Additionally,empiricalanalysisineachphraseisconductedtotesttheperformanceofpricingsystemreform.TheresultsshowthattheIPOpriceinChineseAOsharemarketgenerallyreflectsmorecorporateintrinsicvaluethanthesecondarymarketprice,themainreasonofthehighdegreeofIPOunderOpricingliesintheoverhighsecondarymarketprice,andtheim2perfectperformanceofthemarketpricingsystemreformrelatesmoretothetimingchosenthantothesystemitself.Keywords:degreeofIPOunderOpricing;rationalityofIPOpricing;per2formanceofpricingsystemreform;maincom