基于聚类分析的IPO定价实证研究

An Empirical Study of IPO Pricing Based on the Method of Cluster Analysis

股票发行定价作为股市运行极为关键的一环,它的合理与否将直接关系到整个股市运行的效率。选取沪A近4年来发行新股作为研究样本,然后利用多元线性回归方法作分析,可找出影响IPO发行价格的8个主要因素。将定价研究集中到行业中进行,以多元回归得到的主要因素作为聚类指标,选取某一行业(如电力行业)已发行股票为样本,对其进行聚类分析和判别分析,建立该行业新股发行定价的衡量体系,可为拟发行新股的公司提供定价指导。

IPO pricing, as an essential part of the run of the market, will influence the efficiency of the entire stock market. In this paper,A-share in Shanghai Stock Exchange in the recent 4 years were selected as the research sample. Then the regression method was used to make the analysis. We find the principle factor that affects the IPO pricing. Finally, the pricing research was concentrated on the industry. The principle factors got by regression analysis were the cluster factors. An industry （this paper the electric power industry） was selected as a sample. Then the sample was analyzed by the methods of cluster and discriminates. This will establish a system to decide the IPO price in the industry and help the IPO companies to give a reasonable price.