ABSTRACT

With the constant improvement of the Chinese capital market, there is an increasing number of enterprises employing strategic IPO timing behaviors. Therefore, the research of the optimal IPO timing is of great practical significance. Under the framework of the real options model by Draho, this paper introduces the capital asset pricing model and two variables including online distribution costs and private benefits, making a static analysis on the model’s result and conducting numerical and empirical simulations on China's A-share market stock data. Finally we arrive at the conclusion that the empirical test results, to a large extent, are consistent with the model’s results, excepting the impact of market fluctuation on the waiting time. Based on the above analysis, this paper sums up a few defects of the primary market and gives the relevant policy recommendations.

KEYWORDS

Prediction IPO timing; hot market; cold market; waiting time.

(原文刊于Pakistan Journal of Statistics，2013年5期)