With the rapid development of the security stock market especially the stock market in chian , issuing stock and circulating on market became the first choice of financing for more and more enterprise at the same time , more and more investors are attracted by the relately high initial return of stock however , the problem of ipos underpricing always exists in the stock market according to the data of more than one thousand chinese stocks , most new issues had great raise in the first trade day , and investors could acquire higher initial return than the average return of the stock market or the same industry we find that initial returns on a - share ipos average reached 132 . 24 percent the main body of this paper is made up of six sections : in the first part , we introduced the method of the estimate of pricing decision ; in the second part , we analyzed the method of the pricing decision and issuing system in china , discussed the advantage and weakness of the various issuing methods , and compared the economic efficiency between the examine and approve system and authorization system ; in the third part , we analyzed the reason of ipo ' s underpricing in detail from information economics and other factors and combined with the environment of the chinese stock markets , we analyzed the special characteristics in china and how they effect the ipo ' s underpricing in the fourth part , we analyzed the data of chinese stock market with spss , made a analysis of the administrative pricing decision and market pricing decision , studied the underpricing phenomena of chinese stock market , and analyzed it ' s causes ; in the fifth part , we made a analysis of the examine approve system and authorization system ; and in the last part , we drew some conclusions and put forth some policy advices the follow are the conclusions and policy advices in this dissertation : ( 1 ) from the results of this empirical study , we found that the issuing price - earning ratio and the market situation before ipos are strongly and positively associated with the underpricing of shares , the issuing scale of ipo and the hit rate are strongly and negatively associated with the underpricing ; ( 2 ) we found that after the abolishing of ipo ' s p / e ratio and the using of authorization system , there is no significant difference among the underpricing of shares , but considered with the market entironment , we think that the ipo ' s underpricing has been correspondingly reduced ( 3 ) to reduce difference between the primary market and the second market , we suggested that we shall bring the " over - allotment option ( oao ) " to bear and resume the state - owned share and corporate - owned share to circulate on market as soon possible 本文的主體由六個(gè)部分組成:第一部分介紹新股發(fā)行定價(jià)的估值方法;第二部分對(duì)我國的發(fā)行定價(jià)方式和發(fā)行制度進(jìn)行分析,探討不同發(fā)行定價(jià)方式的優(yōu)缺點(diǎn),以及審批制和核準(zhǔn)制經(jīng)濟(jì)效率分析;第三部分從信息經(jīng)濟(jì)學(xué)角度和其他因素的角度詳細(xì)分析造成新股發(fā)行抑價(jià)的原因,并結(jié)合我國股票市場(chǎng)實(shí)際情況,分析了我國市場(chǎng)的特有因素是否及如何影響一級(jí)市場(chǎng)的發(fā)行抑價(jià)程度的;第四部分利用統(tǒng)計(jì)分析軟件spss對(duì)我國新股行政化和市場(chǎng)化定價(jià)進(jìn)行實(shí)證分析,主要包括新股發(fā)行行政化和市場(chǎng)化定價(jià)方式的實(shí)施情況和效果分析、新股發(fā)行行政化定價(jià)方式的實(shí)證分析,以及新股發(fā)行行政化和市場(chǎng)化定價(jià)方式的比較實(shí)證分析;第五部分利用統(tǒng)計(jì)分析軟件spss對(duì)我國新股發(fā)行審批制和核準(zhǔn)制進(jìn)行實(shí)證分析;第六部分是本論文的主要結(jié)論。本文的主要結(jié)論和建議有: ( 1 )從實(shí)證分析結(jié)果看,我國新股發(fā)行抑價(jià)與市場(chǎng)環(huán)境、發(fā)行市盈率呈顯著正向關(guān)系,與發(fā)行規(guī)模、申購中簽率等呈顯著反向關(guān)系。 ( 2 )取消發(fā)行市盈率限制和實(shí)施核準(zhǔn)制等市場(chǎng)化改革措施并沒有降低發(fā)行抑價(jià)的絕對(duì)水平,只是由于市場(chǎng)環(huán)境的因素,發(fā)行抑價(jià)的相對(duì)水平才有所降低。