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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Arman Antonyan
Pricing on Primary Market
Financial Engineering
(Master’s programme)
2018
The relevance of this topic is the contradiction of the currently existing results of researches on pricing in the initial public offering, explaining the reasons for underpricing when conducting an IPO due to the asymmetry of information between market participants. There are many studies that prove classical theories of underpricing of securities, and at the same time, there are those that disprove these theories. Therefore, the analysis of pricing factors in the initial public offering can help to identify the most significant reasons for underpricing of a security.

The purpose of this work is to study the existing theoretical models that explain the underpricing of shares in an IPO, and the analysis of the influence of groups of factors on underpricing of shares of Russian issuers during an IPO.

In this paper, the phenomenon of underestimation of Russian companies during initial public offering (IPO) for the total aggregate sample of 124 IPOs for the period from 1996 to 2017 is being investigated. The first chapter examines the theoretical aspects of primary public offerings, in particular pricing in IPOs, and also examines theories explaining the phenomenon of underestimation in the initial public offering. Based on a large research base on this topic, the input of the work identified factors for conducting empirical analysis. In the second chapter, regression models are constructed that consider the influence of these groups of factors related to the groups of the signal theory, the hypothesis of expected uncertainty and investor sentiment.

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