In recent years, Guangdong-Hong Kong-Macao Greater Bay Area has gradually promoted the interconnection of financial markets and Hong Kong Exchanges and Clearing Limited has launched the most significant reform in 30 years. More and more mainland enterprises have listed on Hong Kong stock market, but a large number of them fell below the IPO price on their first day of trading. This paper studies the IPO pricing efficiency and the influencing factors of falling below the IPO price of the mainland enterprises listing in Hong Kong. Based on stochastic frontier analysis theory, a stochastic upper boundary model and a stochastic lower boundary model on IPO pricing are constructed by considering the impact of corporate fundamentals, issuance characteristics, and market environment. The IPO pricing efficiency of the mainland enterprises is measured and compared with the overall IPO pricing efficiency of the Hong Kong stock market. The stochastic frontier model is used to study the pricing efficiency of the secondary market, and the influencing factors of the level of falling below the IPO price are explored. The empirical results show that high issuance prices, market downturns, small enterprise scale and low capital turnover are the main factors of falling below the IPO price. This study provides a basis for the decision-making, reasonable pricing, and financial risk controlling of mainland enterprises in Hong Kong.
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