Analysis of Stock IPO Price Based on CAPM Model

Chengjiao Song

Abstract


In order to determine the issue price of China's nuclear construction (601985) stock, this paper established the relationship between stock return and risk premium through the capital asset pricing model, and obtains the stock return rate according to the rate of return = dividend / share price. Get the theoretical issue price of the stock. As China's nuclear construction is to apply for listing, historical data does not exist, so this article chose the same industry or situation similar to the listed companies as a reference, with the same type of enterprise listed on the performance of a rough estimate of China's nuclear IPO issue price. China's nuclear construction listed on May 27, this sample range selected from January 1, 2016 to March 31, 2016, selected the same industry, listed on the Shanghai Stock Exchange of China's nuclear value of β instead of China's nuclear construction β value. To retrieve their daily rate of return data and SSE A refers to the daily rate of return data (data from the Ruisi database). The risk-free rate is selected using a three-month time deposit rate of 1.1%. According to the CAPM model, Eviews software was used for regression analysis, and the respective β values were obtained. The mean value was calculated and the predicted price of China's nuclear construction was calculated.

Keywords


capital asset; pricing; model regression; yield rate; β coeffi cient

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References


Guo DZ. Mathematical Finance - The principle and model of asset pricing [M. Beijing: Tsinghua University Press, 2006

Stampfl i, Goodman, Cai MC, translation. Financial Mathematics [M]. Beijing: Mechanical Industry Press, 2004

Wang QS, Peng YC. design pricing model of time series characteristics of a-share price in China [J]. Economics Quarterly,

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