| Offered capital (log(OfferSize)) |
| Hypothesis | The amount of capital offered has a negative impact on the level of IPO underpricing. |
| Substantiation | The amount of capital offered can be treated as a measure of issuance risk. A large amount of capital offered may suggest less risk, leading to a higher issue price and less underpricing. |
| Metric | The number of shares offered during the IPO multiplied by the issue price, logarithmised in order to keep the correct functional form, in line with the principles of the classical linear regression model. |
| New shares issued |
| Hypothesis | New shares issued have a negative impact on the level of IPO underpricing. |
| Substantiation | A company that offers more new shares during an IPO is expected to send a signal to the investors that it is confident in the IPO success and reduces the level of information asymmetry. |
| Metric | The ratio of the number of new shares issued to the total number of shares offered during the IPO. |
| Involvement of private equity or venture capital funds (PEVC) |
| Hypothesis | The involvement of private equity or venture capital funds has a negative impact on the level of IPO underpricing. |
| Substantiation | It is assumed that investment funds, due to their experience, are able to better estimate market behaviour and more accurately value a debuting company, which reduces the level of underpricing. |
| Metric | Binary variable, ‘1’ equals involvement of fund, ‘0’ indicates no involvement of the fund. |
| Market volatility |
| Hypothesis | Market volatility in the 6 months prior to the IPO has a positive impact on the level of IPO underpricing. |
| Substantiation | A market characterised by high volatility indicates high investment risk. Thus, the chance of an IPO succeeding in a highly fluctuating market is much smaller, so a lower issue price is expected (Menyah, 1994). |
| Metric | The standard deviation of the daily rates of return of the WIG within 6 months before the IPO date. |
| Market return |
| Hypothesis | Market return in the 6 months prior to the IPO has a positive influence on the level of IPO underpricing. |
| Substantiation | Investors operating in the so-called ‘hot market’ are much more inclined to make sudden, often-irrational decisions, which may lead to a higher share price at the close of the first day of trading. |
| Metric | Rates of return of the WIG within 6 months before the IPO date. |
| New technologies sector (TECH) |
| Hypothesis | Being in the technology industry has a positive impact on the level of IPO underpricing. |
| Substantiation | New tech companies enjoy great popularity on the stock exchange. Based on the theory of behavioural finance, we can conclude that the stocks of a new tech company will immediately rise. |
| Metric | Binary variable, ‘1’ - a company in the new technology sector, ‘0’ – other. |
| Company age (AGE) |
| Hypothesis | Company age has a positive impact on the level of IPO underpricing. |
| Substantiation | Companies that have been operating on the market for a long time have a lower risk of no profitability and are considered a more secure investment. In addition, they are more recognisable, which may positively affect the company's share price. |
| Metric | Discrete variable, the difference between the year of debut and the year in which the company was established |
| Company debt-to-equity ratio (DE) |
| Hypothesis | Company debt-to-equity ratio affects the level of IPO underpricing. |
| Substantiation | The debt-to-equity ratio is the basic indicator of the fundamental analysis of a company. The ratio of debt to equity is also a key element of the most popular method of business valuation: the discounted cash flow method (Damodaran, 1996). |
| Metric | The quotient of the company's debt to equity in the last full financial year as detailed in the prospectus. |
| Country of origin (PL) |
| Hypothesis | The company's country of origin affects the level of IPO underpricing. |
| Substantiation | Investors are often sceptical about foreign companies and are reluctant to invest their capital on the first day of debut. This relationship was proved by Alnodel (2018) using the example of the Saudi Arabian market. |
| Metric | Binary variable, ‘1’ - a company based in Poland, ‘0’ - other |
| Return on equity (ROE) |
| Hypothesis | Return on equity has a positive impact on the level of IPO underpricing. |
| Substantiation | The value of the ratio shows the company's profitability and ability to use capital. A higher value of the ratio is positively perceived by investors and may positively affect the valuation of a listed company. It is a basic indicator in the fundamental analysis of a company (Zaręba, 2014). |
| Metric | The quotient of the company's net profit and equity in the last full financial year as detailed in the prospectus. |
| Return on assets (ROA) |
| Hypothesis | Return on assets has a positive impact on the level of IPO underpricing. |
| Substantiation | The value of the ratio shows the company's profitability and ability to use the capital. A higher value of the ratio is positively perceived by investors and may positively affect the valuation of a listed company. It is a basic indicator in the fundamental analysis of a company (Zaręba, 2014). |
| Metric | The quotient of the company's net profit and equity in the last full financial year as detailed in the prospectus. |
| Earnings per share (EPS) |
| Hypothesis | Earnings per share have a positive impact on the level of IPO underpricing. |
| Substantiation | A basic indicator of fundamental analysis showing how much profit is attributable to one share. The higher the value of the ratio, the higher the potential dividend in the future. A high value of this ratio should translate to investors’ optimism. |
| Metric | Earnings per share in the last full financial year as detailed in the prospectus. |
| Price/Earnings ratio (PE) |
| Hypothesis | The price/earnings ratio affects the level of IPO underpricing. |
| Substantiation | A basic indicator used in the valuation of an enterprise; its low value may indicate that the company is not very attractive to investors. |
| Metric | The price/earnings ratio in the last full financial year as detailed in the prospectus. |
| Price/Book value ratio (PBV) |
| Hypothesis | The price/book value affects the level of IPO underpricing. |
| Substantiation | The indicator shows the relationship between market valuation and book valuation and is a kind of investors’ speculation about the company's future prospects. |
| Metric | The price/book ratio in the last full financial year as detailed in the prospectus. |
