摘要
选取自2005年1月实施询价制以来至2010年6月30日在我国沪深股市发行的461个IPO样本,分别采用事件时间和日历时间的研究方法,使用不同市场基准计算IPO等权平均、总市值加权平均收益率,并实证检验了IPO长期表现的影响因素,研究结果表明:询价制下中国IPO在3年内总体上表现为长期弱势,与询价制实施之前的长期强势结果相反;新股发行的高定价、投资者情绪和意见分歧是我国IPO长期弱势的主要因素;IPO的长期表现受到不同的事件时间和日历时间研究方法,以及使用不同的市场基准收益率和不同的IPO超额收益率加权方式等的影响.
This paper investigates the long-run performance after the listing of 461 IPOs from January 2005 to June 2010 in Chinese A-share markets.Based on Event-time and calendar-time analysis,the IPOs＇ equally weighted returns and total market value weighted returns are calculated,which are adjusted by different market benchmarks.The empirical results display that： there exists a long-run underperformance for IPOs＇ within 3 years after the listing as is completely opposite to the results before the book-building;the long-run underperformance is mainly affected by the overpricing of IPOs,investor sentiment and divergence of opinions;the IPOs＇ long-run abnormal returns are sensitive to not only event-time and calendar-time approach,but also to different market benchmarks and to which method of weighting average is employed.
出处
《管理科学学报》
CSSCI
北大核心
2012年第11期66-75,共10页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71001077
71131007
70971098)
教育部高等学校博士学科点专项科研基金资助项目(20100032120033)
关键词
新股发行
长期表现
投资者情绪
意见分歧
initial public offerings
long-run performance
investor sentiment
divergence of opinions
