Stochastic Dominance Test on IPO Long-run Performance in the Chinese Stock Market

摘要：

The existence of IPO long-run underperformance has been in dispute, and the dispute focuses on the choice of measurement of the abnormal returns. This paper examines the IPO long-run performance based on the data from Chinese stock market using stochastic dominance criteria first. In this study, it has been found that there is no first-order stochastic dominance relation between the IPO and benchmark portfolios in the Chinese stock market. However, those benchmark index second-order stochastically dominate the IPO portfolios, and this finding generally imply that the question of assessing portfolio between IPO firms and benchmark index depends critically on the specific cumulative distribution function of the benchmark index. In particular, the impact of a large number of Chinese non-tradable shares on study of Chinese stock market, should be given adequate attention.

关键词： Stochastic dominance Initial public offerings Long-run performance

作者: HUANG Xiyang

作者单位: School of Management,University of Science and Technology of China,China,230022

会议类型: 国际会议

会议名称: 2009 International Conference on Management Science and Engineering(2009管理科学与工程国际会议)

会议地点: 北京

会议语种:英文

页码: 391-396

在线出版日期: 2009-11-01（万方平台首次上网日期，不代表论文的发表时间）