EMPRICAL STUDY OF IPO RETURNS BASED ON THE CHINESE MARKET DATA

摘要：

　　Based on data from Chinas IPO market over recent years, this paper conducts an analysis of the factors which are currently influencing IPO short-term excess returns.It also compares the interpretative strengths of relevant market theories.It empirically proves that Signalling Theory and Winner Curse Theory have shown better performance than other information asymmetry theories in terms of interpreting the short-term excess returns.In view of the imbalance between supply and demand, our research indicates that the issuance scale, and the number of institutional investors, both contribute greatly to the abnormal excess returns.This reality can be found in terms of: information asymmetry, returns on price-earnings ratio, the growth rate of net profits, and the number of reports on prediction,which also play a significant role with the issuance scale.A comparison between different boards proves that the abnormal short-term excess return in the Main Board is not a significant factor as expected.However, the phenomenon of the abnormal excess returns in the GEM (Growth Enterprise Market) is serious and should be noted.

关键词： Short-term Excess Return Information Asymmetry Theory Issuance Scale

作者: Qianhui Lin Jinyu Liu

作者单位: School of Economics and Management, Beihang University, Beijing 100191, China School of Economics and Management, Beijing Information Science & Technology University,Beijing 1001

会议类型: 国际会议

会议名称: The 11th International Conference on Industrial Management(第十一届工业管理国际会议)

会议地点: 日本

会议语种:英文

页码: 692-697

在线出版日期: 2012-08-29（万方平台首次上网日期，不代表论文的发表时间）