文档介绍：中国证券市场IPOs长期弱势问题的实证研究
徐奇沈泓
(mg0402073,mg0402066)
摘要:本文对我国上证A股市场的IPOs样本分两个阶段进行了实证分析,分别运用BHAR和CAR两种方法得出不同时期IPOs长期走势的具体特征,发现在长期中IPOs的平均收益率要显著地低于其他股票,但两个阶段的IPOs弱势特征存在明显不同。在此基础上我们对影响我国IPOs长期走势的主要因素做了分析,发现除了企业和投资者行为的影响外,市场的监管机制也在其中起到了重要作用。最后针对这些因素本文提出了相应的政策建议。
关键词:长期弱势;异常收益率;投资者心理
Abstracts:This paper performs an empirical analysis on IPO samples of the domestic SSE A-share market in two periods. We use both BHAR and CAR methods to get the details of the long-run performance of IPOs, finding out the long-term average return of IPOs is much less than the one of the other stocks. However, we also find that the characters of underperformance of the two periods are different from each other. Based on the data analysis,we study on the main factors that can affect the long-run performance of IPOs in our country. Besides the behavior of corporations and investors, we find the mechanism of the market supervision may also play an important role in it. Finally, we give some policy suggestions concerning these factors.
Key words: long-run underperformance; abnormal return rate; psychology of investors
引言
自上世纪70年代以来,国外一些学者通过研究发现,在许多股票市场上,(IPOs),也包括增发的股票(SEOs),由于本文在样本选取中只选取了首次公开发行的股票,故特指IPOs,事实上弱势现象在SEOs中也存在。
(Initial Public Offerings,IPOs)普遍存在长期弱势现象(long-run underperformance),即IPOs股票在长期内的平均收益率要低于其他股票。根据有效市场理论,股票的价格是由公司的内在价值所决定,尤其在长期内,股票价格的变动应该与公司的基本面情况相关,而与该股