| A股上市首日超额收益影响因素的实证研究 |
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| 引用本文： | 赵林海,郑丕谔.A股上市首日超额收益影响因素的实证研究[J].西安电子科技大学学报(社会科学版),2008,18(3):115-120. |
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| 作者姓名： | 赵林海 郑丕谔 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 基金项目： | 福建省科技计划
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华侨大学校科研和教改项目 |
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| 摘 要： | 在股权分置改革的背景下，运用多元线性回归模型的加权最小二乘法，对2004年1月1日至2007年12月31日期间发行上市的206只A股的实证研究，发现上市首日股票换手率、筹资规模和市场指数对上市首日超额涨幅具有较显著的影响；而发行价格、发行市盈率、发行前每股净资产、发行后实际流通股比例、发行方式及股权分置改革对A股上市首日超额收益影响不显著。
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| 关 键 词： | 超额收益 IPO抑价 股权分置改革 |
| 文章编号： | 1008-472X(2008)03-0115-06 |
| 修稿时间： | 2008年1月21日 |
An Empirical Study of Determinants of Abnormal Returns of A-Shares on the First Listed Day |
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| ZHAO LINHAI,ZHENG PIE.An Empirical Study of Determinants of Abnormal Returns of A-Shares on the First Listed Day[J].Journal of Xidian University (Social Sciences Edition),2008,18(3):115-120. |
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| Authors: | ZHAO LINHAI ZHENG PIE |
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| Institution: | ZHAO LINHAI, ZHENG PI＇E (School of Management, Tianjin University, Tianjin, 300072, China) |
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| Abstract: | In the background of the reforming share structure, and by applying weighted least squares method of multiple linear regression model, 206 A-shares issued and listed between January 1^st, 2004 and December 31^st, 2007 is empirically studied. It is found that turnover rate on the first listed day, amount of money raised, and market index, have significant impact on the abnormal returns of A-shares, whereas the influence of issuing price, issuing P/E ratio, net asset per share before issuance, real negotiable share ratio after issuance, method of issuance and the reform of splitting share structure is not significant. |
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| Keywords: | Abnormal returns IPO underpricing Reform of splitting share structure |
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