中国新股异常现象的行为解释

 我们采用1996年至2009年上市的899新股为样本检验了投资者参与程度与新股市场表现之间的关系。我们发现新股上市首日收益率和投资者参与程度的正相关，与基于Rock（1986）和Welch（1992）的理性参与模型、基于Ellul和Pagano（2006）的流动性参与假说、和基于Miller（1977）的价格泡沫假说都是一致的。但是进一步的研究表明新股长期表现和新股首日收益率的负相关，这一结果只和价格泡沫假说是一致的。我们的实证结果表明中国新股上市首日观察到的高收益率的主要原因不太可能是发行公司有意的折价行为，而更有可能是过多的新股投资者导致新股短期均衡价格偏离基本面价值，这种价格的偏离在长期得到了纠正。

A Behavioral Explanation for IPO Anomalies in China

We examine the association between investor participation and the market performance of IPOs issued during the 1996-2009 period. We find that a positive relation between investor participation and initial return, consistent with the rational participation hypothesis due to Rock (1986) and Welch (1992), the liquidity participation hypothesis due to Ellul and Pagano (2006), and the price bubble hypothesis due to Miller (1977). However, further analysis reveals a negative relation between the long-term performance and initial return, which is only consistent with the price bubble hypothesis. Our findings suggest that the initial return on the first day of trading is unlikely to be driven by firm underpricing new issues but more likely to be a reflection of investor overreaction in the short term, corrected gradually over a long horizon.