| 我国股市IPO抑价现象及其实证研究 |
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| 引用本文： | 曾祥渭,马昌云.我国股市IPO抑价现象及其实证研究[J].长江大学学报(社会科学版),2006,29(1):66-68. |
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| 作者姓名： | 曾祥渭 马昌云 |
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| 作者单位： | 中国矿业大学北京校区管理学院,北京,100083 |
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| 摘 要： | IPO抑价现象广泛存在于各国股票市场。以我国2000年沪深两市发行的137支股票和发行日市场指数为样本,提取了11个因素作为解释变量,利用计量经济学方法建立多元回归模型,对超额收益率产生的原因进行了分析。分析结果表明,IPO超额收益率与市盈率、发行规模和中签率之间存在比较强的弹性关系,并与机构认购比例、净资产收益率以及发行前一个月市场指数累计收益率之间存在较强的正指数相关关系。
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| 关 键 词： | IPO 抑价 超额收益率 |
| 文章编号： | 1673-1395(2006)01-0066-03 |
| 修稿时间： | 2005年10月8日 |
The IPO Underpriced Phenomena and Its Empirical Study in Our Country |
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| ZENG Xiang-wei,MA Chang-yun.The IPO Underpriced Phenomena and Its Empirical Study in Our Country[J].Journal of Yangtze University:Social Sciences,2006,29(1):66-68. |
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| Authors: | ZENG Xiang-wei MA Chang-yun |
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| Abstract: | The IPO underpriced phenomena is very common all over the world.Based on 137 equities,which was issued in our country in 2000,a model is built with 11 factors that effected the excess return as variable in modern econometrics method.It's found that the excess return of IPO is highly related to price-to-earnings,scale and lottery,and the portions belong to institute,ROE and the accumulate return of market index before the issue are exponential to the excess return. |
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| Keywords: | initial public offerings underpriced excess return |
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