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本文利用主成份分析法,探讨了影响中小企业板新股初始收益率的主要因素,测度了各因素对初始收益率的贡献度。发现初始收益率主要取决于一、二级市场状况,而内在价值、盈利成长性等关键财务指标,对初始收益率的影响力居于次要地位。 相似文献
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文章首先对国内外新股长期收益率的研究文献进行了回顾,然后以1997到2000年上市的A股作为研究样本,采用累计调整收益率对我国新股长期收益率进行实证研究,发现整体上新股的长期收益率不如市场平均收益率,影响新股三年期累计调整收益率的因素主要有上市第一年每股收益、流通股比例、发行市盈率、总股本等。 相似文献
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龚太寿 《中小企业管理与科技》2014,(12):94
本文引入了每股净资产、净资产收益率、资产负债率等影响因素,对上市公司IPO定价模型进行了估计,并运用Chow检验法检验发现2014年6月份前后中国资本市场新股发行定价发生了结构性变化,其中每股净资产和净资产收益率对新股IPO定价的边际贡献略有下降,而资产负债率对于新股IPO定价的惩罚力度有较大幅度下降。 相似文献
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龚太寿 《中小企业管理与科技》2014,(35):94-94
本文引入了每股净资产、净资产收益率、资产负债率等影响因素,对上市公司IPO定价模型进行了估计,并运用Chow检验法检验发现2014年6月份前后中国资本市场新股发行定价发生了结构性变化,其中每股净资产和净资产收益率对新股IPO定价的边际贡献略有下降,而资产负债率对于新股IPO定价的惩罚力度有较大幅度下降。 相似文献
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本文以2008年底前中国沪深两地上市A股为样本,对新股现金分红后长期表现进行研究.匹配股票差异显著性分析表明,新股上市后三年内现金分红2次和1次分别是判断长期股票收益率和长期净资产收益率的重要分界线.回归分析表明,中国股票分红后长期收益率与新股上市后三年内现金分红次数呈正相关关系;分红后未来净资产收益率与新股上市后三年内分红次数大体也呈正相关关系.研究结论整体上支持新股上市后三年内现金分红次数对股票长期表现具有信号效应的观点. 相似文献
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IPO初始收益率是各国资本市场中一个普遍现象,我国股票市场也不例外.这一现象也受到理论界广泛关注.按照有效市场假说,新股的价格反映公司内在价值的所有信息,如果公司层面在IPO前后不发生较大变化的话,就不存在超额初始收益率.而现实中,IPO企业超额收益率现象屡见不鲜,对此相关理论和实证研究众多,但尚未达成一致的共识.本文基于信息不对称角度探讨IPO初始收益率现象,并对此给予分析与建议. 相似文献
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文章以1998年~2011年间所有股票交易日为样本来研究新股发行是否对市场有影响。文章发现有新股上市交易日的市场收益率比没有新股上市交易日的市场收益率平均低0.25%,说明新股发行对市场有负面影响。通过搜集文献,文章发现需求曲线向下倾斜假说、价格压力假说、买卖价效应假说和信息假说四个假说可以从理论上解释为什么新股发行对市场有负面影响。 相似文献
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在充分有效的资本市场中,股票的收益率应该是随机游走的,但纵观各国证券市场,首次公开发行新股上市后的收益率却并不服从随机游走假设,而是上市首日涨幅很高并在短期内超出市场平均收益。我国的A股市场也不例外。1998~2008年,我国共有920家公司通过首发上市,平均初始超额收益率高达116.87%,保持着全球较高水平。 相似文献
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新股首日超额回报是世界范围的一种普遍现象,而在我国尤为突出,国内外对此给出了各种解释,但至今尚未形成一致性认识,文章选取1996年1月至2004年12月在我国上海证券交易所上市的616只A股为样本,进行了横截面的分析后发现:信息不对称并非我国新股折价的主要原因,我国新股折价是由二级市场投机引起。 相似文献
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《The Quarterly Review of Economics and Finance》2001,41(3):347-364
This paper attempts to reconcile the average underpricing phenomenon with the expected wealth maximizing behaviors of market participants. Under the usual informational asymmetry, the optimal offer price for best efforts IPOs is derived as a function of the uncertainty about market’s valuation, the expected return on proposed projects and the size of offerings relative to the firm’s market value. According to these firm-specific characteristics, best efforts IPOs can be underpriced, fairly priced, or overpriced. Employing the investment banker as an outside information producer, the basic pricing model is extended to provide empirical implication for underwriting contract choice decision as well as for the pricing. Consistent with the existing empirical evidences, the model predicts that the issuers with greater uncertainty about market’s valuation choose best efforts contract over firm commitment contract and that the dispersion of initial returns would be greater for best efforts IPOs than for firm commitment IPOs. 相似文献
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Monday IPOs occur infrequently and have higher mean initial returns than those issued on other days. The latter result is not a product of outliers or penny stocks and remains after controlling for factors related to IPO underpricing. The Monday effect is generally robust across time, but during 1995–2003 is present only in IPOs with their first reported trade on their offer date. Volume patterns suggest Monday IPOs come to market later in the day, which has been linked to higher initial returns. We argue that the observed patterns are consistent with the incentives of underwriters and investors. 相似文献
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新闻媒体对证券投资的影响日趋重要,它会通过影响投资者的心理和行为而影响资产价格。首次公开发行的股票(IPOs)由于倍受媒体关注,从而会在上市以后的价格表现上产生一定的影响。本文选取2006年6月至2008年6月上市的246只首次公开发行的股票作为样本,以百度新闻搜索到包含股票名称的新闻数量作为媒体关注度的衡量指标,实证检验了媒体关注度对新股表现的影响。本文得出结论:媒体关注度通过影响投资者情绪,对新股短期累积超额收益产生正的影响,而对长期累积超额收益产生负的影响。同时发现,媒体关注度高的新股,其发行价格也相对较高。 相似文献
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We investigate whether the sale of secondary shares in the IPO process is affected by an issuing firm's market-timing and window-dressing activities. We find that secondary share offerings in IPOs exhibit positive autocorrelation, and the positive autocorrelation is mainly affected by the overall stock market return. Similar to the IPO wave, this finding suggests that favorable market conditions attract existing pre-IPO shareholders to sell their shares in IPOs and cause the clustering of secondary share offering in IPOs. In addition, we find that window dressing has a significant effect on both the probability of secondary share offering and the proportion of secondary shares offered in an IPO. The result is robust after controlling for firm age, industry affiliation, and other factors. Our result also indicates that the number of firms offering secondary shares in IPOs, the probability of secondary share offerings, and the proportion of secondary shares offered in IPOs are significantly lower in the Internet bubble period. 相似文献
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Mingsheng Li Robert C. Eisenstadt 《The Quarterly Review of Economics and Finance》2005,45(4-5):748-766
Using the inventory components of spreads as a measure of inventory holding-risk, we test the hypothesis of Hanley et al. [Hanley, K. W., Kumar, A., & Seguin, P. J. (1993). Price stabilization in the market for new issues. Journal of Financial Economics, 34, 177–197] that price supports reduce market makers’ inventory holding-risk in the aftermarket of initial public offerings (IPOs). We find that both spreads and their inventory components are significantly smaller in the earlier periods of the IPO aftermarket than those in the later periods. More importantly, the inventory components of spreads are significantly smaller for stocks without over-allotment options (OAOs) exercised, and for stocks with lower or negative initial returns which are more likely to have price supports. The results are consistent with the price support hypothesis. 相似文献
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Xiangchao Hao Qingbin Meng Kaijuan Gao Kam C. Chan 《Managerial and Decision Economics》2020,41(6):924-942
We study the impact of initial public offerings (IPOs) on corporate innovations in China. The findings suggest that going public significantly impedes corporate innovations by lowering overall innovation quality. For firms with shareholders selling or pledging less shares after IPO, the number of patents increases, but the nonself-citations per patent decrease relative to matched non-IPO firms. In contrast, for firms with shareholders selling or pledging more shares after IPOs, both the number of patents and nonself-citations per patent decrease. The magnitudes of impact in the latter are stronger than those of former, supporting the initial governance force exit hypothesis. 相似文献
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Krishnan Dandapani Rafiq Dossani Arun J. Prakash Mary Ann Reside 《Managerial and Decision Economics》1992,13(4):279-286
The purpose of this paper is to propose an alternative explanation for the underpricing of initial public offerings (IPOs). The first section reviews the empirical evidence on underpricing IPOs in support of various alternative hypotheses that have been put forth in the literature. This is followed by our model which examines the effect of personal taxes paid by entrepreneurs on the choice of the issue price. We show that, in the presence of taxes and for certain levels of ownership retained by the entrepreneur, it may be preferable to underprice the issue. This theoretical result is reinforced by both the simulation and empirical tests. 相似文献
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Mary Ann Reside Richard M. Robinson Arun J. Prakash Krishnan Dandapani 《Managerial and Decision Economics》1994,15(6):553-561
This paper presents a model of entrepreneurial wealth maximization for the pricing of initial public offerings (IPOs). It is an extension of one previously presented in the literature. The model shows that personal tax rates on ordinary income and capital gains may, in part, determine IPO pricing: an increase in the capital gains tax rate should lower the degree of underpricing. An empirical analysis of the effect of the Tax Reform Act of 1986, which raised the capital gains tax rate, shows that the average degree of underpricing did decrease as predicted, and that this occurs after controlling for other possible influences. 相似文献