我国IPO长期市场表现的实证研究——基于超常收益率不同测度方法的比较分析

本文选取1995年1月至2000年12月沪深两市774个A股IPO样本,计算IPO的等权平均、流通市值加权平均和总市值加权平均收益率,并使用不同的市场指数及配比股票组合的收益率加以调整来评价IPO的长期市场表现。经过事件时间和日历时间的实证研究发现:(1)我国IPO在上市后3年内总体上表现出长期强势。(2)IPO长期超常收益率对使用何种参照指标的收益率来调整以及使用何种加权平均方法很敏感。CAR和日历时间研究的结果更明显地表明我国IPO存在长期强势特征,而且使用市值加权平均方法计算的正超常收益率更为显著。(3)Fama-French三因素模型和CAPM模型回归的截距项都表明我国IPO存在正的长期超常收益率。

An Empirical Study on IPO's Long-run Aftermarket Performance in Chinese Stock Market: A Comparative Analysis Using the Different Models of Abnormal Returns

We examine IPOs' long-run aftermarket performance in Chinese stock market,by sampling 774 A-share IPOs from the Shanghai and Shenzhen Stock Exchanges for the period from January 1995 to December 2000.The IPOs' equally weighted returns,negotiable share value weighted returns,and total share value weighted returns are calculated,and adjusted by the returns of the market index and the characteristics-matched portfolios.The empirical results of Event-time and Calendar-time studies show that:(1)In Chinese stock market,IPOs generally exist long-run superior performance within 3 years after going public;(2)The IPOs' long-run abnormal returns are sensitive to which benchmark's return is adjusted by,and to which method of weighting average is employed.The results from CAR and Calendar-time studies obviously show the fact that China's IPOs outperform the benchmarks.Meanwhile,the positive abnormal returns calculating from the value weighting methods are more significant than those from equally weighting methods;(3)Chinese stock market exits BM effect and Size effect,and BM effect is more significant.Both the incepts in Fama-French Three-Factor Model regression and the CAPM regression suggest the IPOs' long-run positive abnormal returns,and the former model has higher explanatory power.