我国新股首日回报率的实证分析

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。

An empirical investigation of underpricing in Chinese IPOs

Underpricing is a persistent feature of the IPOs (initial public offerings) market in many countries in the world, so is it in Chinese IPOs market. Using data on 616 new issues from 1 January 1996 to 31 December 2004 in China, the paper finds that the average market-adjusted initial return of Chinese initial public offerings (IPOs) is 119 percent. It employs cross-sectional analysis and find that high level of initial returns of IPOs in China can not be explained well by information asymmetry,it is the result of overpriced secondary market shares.