基于修正的Fama-French模型对A+H交叉上市公司IPO长期走势的实证研究  

Empirical Study on the IPO Trend of Cross Listing Companies in A+H Shares Markets by Modified FAMA-FRENCH Model

作　　者：程彦敏[1] 颜海兴[1] 葛文雷[1] 

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《上海金融》2009年第12期65-68,49,共5页Shanghai Finance

摘　　要：本文以44家在A股和H股两个市场挂牌交易的上市公司为研究对象,通过采用改进的Fama-French模型,提出了修正的四因素模型分析A+H公司IPO长期走势。研究表明A股市场的长期走势相对H股市场较弱。The paper studies 44 cross listing companies in A＋H shares markets by modified Fama-French model. In analyzing the IPO trend of companies listed in A and H shares markets, the paper concludes that companies listed in H shares market would have a better IPO trend than companies listed in A shares market.

关 键 词：IPO 长期收益 Fama—French模型 交叉上市 

分 类 号：F830[经济管理—金融学]