招股书净利润预测误差与初始收益率关系——1993～2009年我国A股IPO市场的证据  

A Study on How the Earning Forecast Error in Prospectus Affects the Initial Returns——Evidence from China's A-shares IPO Market from 1993 to 2009

作　　者：姚绍真[1] 王新宇[1] 王元地 宋学锋[1] 

机构地区：[1]中国矿业大学管理学院,江苏徐州221116 [2]丹麦科技大学商学院

出　　处：《系统管理学报》2012年第2期230-238,251,共10页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71071153);江苏省333高层次人才培养工程专项资助

摘　　要：从投资者和IPO公司对净利润预测误差的预期判断差异视角,分析了净利润预测误差和首日初始收益率的相关性;基于分位数回归方法检验1993～2009年我国A股IPO样本净利润预测偏好、误差与首日初始收益率之间的决定关系,实证发现:年度平均预测偏好表明,IPO公司能适应期间发生的重大金融事件,预测精度呈上升趋势;预测误差越大的公司,公司规模和预测期对预测误差的正向作用越强;公司规模越大、预测期越短,则IPO公司比随机游走和增长模型的预测能力越强;累计投标询价方式下,IPO公司和投资者对净利润预测误差的判断倾向于分歧;当IPO公司净利润预测悲观时,固定价格方式下,投资者会出现预测分歧;而相对市盈率定价方式下,投资者倾向于做出一致的预测判断。This paper firstly presents a new theoretical explanation on the correlation between earning forecast errors and the first day initial returns,with the diversity of anticipation judgments held by the investors and IPO companies on earning forecast errors.Then an quantile-based empirical analysis of the relationship among earning forecast preference,errors and the first day initial returns is performed with China＇s A-shares IPO samples from 1993 to 2009.Several new conclusions are： 1） IPOs＇ annual average forecast preference shows that IPO companies can adjust and predict their forecasting preferences effectively according to the significant financial events,and the accuracy of the prediction is improved annually;2） the greater IPOs＇ forecast errors are,the stronger positive impact from company size and forecast period on errors are;3） For companies with greater size and shorter forecast period,IPOs will have more superior forecast ability than random walk and growth models;4） with the accumulated bidding and inquiry pricing,the forecast preference judgment of IPOs and investors tends to diverge;5） When IPOs＇ earning forecast is pessimistic,investors prefer taking an inverse forecast judgment under fixed pricing,to making a consistent judgment under relative price-earnings ratio pricing.

关 键 词：净利润预测 预测偏好 首日初始收益率 分位数回归 

分 类 号：F832.5[经济管理—金融学]