IPO上市首日收益率的星期效应——来自深圳中小企业板的证据  

The-Day-of-the-Week Effect of IPO Initial Returns:Evidence from the Shenzhen Small and Medium Enterprise Board

作　　者：周战强[1] 

机构地区：[1]中央财经大学经济学院,北京100081

出　　处：《上海金融》2012年第8期80-86,118,共7页Shanghai Finance

基　　金：教育部人文社会科学研究项目(08JC790110)

摘　　要：本文借助非参数检验和稳健回归的方法,研究了深圳中小企业板IPO上市首日收益率的星期效应。结果表明:在整个样本期存在星期效应,即星期四的IPO平均上市首日收益率显著高于其他交易日,并且星期四IPO的数量最少;这种效应不能用风险来解释;在控制IPO抑价因素后仍然存在;这种效应在不同时期存在差异,这可能与IPO的数量有关。With the help of non-parametric tests and robust regressions,the thesis examines The Day of the Week Effect in IPO initial returns in Shenzhen's small and medium enterprise board.It presents the evidence that the Effect does exist when Thursday IPOs have higher mean initial returns than those issued on other days and IPOs occur infrequently on Thursday in the whole sample.The Effect cannot be explained with risk and it remains even under the control of IPO under-pricing.The Effect presents itself in different forms within different periods partly because of the number of IPOs.

关 键 词：首次公开发行 上市首日收益率 星期效应 非参数检验 稳健回归 

分 类 号：F830.91[经济管理—金融学]