IPO首日超额收益率影响因素分析  

The Factors Affecting the Excess Returns on the First Day of IPO

作　　者：王芳[1] 朱伟骅[2] 

机构地区：[1]上海证券交易所 [2]上海证券交易所金融创新实验室

出　　处：《金融监管研究》2013年第3期70-88,共19页Financial Regulation Research

摘　　要：本文对2000年至2012年期间上海证券交易所新股IPO首日的超额收益率进行了总体分析,发现沪市新股IPO首日超额收益率均值水平高达109.7%。明显高于纽约、香港和新加坡证券市场。基于沪市的高超额收益率水平及属性结构特征,本文从公司自身因素、市场因素和制度因素三个层面构建了IPO首日超额收益率影响因素指标体系,并采用因子分析和多元回归分析相结合的方法对IPO首日超额收益率的影响因素进行了分析。分析发现,规模因子、上市市场成熟度因子和收益性因子对新股首日收盘收益率起负向影响作用,而上市公司成长能力因子则起正向影响作用;保荐制审核方式比通道制方式下的新股首日超额收益率小,网下询价、网上定价发行方式则比其他发行方式首日收盘收益率大。This article firstly analyzes the overall excess returns on the first day of new stocks＇ IPO in Shanghai stock exchange market from 2000 to 2012. We find that the average excess returns of Shanghai stock exchange is 109.7% , which is significantly higher than 16.9% of New York, 15.6% of Hong Kong and 20.1% of Singapore market. Based on the structural characteristics of the excess returns, this paper constructs a system of influence factors in terms of internal factors of listed companies, market factors and institutional factors, and analyzes the effect of each factor by combining the factor analysis method and multi-variable regressions. We find that the scale of companies, the market maturity and the profitability factors have negative effect on excess returns, and the growth capability of listed companies is positively correlated with excess return. The excess returns with sponsor system tend to be higher than with channel system, and the off-line price inquiry, online price setting approach tends to have a higher excess return than other pricing methods.

关 键 词：IPO 超额收益率 因子分析 影响因素 

分 类 号：F832.51[经济管理—金融学]