IPO破发对上市公司市场表现影响的实证研究  

An Empirical Study on IPO Overpricing Affecting Market Performance of Listed Companies

作　　者：谢汉昌[1] 何瑞卿[2] 

机构地区：[1]厦门大学管理学院,福建厦门361005 [2]广东工业大学商学院,广州511495

出　　处：《商业研究》2014年第5期40-50,共11页Commercial Research

基　　金：国家自然科学基金项目;项目编号:70972110

摘　　要：本文根据上市首日表现将IPO新股区分为破发股和非破发股,分别采用不同市场收益率基准,考察了基于事件时间研究法的累计超额收益率(CAR)和买入并持有超额收益率(BHAR),以及基于日历时间研究法的月平均超常收益率(MMAR)和Fama-French三因素模型,并利用多元线性回归模型进行实证检验。研究发现,IPO破发短期会给上市公司的市场表现带来不利影响,但中长期而言,IPO破发股的弱势程度更轻、市场表现更好。This paper divides IPOs into the ones with IPO overpricing and the ones without IPO overpricing according to the first-day market performance , chooses different market yields as benchmark , and uses event time method to examine their cumulative abnormal return （ CAR） and buy-and-hold abnormal return （ BHAR） , uses calendar time method to examine the monthly average abnormal returns （ MMAR） and Fama-French three-factor model , and then carries out the empirical test with the multiple linear regression model .The findings indicate that in the short term IPO overpricing affects the company′s market performance adversely;however in the medium and long term the companies with IPO over-pricing have better market performance than the companies without IPO overpricing .

关 键 词：IPO破发 市场表现 事件时间 日历时间 

分 类 号：F830.91[经济管理—金融学]