中国资本市场IPO长期超额收益新探——基于BHAR模型改进、事件信息传递及公司特征变化的解释  

New Research on IPO Long-Term Excess Returns in the China's Capital Market: Based on BHAR Model Improvement,Event Information Transfer and Change of Company Characteristics

作　　者：司崭[1] 

机构地区：[1]西南财经大学会计学院

出　　处：《中国经济问题》2015年第4期62-72,共11页China Economic Studies

基　　金：中央高校基本科研业务费博士研究生课题项目"典型事件公司长期超额收益与公司特征研究"(项目编号:JBK1307048)的资助

摘　　要：本文以1998-2008年间我国主板A股市场首次公开募股的上市公司作为研究对象,通过对经典BHAR模型的改进,从事件信息传递与公司特征变化的全新视角探讨新股发行长期超额收益的形成机制。研究发现,IPO事件发生后事件公司的股票存在显著的长期正向超额收益,较短期间内IPO公司股票的收益表现弱于市场,但公司特征变化可以完全稀释事件信息对超额收益的影响,事件信息公告日后IPO公司股票取得的长期超额收益是公司特征变化的结果,而事件信息的传递仅表现为普通的正向收益形式。Using the main board A-share listed IPO companies in China during 1998-2008 as our research objects, the present article studies the long-term excess return＇s formation mechanism of IPO firms and discusses explanation ability of event information transfer and change of company characters to the long-term excess return. This study finds that the presence of the event firm＇s stock after the IPO event significantly relate to positive long-term excess returns, but earnings performance within a shorter period are weaker than stock market＇s. The company Characteristics can fully dilute the event information＇s impact on the excess return. The long-term excess return acquired by IPO firms＇ stocks after IPOs is the result of company characteristics＇ change, and event information just transfer manifests ordinary positive return formation.

关 键 词：IPO 长期超额收益 BHAR模型 事件信息 公司特征 

分 类 号：F832.51[经济管理—金融学] F275