论文标题:新股二级市场收益率变动趋势及影响因素的实证研究
A Case Study of the Medium and Long-run Performance and the Relative Factors of the IPOs
论文作者 朱彬
论文导师 蒋海,论文学位 硕士,论文专业 金融学
论文单位 暨南大学,点击次数 110,论文页数 92页File Size4153k
2003-04-09论文网 http://www.lw23.com/lunwen_80979102/ 新股,超常收益,小公司效应,因素模型
IPO,abnormal-return,small-firm effect,factor model
本文通过对95年以来在上海证券交易所发行上市的新股样本的横纵截面上比较研究，分析了中国股市二级市场上新股中长期收益的相关影响因素和市场表现。实证表明：新股二级市场中长期收益表现显著好于市场组合，上市后第二和第四年超常收益增加显著；新股二级市场的中长期收益基本呈现右偏的尖顶峰分布形态；新股上市后存在短期内反应过度的特点，新股中长期的高超常收益主要由中小型市值的股票贡献，故我国股市基本属于资金推动型的市场，并存在中小盘股票的严重高估和投机性炒作问题。就股票价格的影响因素而言，发行后每股收益、发行后每股净资产特别是BM比率、流通股数尤其是流通市值、总股本或流通盘占总股本比例、行业属性等在较长的时间内对新股的二级市场收益有明显的影响。 进一步分析：市场牛熊波段中，在市场指数相对低位即熊市的下跌末期，较大发行股数的新股的市场表现要强于市场组合；而在市场指数相对高位从牛转熊的下跌初期，较小发行股数的新股的市场表现要强于市场组合；新股二级市场的中长期收益与流通股本和流通市值均呈负相关关系，而且与流通市值显著负相关，新股的小公司效应明显存在；新股的月份收益排序为3，4，6月份，但在9—12月份均有正的超常收益，即第四季度要强于大盘；新股高的首日换手率并未带来相对高的中长期收益，甚至首日换手率高低与新股中期超常收益率有一定程度负相关性；而发行价格比市场发行均价稍高些的新股的中长期收益相对较高。新股逐年波动有变小倾向，中长期收益也有缩小趋势，股本影响有所减弱，而收益影响有所增强。
The aim of this paper is to study the medium and long-run performance and the relative factors of the IPOs (Initial Public Offerings) in Shanghai stock exchange market. According to the factors or models studied in this paper, some conclusions could be listed as following.1) As a total group, the medium and long-run returns of the IPOs are obviously better than market portfolio, especially in the second and forth years after initial public exchange.2) IPOs with higher Book-to-market ratio, or Return-on-equity, or circulating-equity-ratio can obtain a higher medium and long return, so are IPOs with lower market-value or lower initial abnormal return for new issues.3) There is a difference between different-size IPOs in a "bull" or a "bear" period. In a relative lower position of the market index or the last period of a "bear", larger-size IPOs can get better return than market portfolio, while in a relative higher position of the market index or the initial period of a "bear", smaller-size IPOs can get better return than market portfolio. Small-firm effect is obviously existed for new issues.4) As for the IPOs return of every month in a year, the returns of March, April, June are generally get the highest three ranks among all 12 months. On the other hand, the IPOs can averagely get a positive abnormal return over market portfolio between September and December, which means IPOs can obtain better return in every last-half year relatively.5) Higher exchanging rate of the first circulating day for an IPO can not obtain a higher medium and long return, and it even has a negative relationship with the later. But an IPO with a little higher issue price than average may obtain a higher medium and long return.6) Totally, IPOs returns turn to be lower and smaller year by year, the same are their long-run performance. Compared with the market value of stocks, the effects of Return-on-equity become stronger for the medium and long returns year by year.
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