流动性与资产定价:基于中国证券市场IPOs长期表现的实证研究

Liquidity and Asset Pricing:An Empirical Research Based on IPOs Long-run Performance of China Security Market

流动性与资产定价存在着密切的关系,是影响证券预期收益率的一个重要因素。一些研究认为,IPOs长期表现普遍欠佳,这是由于在计算新股及其参照系的收益率时忽略或错误地估计了某些风险因素造成的。根据这一观点,本文基于流动性与资产定价的视角对IPOs长期表现进行了重新的考察。实证结果表明,当考虑了流动性因素对证券收益的影响后,不管是采用事件研究法还是日历时间研究法进行考察,新股原本存在的长期弱势现象都得到显著改善,并在3年考察期结束时出现正值的超额回报。

The problem of liquidity and asset pricing is a hot issue in security market studies at present and numerous empirical researches have indicated that liquidity plays a vital part in influencing the expected returns of security. On the other hand, many researches showed that post-IPOs long-run performance was generally not good enough . Recently, some foreign scholars argue that this is because researchers neglect or inaccurately estimate some risk factors when calculating the IPOs and its benchmarks＇ returns. As to the phenomenon, this paper has carried on an investigation into it again based on the perspective of liquidity and asset pricing. As a result, we find that after considering the impact of the liquidity factor on stock returns, no matter how we use the event study or the calendar-time study, the IPOs long-run underperformance that ever existed both have remarkable improvement, and the positive abnormal returns appear at the end of investigation period of three years.