A股上市首日超额收益影响因素的实证研究被引量：5

An Empirical Study of Determinants of Abnormal Returns of A-Shares on the First Listed Day

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摘要在股权分置改革的背景下,运用多元线性回归模型的加权最小二乘法,对2004年1月1日至2007年12月31日期间发行上市的206只A股的实证研究,发现上市首日股票换手率、筹资规模和市场指数对上市首日超额涨幅具有较显著的影响;而发行价格、发行市盈率、发行前每股净资产、发行后实际流通股比例、发行方式及股权分置改革对A股上市首日超额收益影响不显著。 In the background of the reforming share structure, and by applying weighted least squares method of multiple linear regression model, 206 A-shares issued and listed between January 1^st, 2004 and December 31^st, 2007 is empirically studied. It is found that turnover rate on the first listed day, amount of money raised, and market index, have significant impact on the abnormal returns of A-shares, whereas the influence of issuing price, issuing P/E ratio, net asset per share before issuance, real negotiable share ratio after issuance, method of issuance and the reform of splitting share structure is not significant.

作者赵林海郑丕谔

机构地区天津大学管理学院

出处《西安电子科技大学学报（社会科学版）》 2008年第3期115-120,共6页 Journal of Xidian University：Social Science Edition

基金福建省科技计划重点项目(2006R0033) 华侨大学社会科学基金项目(07HSK03)

关键词超额收益 IPO抑价股权分置改革 Abnormal returns IPO underpricing Reform of splitting share structure

分类号 F830.91 [经济管理—金融学]

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参考文献4

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