我国A股新股发行初始收益率实证研究——基于IPO重启后的数据

An Empirical Study on A-shares IPO Initial Returns——Based on the Statistics after the Re-start of IPO

在吸收前人对IPO的研究成果基础上,通过对2006年5月IPO重启以来的新股初始收益率进行了实证研究。实证结果表明,沪深两市A股新股初始收益率仍然偏高;沪市A股市场的新股初始收益率与中签率及上市首日大盘走势显著相关,而深市A股市场的新股初始收益率则与中签率、上一年净利润增长率及发行市盈率显著相关;投资者的投机行为仍是新股发行初始收益率偏高的主要原因。

This paper is an empirical study on A-shares IPO initial returns after the re-start of IPO in the May of 2006. The findings are that the IPO initial returns in Shanghai and Shenzhen A-shares markets are still at a high level. While IPO initial returns in Shanghai A-shares market correlate closely to demand-to-offer ratio and market change direction, those in Shenzhen A-shares market correlate to demand-to-offer ratio, growth rate of the corporate net profit and IPO P/E. It shows that the speculative behavior of investors is propably the primary cause of the high IPO initial returns.