我国股票上市首日超额收益影响因素的实证研究

An Empirical Study of Influences on Abnormal Returns of New Shares Issue in China Stocks

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2006年12月31日期间发行上市的167只A股股票的实证研究,发现发行价格、上市首日股票换手率、筹资规模、发行市盈率以及市场指数等因素对上市首日超额收益具有重要影响,而发行前每股净资产、发行后实际流通股比例、发行方式及股权分置改革等因素对上市首日超额收益影响不明显。

Thanks to the reform of split share structure, the paper uses weighted least squares method based on multiple linear regression model to sample 167 A - shares issued and listed from January 1st, 2004 to December 31st, 2006. It is found that issuing price, turnover rate on the first listed day, size of money raised, issuing P/E ratio and market in- dex, have significant impact on the abnormal returns of shares on the first listed day, whereas, the influence of net asset per share before issuance, real negotiable share rate after issuance, method of issuance and the reform of split share structure, is unobvious.