基于修正的Fama-French模型对A+H交叉上市公司IPO长期走势的实证研究

Empirical Study on the IPO Trend of Cross Listing Companies in A+H Shares Markets by Modified FAMA-FRENCH Model

本文以44家在A股和H股两个市场挂牌交易的上市公司为研究对象,通过采用改进的Fama-French模型,提出了修正的四因素模型分析A+H公司IPO长期走势。研究表明A股市场的长期走势相对H股市场较弱。

The paper studies 44 cross listing companies in A＋H shares markets by modified Fama-French model. In analyzing the IPO trend of companies listed in A and H shares markets, the paper concludes that companies listed in H shares market would have a better IPO trend than companies listed in A shares market.