期刊文献+

新股发行对股市波动的影响分析 被引量:4

下载PDF
导出
摘要 本文采用2006年6月—2010年3月的数据,基于格兰杰因果随机波动率模型GC-MSV,利用募集资金和冻结资金对我国新股发行对股市波动的影响进行实证分析,结果表明,一定条件下,冻结资金量和募集资金量均构成股指序列变化的G ranger原因,但募集资金量对股指波动的影响相对而言较为不显著。
作者 赵煜程
出处 《财经问题研究》 CSSCI 北大核心 2011年第2期58-62,共5页 Research On Financial and Economic Issues
  • 相关文献

参考文献10

  • 1Ibbotson, R., Sindelar, J., Ritter, J. The Market's Problems with the Pricing of Initial Public Offerings [ J ]. Journal of Applied Corporate Finance, 1994, (7) : 66 - 74.
  • 2Jenkinson, T. , Ljungavist, A.P. Going Public: The Theory and Evidence on how Companies Raise Equity Finance [ M ]. Oxford: Oxford University Press, 1996.
  • 3Alien, F., Faulhaber, G. Signaling by under Pricing in the IPO Market [ J ]. Journal of Financial Economics, 1989, (23) :303 - 323.
  • 4Welch, I. Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings [ J ]. Journal of Finance, 1989, (44) :421 - 490.
  • 5Ritter,J. R. ,Welch,I. A Review of IPO Activity, Pricing and Allocations [ J ]. Journal of Finance, 2002, ( 57 ) : 1795 - 1828.
  • 6Loughran, T. , Ritter, J. R. The New Issue Puzzle [J]. Journal of Finance, 1995, (50) : 23 -51.
  • 7Miller, E. M. Risk, Uncertainty, and Divergence of Opinion [ J ]. Journal of Finance, 1977, ( 32 ) : 1151 - 1168.
  • 8Teoh, S. H. , Wong, T. J., Rao, G. Are Accruals during Initial Public Offerings Opportunistic? [J]. Review of Accounting Studies, 1998, (3) : 175 - 208.
  • 9秦楠.上市公司增发新股对股价影响的实证分析[J].西北农林科技大学学报(社会科学版),2005,5(6):52-57. 被引量:2
  • 10李梦军,陆静.上市公司增发新股信息与股票价格波动的实证研究[J].财经理论与实践,2001,22(4):52-55. 被引量:23

二级参考文献18

  • 1黄少安,张岗.中国上市公司股权融资偏好分析[J].经济研究,2001,36(11):12-20. 被引量:972
  • 2Baker,G.P.Growth,corporate polices,and the investment opportunity set[J].Journal of Accounting and Economics,USA,1993.16.
  • 3Barclay,M.J,C.W.Smith.The maturity structure of corporate debt[J].Journal of Finance,French,1995.50.
  • 4Baker,Malcolm,Jeffrey Wrugler.Market Timing and capital Structure[J].Journal of Financial Economics(Forthcoming),Canada,2001.
  • 5Barclay,M.J,C.W.Smith.The priority structure of corporate debt[J].Journal of Finance,French ,1995.50.
  • 6Barclay,Michael J,Erwan Morellec,Clifford W.Smith,Jr.On the debt capacity of growth options[J].NBER working paper,French,2001.
  • 7Kovenock,Dan,Gordon Phillips.Capital Structure and Product Market Behavior:An Examination of Plant Exit and Investment Decisions[J].Review of Financial Studies,Canada,1997.
  • 8Bolton,Patrick,David S.Scharfstein.A Theory of Predation Based on Agency Problems in Financial Contracting[J].American Economic Review,80.Germany,1990.
  • 9张炜.一周时间21家公司,增发新股骤然升温[N].中国经济时报,2001-04-09(14~15).
  • 10国泰君安证券.上海上市公司直接融资统计与对策研究[N].上海证券报,2001-02-23(2~3).

共引文献23

同被引文献43

  • 1Akhigbe A,Borde S F,Whyte A M. Does an Industry Effect Exist for Initial Public Offerings? [ J]. Financial Review,2003, (4) :531 -551.
  • 2Aboody D ,Lehavy R,Trneman B. Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners [ J ]. Review of Accounting Studies,2010, (2) :317 - 344.
  • 3Baker M, Wurgler J. The Equity Share in New Issues and Aggregate Stock Returns[ J]. Journal of Finance, 2000, (5) :2219 - 2257.
  • 4Braun M, Larrain B. Do IPOs affect the Prices of Other Stocks? Evidence from Emerging Markets [ J]. Review of Financial Studies,2009, (4) : 1505 - 1544.
  • 5Elliott W B, KoOter-Kant J, Warr R S. A Valuation-based Test of Market Timing [ J ]. Journal of Corporate Finance, 2007, (1) :112 -128.
  • 6Engelberg J, SassevilIe C, Williams J. Market Madness? The Case of Mad Money [ J ]. Management Science, 2012, (2) :351 - 364.
  • 7Henderson B J, Jegadeesh N, Weisbach M S. World Markets for Raising New Capital [ J ]. Journal of Financial Economics, 2006, ( 1 ) :63 - 101.
  • 8Jensen M C, Black F, Scholes M S. The Capital Asset Pricing Model : Some Empirical Tests [ M ]. Studies in the Theory of Cap- ital Markets, Praeger Publishers Inc. , 1972.
  • 9Kahneman D. Attention and Effort[ M ]. Englewood Cliffs, NJ :Prentice-Hall, 1973.
  • 10Schuhz P. Downward-Sloping Demand Curves, the Supply of Shares, and the Collapse of Internet Stock Prices[ J ]. Journal of Finance ,2008, ( 1 ) :351 - 378.

引证文献4

二级引证文献2

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部