新上市偏差与IPO长期弱势

New-Listing Bias and Long-Term Underperformance of IPOs

基于成熟资本市场的研究发现IPO公司在未来五年的回报显著低于市场指数（或其他基准），这就是IPO长期弱势；而基于中国资本市场的研究对此却存在较大的争议。我们认为研究设计可能是导致这一现象的一个原因，因为中国资本市场在短时间内迅速扩容，这使得作为基准的市场指数（或其他基准）中包含了大量的IPO公司，从而使得基准的长期回报偏低，进而高估IPO公司的长期超额回报，这就是“新上市偏差”。本文在控制“新上市偏差”后，重新研究了IPo长期弱势现象，研究发现，在股权分置改革之前，我国A股市场存在非常显著的IPO长期弱势现象；而在股权分置改革期间，我国A股市场IPO公司长期股价表现强于市场指数。并且，“新上市偏差”对于IPO公司会计业绩的长期表现也存在类似的影响。在控制“新上市偏差”后，IPO公司会计业绩也出现了较大幅度的下滑，分组及回归分析的结果表明，IPO公司会计业绩下滑可以部分解释股价长期弱势现象。

Prior research shows that IPO firms in developed markets have significantly negative long-term abnormal returns in the three-to-five years following their listing. The results of the long-term price performance of IPOs in China, however, are debatable. In the Chinese stock markets, the proportion of stocks within 60 months of the listing date to total stocks is bigger than that in the developed market. Thus, a new-listing bias arises in event studies of long-term abnormal returns, because sampled firms generally have a long post-event history of returns, whereas firms that constitute the index （or the reference portfolio） typically include new firms that begin trading subsequent to the event month. We study post-IPO price performance after controlling for the new-listing bias, and find that IPO firms had significantly negative long-term abnormal returns before the split-share structure reform, but significantly positive returns of this type during the reform. Further study finds that IPO firms have significantly negative long-term accounting performance, which is correlated with long-term negative abnormal returns.