我国创业板IPO首日超额收益原因实证研究

China Growth Enterprise Market IPO Abnormal Initial Return Emprical Study

无论是成熟的资本市场还是新兴的资本市场,IPO首日超额收益现象普遍存在。界定IPO首日超额收益的原因为一级市场的发行折价和二级市场的交易溢价,并运用多元线性回归模型进行实证研究。研究结果表明:二级市场投资者非理性和投机泡沫是解释我国创业板IPO首日超额收益的主要原因。

Regardless of being the mature capital market or the emerging capital market,abnormal initial return of IPO is very commom.Defining the AIR phenomenon due to the underpricing on primary market and evaluating on secondary market,and construct a linear regression model on empirical analysis to explore the factors that induce the AIR.The empirical result thought that the main reasons of AIR on GEM are irrational investing behavior and speculative bubbles on secondary market