中国股市新股发行(IPOs)的初始收益率研究

Study of New Issues’ Initial Return in China Stock Market

本文通过研究1996—1999 年在沪深证券交易所上市的529 家首次公开发行的A 股股票，发现这些股票初始收益率的平均值为129.8%，初始收益率的分布呈正偏的凸峰态，这说明中国股市的IPOs 存在短期定价偏低的现象。本文认为：IPOs 定价偏低的原因是股票发行市场的制度性缺陷和股票二级市场的运行及投资者的投机行为共同作用的结果。

The paper studies 529 A-share initial public offerings that list on Shanghai and Shenzhen Security Exchange from 1996 to 1999.It finds that the average initial return of these shares is 129.8 percent,and the distribution of their initial returns is positive,skewed,and convex.The results confirm that IPOs in China Stock Market exist short-term underpricing.It shows that it is institution defect of new issue market,operation of exchange market and speculative behavior of investors that cause the IPOs under-priced.