IPO首日二级市场收益率研究

Research of Secondary Market Returns on the First Day of Initial Public Offering

以2005-2010年期间中国对IPO实行询价制以来的671个IPO样本为研究对象,从信息不对称和投资者情绪两个方面对中国IPO首日二级市场收益率及影响该收益率的因素进行了研究,结果发现中国IPO的抑价主要是由一级市场的收益决定的,二级市场收益率主要受投资者情绪主导。进一步分析IPO公司的后市异常收益率后发现,其与首日二级市场收益率显著负相关,说明中国IPO公司的首日二级市场收益率确实是受投资者情绪主导的。

We have studied the secondary market return of the first day of initial public offering （IPO） and the factors affecting this return from the aspects of investor sentiment and information asymmetry by using 671 samples from 2005 to2010 since China applies the inquiry system for IPO as the study object. We find that the main reason for the high IPO underpricing is determined by primary market returns, while the returns of the secondary market are primarily dominatedby investor sentiment. When further analyzing the afternoon market abnormal return of the IPO companies, we also find that they are negatively correlated in a significant way, denoting that the secondary market yield is mainly driven by investor sentiment.