国有股权、IPO抑价与长期收益率

State Ownership IPO Underpricing and Long- run Performance

国有股权对IPO抑价和长期收益率具有重要的影响。然而,已有研究关于国有股权对IPO抑价和长期收益率的影响并没有取得一致的结论。运用1990—2011年的中国A股IPO公司数据,使用首日超额收益率和首日收益率来衡量IPO抑价,运用买入并持有的两年期超常收益率和两年期累计超额回报来衡量IPO长期收益率,构建国有股权对IPO抑价和IPO长期收益率的影响的Cluster和Bootstrap回归模型进行分析。研究结果表明,国有股权比例越高,IPO抑价率越高;国有股权比例越高,IPO长期收益率越低。这一分析有助于认识国有股权对IPO抑价和长期收益率的影响,也有助于认识国有企业私有化过程中的政府行为及其影响,可以为国有企业改革提供一定的借鉴作用。

State ownership has important influence on IPO underpricing and long -run performance. Extant lit- erature examined how state ownership affected IPO underpricing and long - run performance, but it hasn＇ t got a conclusion that is widely accepted. This paper uses 1990 to 2011 of China＇ s A -share IPO company data, mean- while, it uses first - day excess returns and first - day returns to measure IPO underpricing, and uses the buy and holds A two -year supernormal returns and two -year cumulative excess return to measure IPO long -run perform- ance, and then builds the Cluster and Bootstrap regression model to study the effects of state ownership on IPO un- derpricing and long -run performance. It shows that IPO underpricing increases with state ownership and IPO long -run performance decreases with state ownership. This analysis helps us to know more about the effects of state ownership on IPO underpricing and longrun performance, and understand the government behavior and its influ- ence in the process of state - owned enterprise privatization ; it can provide certain reference for the reform of state - owned enterprises.