新股发行估值、首日收益与长期表现

IPO valuation,first-day return and long-term performance

新股发行定价对新股首日收益和长期表现具有重要影响.选取2006年9月至2010年12月在沪深股市上市的489家IP0样本,采用价格乘数估值模型,分析IPO定价估值水平及其对IPO首日收益与长期表现的影响.实证结果表明:与二级市场上的配比公司相比,新股发行的估值水平显著偏低;较低的新股发行定价对IPO首日收益有一定影响,但是较高的首日收益主要是受二级市场投资者情绪和市场环境的影响;新股的长期表现不仅弱于市场基准,还弱于配比公司,二级市场中投资者情绪及其市场供求因素使得新股价格在上市交易后短期内高出公允价格,在长期价值回归过程中表现出IP0长期弱势.

Initial public offering （IPO） valuation has an important influence on first-day return and long-term performance. Using price multiples model, this paper investigates the relationship between the valuation of 489 IPO firms and first-day return, long-term performance during the period of 2006.9-2010.12. The empirical results show that the IPOs are undervaluated, comparing with the price of matching firms; the first-day return partially comes from the undervaluation of IPO firms and is mainly affected by investor sentiment and the market environment; IPO firms not only underperformed the market benchmark but also underperformed their matching firms. Investor sentiment and market condition make the IPO over-reaction during a short period after going public and cause the IPO＇s long-term underperformance.