摘要
以 1 997年～ 2 0 0 0年间上市的 4 98只新股为样本 ,研究了在上市首日的初始收益和超额收益率的统计特征 ,发现在各个横截面都有很高的初始收益和超额收益率 ,“新股神话”表现明显 ,而且不同行业对股票的首日收益有不同的影响。同时 ,首日换手率过高表明我国IPO市场上充斥着短期寻利者 ,存在过度投机行为。
This paper exams the initial returns of initial public offerings in Chinese stock market. Using the sample of 498 IPOs for the 1997-2000 period, we make a research on the statistic character of initial returns and excess returns. Findings show that highly initial returns and excess returns exist on all cross sections, and 'legend of IPOs' is obvious. Further, we find various industries differently influence the initial returns of stocks. Meantime, the excessively high turnover on the initial-day indicate that flippers congest the stock market.
