中国股票发行市场价值低估现象实证

IPO Underpricing in Chinese Stock Markets

采用偏相关检验、逐步回归的方法 ,实证检验了中国股票发行市场的价值低估现象。分析了成熟市场造成新股发行价值低估的因素和我国股票市场的特有因素是否以及如何影响我国股票发行市场的价值低估程度的 .研究发现 ,中国股市过度超额初始回报率的本质是对二级市场的高估 ,它与国外的 IPO价值低估有着本质区别。

This paper tests the underpricing of IPOs of A share market based on the research methods developed from the Western empirical studies and combined with the environment of Chinese stock market.It analyzes how the unique Chinese characteristics and the factors that correlated with IPO underpricing in the Western empirical research take effects on the Chinese IPO underpricing. It turns out that the overpricing of secondary market is strongly associated with the excess initial return, which is different from the Western countries essentially.