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本文对我国1998年到2003年的A股首次公开发行(IPO)首 日收益进行了实证检验,结果发现我国的IPO首日显著存在超常收 益现象。进一步分析得出我国A股市场存在的高首日超常收益是由 发行时的低定价以及二级市场上存在的“狂热”现象推高了当天的 收盘价共同作用所致,并且新股发行方式、发行数量、募集的资金总 量、换手率、中签率、流通股所占比例以及每股净资产等都与首日超 常收益大小存在明显的相关关系。
This paper tests the first-day return of A-share initial public offering (IPO) in China from 1998 to 2003 and finds that there is a significant excess return on the first day of IPO in our country. Further analysis shows that the abnormal return of the first day of the existence of the A-share market in our country is caused by the low pricing of the issuance and the phenomenon of “fanaticism” existing in the secondary market, pushing up the closing price of the same day and issuing new shares The number of issuances, the total funds raised, the turnover rate, the successful rate, the proportion of tradable shares, and the net assets per share are all significantly related to the size of extraordinary returns on the first day.