中国新股长期表现态势判断

发布时间：2018-06-04 02:20

本文选题：新股长期表现 + 三因素模型　；参考：《福建论坛(人文社会科学版)》2011年12期

【摘要】：以不同比较基准考察新股长期表现态势时,由于选择标准的不同,通常得出不同的结论。借鉴三因素模型的方法,增加流通股比例为解释变量来构建股票回报的四因素面板数据模型,并在此基础上选择比较基准,对我国新股长期表现态势进行判断,同时与其他三种方法的判断结果做对比。以四因素模型为基础判断,我国新股长期表现正常;以公司规模和账面市值比为基础判断,得出的结论与前面相同;仅以公司规模为基础判断,新股长期表现弱势;而以市场指数为基准判断,新股长期表现强势。以四因素模型为基础判断新股长期表现具有合理性,新股长期表现无异常的结论表明我国新股定价从长期来看也是不合理的。
[Abstract]:In the long term performance of new shares, different conclusions are obtained because of the different selection criteria. Using the method of three-factor model for reference, the four-factor panel data model of stock returns is constructed by increasing the proportion of tradable shares as explanatory variables, and on the basis of this, the comparative benchmark is chosen to judge the long-term performance situation of new shares in China. At the same time, the results are compared with the results of the other three methods. Based on the four-factor model, the long-term performance of new shares in China is normal, based on the company size and book market value ratio, the conclusion is the same as before, only based on the size of the company, the long-term performance of the new stock is weak. And with the market index as a benchmark, the long-term performance of new stocks strong. The conclusion that the long-term performance of new shares is reasonable on the basis of four-factor model and that there is no abnormal long-term performance of new shares shows that the pricing of new shares in China is also unreasonable in the long run.
【作者单位】：福州大学;山东大学;
【分类号】：F224;F832.51

【参考文献】