新股热发行与投资绩效的实证研究

发布时间：2018-01-19 10:09

  本文关键词： IPOs 热发行 初期投资绩效 长期投资绩效　出处：《南京大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文将2006年1月1日至2009年12月31日在上海证券交易所主板及深圳证券交易所主板和中小企业板首次公开上市的332家公司作为研究样本,从热发行的观点出发,探讨了IPOs初期正向超额投资绩效、长期投资绩效不佳与热发行的关系。 文章首先根据热发行的不同描述指标,即群聚上市或二级市场投资气氛,分别对样本期内的IPOs进行分组,接着分别考察热发行组IPOs与非热发行组IPOs的初期投资绩效及长期投资绩效表现。 本文以IPOs上市首日至第5个交易日的累积回报率减去同期沪深300指数累积回报率来定义IPOs初期投资绩效,以IPOs上市首日至2年末的累积回报率减去同期沪深300指数累积回报率来定义IPOs长期投资绩效。 在计算出各组别IPOs的初期投资绩效与长期投资绩效之后,本文还利用t检验,考察了各组别内及各组别间IPOs初期投资绩效、长期投资绩效是否有显著差异。
[Abstract]:From January 1st 2006 to December 31st 2009, 332 companies listed on the main board of the Shanghai Stock Exchange, the main Board of the Shenzhen Stock Exchange and the small and Medium-sized Enterprises Board were selected as the research samples. From the point of view of hot issue, this paper discusses the relationship between the early positive overinvestment performance of IPOs and the bad long-term investment performance. Firstly, according to the different description index of hot issue, that is, cluster listing or secondary market investment atmosphere, the IPOs in the sample period is grouped separately. Then the initial investment performance and long-term investment performance of hot issue group IPOs and non-hot issue group IPOs were investigated respectively. This paper defines the initial investment performance of IPOs based on the cumulative return from the first day to the fifth trading day of IPOs, minus the cumulative return of the CSI 300 index in the same period. The long-term investment performance of IPOs is defined by the cumulative return from the first day to the end of two years, minus the cumulative return of the CSI 300 index over the same period. After calculating the initial investment performance and long-term investment performance of IPOs in each group, this paper also uses t-test to investigate the initial investment performance of IPOs within and among groups. Whether there is a significant difference in long-term investment performance.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】

相关期刊论文 前4条

1 周孝华;赵炜科;刘星;;我国股票发行审批制与核准制下IPO定价效率的比较研究[J];管理世界;2006年11期

2 杜莘,梁洪昀,宋逢明;中国A股市场初始回报率研究[J];管理科学学报;2001年04期

3 刘煜辉,熊鹏;股权分置、政府管制和中国IPO抑价[J];经济研究;2005年05期

4 王晋斌;新股申购预期超额报酬率的测度及其可能原因的解释[J];经济研究;1997年12期

，

本文编号：1443701