本文選題：IPO長期表現(xiàn) + IPO抑價��； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：股票的IPO問題得到了越來越多學(xué)者的關(guān)注，其中IPO抑價現(xiàn)象、熱市發(fā)行現(xiàn)象和IPO長期表現(xiàn)弱勢現(xiàn)象，統(tǒng)稱為“IPO之謎”。但是大多數(shù)學(xué)者對IPO謎題的研究多集中于前兩個現(xiàn)象，而對IPO長期表現(xiàn)弱勢問題則有所忽視。國內(nèi)學(xué)者對IPO長期表現(xiàn)的研究多集中于A股市場，極少研究香港市場的IPO問題。與以往學(xué)者研究不同，本文對我國內(nèi)地A股和香港H股的IPO長期表現(xiàn)問題進(jìn)行比較研究，探究我國內(nèi)地和香港市場IPO長期表現(xiàn)的異同。選取了2000-2009年A股上市的773家公司、H股上市的104家公司，A+H股交叉上市的21家公司為樣本，首先通過描述性統(tǒng)計方法，，從上市年度、上市市場、行業(yè)、發(fā)行價等多個視角分析了我國A股和H股IPO抑價和IPO長期表現(xiàn)情況。其次，對我國A股和H股的三年期長期表現(xiàn)的差異性進(jìn)行了統(tǒng)計分析，探索二者之間的差異是否顯著存在。最后，構(gòu)建多元回歸方程，找出可能影響A股和H股IPO長期走勢的因素。 在理論研究和實證研究的基礎(chǔ)上，本文發(fā)現(xiàn)：我國A股長期走弱，三年期累積調(diào)整平均超額收益（CAR）為-31.25%，而H股長期走強(qiáng)，三年期CAR為27.53%，并且二者之間的這種差異是顯著存在的；交叉上市A+H股股票，無論是A股部分還是H股部分長期來看都是走強(qiáng)的，A股部分長期表現(xiàn)強(qiáng)于我國A股整體，其三年期CAR為6.81%，H股部分長期表現(xiàn)強(qiáng)于我國H股整體，三年期CAR為60.68%；不同行業(yè)、不同上市年度、不同上市市場、不同發(fā)行價格、不同IPO抑價水平下A股與H股IPO長期表現(xiàn)不同，但是這種差異并不總是顯著的。其中，A股三年期長期表現(xiàn)主要受同期大盤表現(xiàn)、籌資金額、上市市場的影響；H股三年期長期表現(xiàn)則主要受上市市場的影響；而IPO抑價水平對A股和H股三年期長期表現(xiàn)的影響均不顯著。
[Abstract]:More and more scholars pay attention to the IPO problem of stock, including the phenomenon of IPO underpricing, the hot market issue and the long-term weakness of IPO, which is called "the riddle of IPO". However, most scholars focus on the first two phenomena in the study of IPO puzzles, but ignore the long-term weak performance of IPO. Domestic scholars mainly focus on the long-term performance of IPO in A-share market, and rarely study IPO in Hong Kong market. Different from previous studies, this paper makes a comparative study on the long-term performance of IPO in China's mainland A shares and Hong Kong's H shares, and explores the similarities and differences of the long term performance of IPO in China's mainland and Hong Kong markets. From 2000 to 2009, 773 companies listed in A shares and 104 companies listed in H shares were selected as samples. Firstly, through descriptive statistical method, from the year of listing, the listed market, industry, This paper analyzes the long-term performance of IPO underpricing and IPO in Chinese A-shares and H-shares from several perspectives such as issue price. Secondly, the paper makes a statistical analysis on the differences of the three-year long term performance between A shares and H shares in China, and explores whether the differences between them are significant. Finally, the multivariate regression equation is constructed to find out the factors that may affect the long-term trend of A-share and H-share IPO. On the basis of theoretical and empirical studies, this paper finds that A shares in China have weakened for a long time, the average excess return of triennial-cumulated adjustment is -31.25, while H shares are strong for a long time, and the three-year CAR is 27.53, and the difference between them is significant. Cross-listed A-H shares, both A-shares and H-shares, are stronger in the long run. The A-share portion is stronger than China's A-shares in the long run, and its three-year CAR is 6.81.The long-term performance of the H-shares is stronger than that of China's H-shares. The three-year CAR is 60.68. The long-term performance of A-share and H-share IPO is different under different IPO underpricing, different industry, different listing year, different market price and different IPO underpricing level, but the difference is not always significant. Among them, the three-year long-term performance of A shares is mainly affected by the market performance, the amount of funds raised and the listed market in the same period, while the three-year long-term performance of H shares is mainly affected by the listed market. However, the IPO underpricing level has no significant effect on the long-term performance of A-shares and H-shares.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 楊丹;新股長期價格行為的實證研究——基于殼資源價值的假說和證據(jù)[J];財經(jīng)科學(xué);2004年05期

2 汪金龍;我國首次公開發(fā)行股票長期市場表現(xiàn)實證研究[J];財貿(mào)研究;2002年01期

3 李蘊(yùn)瑋,宋軍,吳沖鋒;考慮市值權(quán)重的IPO長期業(yè)績研究[J];當(dāng)代經(jīng)濟(jì)科學(xué);2002年06期

4 廖理,張偉強(qiáng);逐漸規(guī)范市場上的A股新股長期強(qiáng)勢表現(xiàn)研究[J];管理世界;2004年07期

5 陳工孟,高寧;中國股票一級市場長期投資回報的實證研究[J];經(jīng)濟(jì)科學(xué);2000年01期

6 劉力,李文德;中國股票市場股票首次發(fā)行長期績效研究[J];經(jīng)濟(jì)科學(xué);2001年06期

7 王美今,張松;中國新股弱勢問題研究[J];經(jīng)濟(jì)研究;2000年09期

8 杜俊濤;;我國IPO股票長期弱勢中研究方法的差異性與實證研究[J];金融教學(xué)與研究;2006年02期

9 邵新建;巫和懋;覃家琦;王道平;;中國IPO市場周期:基于投資者情緒與政府擇時發(fā)行的分析[J];金融研究;2010年11期

10 楊丹;林茂;;我國IPO長期市場表現(xiàn)的實證研究——基于超常收益率不同測度方法的比較分析[J];會計研究;2006年11期

本文編號：1981551