上市首日“破发”股票长期表现更差吗?
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引用本文:王 睿1,2,曹 超1,常盼盼1.上市首日“破发”股票长期表现更差吗?[J].财经理论与实践,2017,(6):59-63
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王 睿1,2,曹 超1,常盼盼1 (1.南京农业大学 金融学院江苏 南京 210095 2.南京农业大学 经济管理学院江苏 南京 210095) 
中文摘要:以2009年7月至2012年5月间上市发行股票为样本,采用随机前沿模型进行定价分析,以新股发行定价类型,首日发行抑价率正负进行分类。选取折价发行且上市首日“破发”(即首日收盘价低于发行价)公司样本,将其与溢价发行且上市首日未“破发”公司样本,按照“行业-收入规模”标准进行样本配对,计算两组公司上市后1~5年买入与持有收益(BHAR)并进行差异性检验。结果表明:新股上市后前三年均表现不佳,折价发行且首日“破发”的股票在上市后前两年表现更差。这为新股定价与长期表现相关研究提供了新的实证。
中文关键词:首日抑价率  “破发”  随机前沿模型  长期表现  融资行为
 
Will the IPO Break Stocks Perform Worse in the Long Run?
Abstract:Based on the sample of issuing stocks from July 2009 to October 2012, the stochastic frontier analysis model is used to classify according to the IPO pricing type and underpricing rate. The company samples which discount issue and "break" on the issue day (the first day's closing price is lower than the issue price) will be selected to match according to the "industry-income scale" standard. The companies' "buy and hold" returns (BHAR) during the five years after issuing will be calculated and tested. The testing results show that: After the IPO, the first three years of poor performance, discount issuance and the first day of break of the stock in the first two years after the listing worse performance. It provides new empirical evidence for the research of IPO pricing and long-run performance.
keywords:underpricing rate  IPO break  stochastic frontier pricing model  long-run performance  financing behavior
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