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1、- 1 -我国我国 IPO 长期弱势及基于异质信念的解释长期弱势及基于异质信念的解释 陈国进a 黄高远b 王景c (厦门大学王亚南经济研究院a、厦门大学金融系b, c, 厦门 361005)摘要摘要: IPO 长期表现异象是各国普遍存在的,本文基于我国上海 A 股 1992 年 1 月至 2004 年4 月 861 支 IPO 股票数据,运用 CAR、BHAR、CAPM、Fama-French 三因素模型四种方法研究发现我国 IPO 长期表现出显著弱势。并进一步通过实证研究,从一个全新的角度异质信念对我国 IPO 长期弱势进行解释。利用分解后的收益波动率作为衡量异质信念的指标,结果表明异质信念
2、与我国 IPO 长期弱势显著负相关,支持了 Miller 假说。关键词关键词: 异质信念; IPO; 长期弱势0 引言引言IPO 长期表现是有关 IPO 研究中最富有争议性的领域,目前争议主要集中在两个方面,一是 IPO 的长期表现究竟怎样,二是影响 IPO 长期表现的因素有哪些。Ritter1最早对这一问题进行了规范系统研究,并提出 IPO 长期表现弱势的结论。Ritter b, c. Department of Finance, Xiamen University, Xiamen 361005, China.Abstract: The underpricing of initial pub
3、lic offerings (IPOs) that has been widely documented appears to be an abnormal phenomenon. This paper investigates the long-term share price performance of 861 A-share IPOs from the Shanghai stock market during the period from January 1992 to April 2004. Significant underperformance is found for CAR
4、, BHAR, CAPM and Fama-French (1993) three factor model using a matched market index benchmark. Interpreting early-market return volatility as a proxy for heterogeneous beliefs about a stock, we find that it is negatively related to subsequent IPO long-term abnormal returns, which consistent with Millers hypothesis. Key words: heterogeneous beliefs; IPO; long-term underperformance