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A Case Study Of The Medium And Long-run Performance And The Relative Factors Of The IPOs

Posted on:2004-11-02Degree:MasterType:Thesis
Country:ChinaCandidate:B ZhuFull Text:PDF
GTID:2156360092991184Subject:Finance
Abstract/Summary:PDF Full Text Request
The aim of this paper is to study the medium and long-run performance and the relative factors of the IPOs (Initial Public Offerings) in Shanghai stock exchange market. According to the factors or models studied in this paper, some conclusions could be listed as following.1) As a total group, the medium and long-run returns of the IPOs are obviously better than market portfolio, especially in the second and forth years after initial public exchange.2) IPOs with higher Book-to-market ratio, or Return-on-equity, or circulating-equity-ratio can obtain a higher medium and long return, so are IPOs with lower market-value or lower initial abnormal return for new issues.3) There is a difference between different-size IPOs in a "bull" or a "bear" period. In a relative lower position of the market index or the last period of a "bear", larger-size IPOs can get better return than market portfolio, while in a relative higher position of the market index or the initial period of a "bear", smaller-size IPOs can get better return than market portfolio. Small-firm effect is obviously existed for new issues.4) As for the IPOs return of every month in a year, the returns of March, April, June are generally get the highest three ranks among all 12 months. On the other hand, the IPOs can averagely get a positive abnormal return over market portfolio between September and December, which means IPOs can obtain better return in every last-half year relatively.5) Higher exchanging rate of the first circulating day for an IPO can not obtain a higher medium and long return, and it even has a negative relationship with the later. But an IPO with a little higher issue price than average may obtain a higher medium and long return.6) Totally, IPOs returns turn to be lower and smaller year by year, the same are their long-run performance. Compared with the market value of stocks, the effects of Return-on-equity become stronger for the medium and long returns year by year.
Keywords/Search Tags:IPO, abnormal-return, small-firm effect, factor model
PDF Full Text Request
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