Methodologies Of Measuring IPOs' Long-run Abnormal Returns And Its Empirical Study

The research related to IPOs'long-run abnormal returns(LRARs) arose in 90s in 20^th century, which is also called IPOs'long-run performance. The main content of the academic research is to detect the IPOs portfolio's performance compared to some benchmark in a long-term period. Presently, the documents have demonstrated that performance of IPOs varies differently according to the characteristic of the different types of stock market in different countries. Most of the empirical result in developed market is underperformance, but it is opposite in the merging market. So the study related to LRARs becomes a hot issue, somewhat a controversial problem, in the field of IPOs. The reason lies in two facts, the one is attributing to the disagreement of methodologies in measuring LRARs, and the other is the variety of explanations to the phenomenon of LRARs. This thesis is to compare the present methodologies of measuring LRARs and explore a suitable methodology, employing which the empirical research is made in the thesis. Finally, the analysis on the result is made and the explanation is given. This paper contributes to the on-going debates about the methodology of LRARs and the explanatory theory of the anomalies in financial market. This thesis consists of five chapters. Chapter one is the introduction, which includes the background of the problem, the research statement of overseas and inner land, the train of thought, the innovation of the paper. Chapter two is the analysis of methodologies measuring LRARs. The principle of event-time methodology and calendar-time methodology is introduced. Theoretical analysis is made on the difference and the adaptability of three models based on event time, then simulation is employed to detect the utility of the three models and the conclusion that TBHAR is better than the other two is made. Chapter three is the body of empirical research. In this chapter, the empirical research employing the above two methodologies is conducted and the result of outperformance in China's stock market is given. This chapter is one of the highlights of the paper, in which the importance of influential factors of measuring methodology and benchmark is pointed out. Chapter four is the analysis part, which consists of the exploration of the influential factors of the long run performance and the explanation to the phenomenon. Chapter five is the summarizing part. In this chapter, the conclusion is drawn, the limitations are postulated and the suggestions are given.