The Study On The IPO Excess Returns In China

Many studies indicate that IPO excess returns are a universal phenomenon in the stock market all around the world. The excess returns of the new-issued stocks are very high no matter the stock market of developed countries and developing countries. This phenomenon also exists in the Chinese stock market, and goes even farther, which is called "the miracle of IPO" or "the bubble boom of IPO". It is a difficult problem for our stock market. There are own special characteristics of our stock market so that the western theories probably may not have a good applicability in our county. So it is very important for us to study the IPO excess returns of our stock market individually. This paper studies the IPO excess returns basing on the our Chinese stock market and combining the western advanced theories, to find out the special and individual influent factors of it and to explain the unreasonable performances of stock market as well as the unreasonable behaviors of the investors, thus provides some suggestions for the construction and the development of our stock market.First of all, in this paper I review the existing international and domestic study theories about IPO excess returns which are classified into two sorts by the author, traditional views and non-traditional views. Then I sum up the domestic study theories about this phenomenon and the limitation of the application of the foreign theories to Chinese market. In the next chapter I talk about the development and the characteristics of IPO pricing regimes and the pricing methods in China, as well as the characteristics of secondary market, to show the specification of our IPO market for the follow-up study.Based on the study of the existing theories about this topic and the characteristics of our IPO market, I study 349 new-issued A stock in Shanghai stock market from the beginning of 2000 to the end of 2004 to analyst the IPO excess returns in China. I set up a plural linear equation to analyst the IPO excess return in the first day and after one month. The conclusion is that IPO excess return indeed influenced by the investors' over-reaction in the second market, and the influence factors are relatively extensive. There are two reasons of IPO excess return in China:...