| In this paper, we study the long-term price performance of new listed shares. The study in foreign countries shows that the new stocks have a 3-year period of underperformance after been listed. This phenomenon exists in over sea's stock markets. In the past 20 years, scholars from different countries study this phenomenon, and search for the reasons.But so far, the researches are still in the stage of empirical testing and analysis. They do not get an agreement in the theories which could explain the long-run underperformance of new stocks. Particularly the long-run underperformance does not meet the efficient market hypothesis, so it could not be explained by the classic theory of finance. Now the theory researches focus on the behavioral finance. This article searches for the factors that affect the long-run performance of new stocks with main points of behavioral finance and specificities of Chinese stock market.This article chooses 371 non-ST stocks that list in Shanghai and Shenzhen A-share market from 2001 to 2007 as the research sample. We calculate the monthly returns of each stock in 3 years to find that if newly listed stocks underperformed in Chinese stock market and the period of underperformance. Then we choose some independent variable to set up regression models to find the factors that effect significantly on the long-run performance of new issues.Through the research we find that the newly listed companies underperformed in long run. But the period of underperformance is about 1 year, which is different to the 3-5 years in the foreign countries. And influencing factors are including first day revenue, lot winning rate and the age of company. And then we inquire the process of the influencing factors according to the results of empirical study and particularity of Chinese stock market. At last we put forward some proposals for the stability and development of Chinese stock market according to our research. |
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