The Empirical Analysis On The Long-term Performance In China’s GEM And Its Influencing Factors

IPO long-term performance is one of the three hot issues in IPO research. Many studies showed that the long-term weakness of newly listed stocks is a common phenomenon. The new stocks have a long period of underperformance after been listed. Scholars from different countries put forward their own theories to explain this phenomenon. Their theoretical explanation focused on behavioral finance theory, efficient market hypothesis and Asymmetric information theory.The research on long-term performance of new shares started relatively late. The different time interval of investigation, different samples and different empirical analysis methods lead to divergent results. Some scholars believe that the IPO long run underperformance exists in China’s stock market, but some scholars believe that China’s long-term behavior of new stocks is better than the market level.The research on long-term performance of new shares has the profound theoretical and practical significance. It can study the effectiveness of the stock market. On the other hand it also can provide the basis for improve the system of the capital market.This paper selects87stocks to study. These stocks were listed on GEM board from October30,2009to May31,2010. The Study of the time span is three years. This paper uses the CAR to measure the long-term behavior of new stocks. We found that China’s growth enterprise market IPO has long-term underperformance, and the vulnerable degree also has increased year by year. Moreover, we found that the IPO underpricing rate, proportion of tradable shares, the return on equity and other factors are the main reasons of the IPO long-term weakness in China’s growth enterprise market. At last, the paper puts forward policy suggestions accordingly.