IPO后股票短期收益率波动性探讨

• 机 构: 四川大学工商管理学院,成都,610064
• 出 处: 证券市场导报
• 发表日期: 2010年12期
• 关键词: IPO underwriter reputation market sentiment short-term returns volatility

本文分析中国A股市场2005年以来IPO数据后发现:IPO后第一周收益率具有“高波动性”,利用理论分析和实证研究,从IPO公司特征、承销商声誉以及市场情绪等角度分析其原因,结果表明承销商声誉越好、市场情绪越低的股票在IPO后一周内的收益率波动性越大、风险越高;新股发行首日表现(首日波幅、首日涨跌幅以及首日换手率)与IPO后短期收益率波动性相关性显著.“,”After analyzing the IPO data from 2005 in China A share market,we find that there is a high volatility of returns in the first week after IPO.Based on the characteristics of the IPO companies,reputation of underwriters and the market sentiment,our research shows that the better reputation of the underwriter and the lower market sentiment of the stock,the higher volatility of the first week return after IPO and the higher risk.The first day performances of new shares,such as their amplitude,price changes and turnover rate are obvious correlated with the short-term returns volatility after IPO.