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本文以我国1997年5月—1998年12月上市的165只A股作为样本,考察了它们上市后三年内相对于同期市场收益率的强弱。结果表明,在消除了第一个月奇高收益率的影响后,我国新股第一年就弱于市场,整体累积超额收益率为-3.31%;两年和三年期新股整体累积超额收益率也低于市场,分别为-1.29%和-3.91%,第三年弱势没有结束,反而比前两年有所加剧。因此,我国新股存在至少3年的弱势,和国外的弱势期限基本一致,长于国内别的学者认为的弱势期限(半年到一年)。研究结果还表明,影响新股第一年和第二年强弱的主要因素是初始收益率和流通股比例,影响第三年强弱的因素是初始收益率和总资产。
Based on the 165 A-shares listed in China from May 1997 to December 1998, this paper examines the strength of market returns over the same period of three years after their listing. The results show that after eliminating the impact of the odd-high yield in the first month, the new shares in China are weaker than the market in the first year, with the cumulative cumulative excess return of -3.31%; the cumulative cumulative return of two- and three-year new shares Also lower than the market, were -1.29% and -3.91%, the third year the weakness is not over, but worse than the previous two years. Therefore, there are at least three years of weakness in new shares in our country, basically in line with the weak period abroad, longer than the weak period (six months to a year) deemed by other scholars in our country. The results also show that the main factors that affect the strength of the first and second year of new shares are the initial rate of return and the proportion of tradable shares. The factors that affect the strength of the third year are initial rate of return and total assets.