对中国A股市场新股初始回报的分析与研究

通过对1997年1月至2002年10月期间上市的641只普通股A股进行多变量时间序列分析，发现：整体价格水平对初始回报产生正影响；发行规模较小的公司的初始回报较高，给承销商垄断权利假说提供了支持；在深圳市场上，中签率与初始回报间是显著负相关的，说明初始回报与申购风险成正比，大的机构投资者为了弥补申购风险有操纵上市价格的嫌疑、发行到上市的时间间隔对初始回报的影响随着样本区间的缩短而增强。

Study and analysis on initial returns of IPOs in Chinese A-share market

Some determinants of high initial returns are empirically identified by using a multi-variate linear regression on the initial return for sample data of 641 A-share IPOs listed from January 1,1997 to October 31, 2002 in China's A-share stock market. Several findings are presented: whole-market price level is significantly positively related to the initial return and the offer size is substantially inversely related to the initial return, which may support the Monopsony Power Hypothesis. In Shenzhen A-share stock market, winner's ratio is significantly negative to the initial return, which may support the assumption of the offer price manipulation of large institutional. The effect of number of days from offering date to first_listing date on the initial return is enforced when sample period is decreased, which appears cosistent with the view point of Beatty and Ritter.