【摘要】 中国的 A股市场存在着非常高的初始回报率 .通过对 1 995年 1月 1日到 1 998年 5月3 0日上市的 472只 A股的实证分析 ,发现这种偏高的初始回报率主要源于一二两级市场价格决定机制的脱钩 .实证检验发现了一些影响初始回报率的重要因素 ,如发行的价格、时间、规模等 .西方理论中的“分离均衡”与“政府责任”假设在中国并不成立 ,新股上市后也没有明显的“高开低走”趋势 .同时 ,由于一级市场超额认购倍数极高 ,投资者申购新股资金的实际回报率远远小于其名义初始回报率 .上述这些现象与中国股市在发展过程中所处的阶段和政府的监管政策直接相关更多还原

【Abstract】 Very high initial returns can be found in China’s A share stock market. In this paper, we empirically identify some of the causes of such high initial returns, using data compiled for 472 A share Initial Public Offerings (IPOs) listed between January 1, 1995 and May 30, 1998. We attribute the high initial returns to the disconnection of the pricing mechanisms between A share stock’s primary market and its secondary market. We also find some of the factors that have significant influence on the initial returns, such as the offering price, the time of the IPO, the size of the IPO, and so forth. Our empirical results do not support that the IPO underpricing is due to a separating equilibrium or the government commitment, which has been suggested by some western scholars. Neither do we find any significant long term underperformance within the IPOs we have studied. In addition, there is a vast oversubscription in almost every IPO, which makes the actual return to the subscribers who have been actually allocated some shares of the new issue far less than the nominal initial return. All these phenomena described above are associated with both the stock market’s stage of development and the government’s regulating policies.更多还原