Chinese IPO activity, pricing, and market cycles

被引：24

作者：

Zhou Z.-G. ^{[1
]}

Zhou J. ^{[2
]}

机构：

[1] Department of Finance, College of Business and Economics, California State University, Northridge

[2] Graduate School of Business, Stanford University, Palo Alto

来源：

Review of Quantitative Finance and Accounting | 2010年 / 34卷 / 4期

关键词：

Chinese A share IPOs; Cross-sectional analysis; Government restrictions; Initial underpricing; IPO market cycles;

D O I：

10.1007/s11156-009-0147-6

中图分类号：

学科分类号：

摘要：

We examine the activity, pricing, and market cycles of 1,380 Chinese A share IPOs over the period 1991-2005 and find initial underpricing of 238%. The government restrictions on IPO offer price and quota allocation cause pricing structural breaks and attribute more than half of initial underpricing. A multifactor model that includes firm's characteristics, excess demand for IPO shares, and the government restrictions explains cross-sectional initial returns, after controlling for industrial differences and stock market conditions. In addition, monthly IPO volume and average initial return are highly correlated. A VAR model indicates that initial return leads IPO volume by 6 months. © Springer Science+Business Media, LLC 2009.

引用

页码：483 / 503

页数：20

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