IPO长期价格收益及其影响因素： 账面市值比效应、可持续增长与投资者情绪

A Study on IPO Long-term Price Earning and Influencing Factors: Book to Market Effect, Sustainable Growth and Investor Sentiment

中文关键词:  首次公开发行(IPO)  长期价格弱势； 可持续增长； 投资者情绪

英文关键词:Initial Public Offerings (IPO)  long-term underperformance  sustainable growth  investor's sentimen

中文摘要:

      采用事件研究法，运用大样本数据考察论证我国存在着与国外市场相似的新股长期弱势问题，并进一步分析发现IPO长期价格表现不受规模效应影响，但存在账面市值比效应，可持续增长率是影响长期价格收益的主要因素，投资者过度乐观情绪及市场特征也对长期弱势存在不同程度影响。

英文摘要:

      With the use of event study, based on a big sample survey, this paper argues that China's IPO has a long-term underperformance similar to foreign markets. The further analysis indicates that IPO's long-term price performance is not prone to scale effect, but there is Book/Market ratio (BM ratio) effect. The sustainable growth rate is the main factor to influence the long-term price earning. The investors' overoptimistic sentiment and the market feature also affect the underperformance in varying degrees.