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Research on the Excess Initial Returns of GEM Initial Public Offerings

Author: WangLin
Tutor: ZhangDaWei
School: Hebei University of Economics
Course: Finance
Keywords: IPO Excess returns The primary market underpricing The secondarymarket premium Weak for a long time
Type: Master's thesis
Year: 2014
Downloads: 3
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After20years of development, China’s stock market from immature to graduallyperfect, the distribution system has experienced several reforms. High and new issueson the first day of the excess returns has always been the focus of market participantsand academic researchers, first-day high excess yields an increase in the secondarymarket, the primary market price shocks at the same time, it’s also hinder the capitalmarket financing and resource allocation function of the play, so for the first day ofIPO excess returns phenomenon, many scholars at domestic and abroad according tothe national markets for a large number of theory and empirical research, the earlyresearch mainly tend to be based on the solid standard financial theory from the Angleof the primary market price suppression explanation, and then the development ofbehavioral finance theory to study from the perspective of the secondary marketpremium provides a new basis, the research many significant conclusions are drawn.The growth enterprise market opened in2009, the first of the "three highs"phenomenon (high issue price, high PE ratio and high super-raise funds) is moreobvious. Based on above, this paper combined with the related literature at domesticand abroad, the growth enterprise market in China the first in-depth analysis of thephenomenon of excess returns.This article divides into the excess earnings first-day underpricing the primarymarket and secondary market premium: the primary market underpricing refers to theissuing price is lower than its intrinsic value, and in its debut of excess returns;Secondary trading market premium is the excess return on the first day closing priceis higher than itself intrinsic value arising. In the primary market, from some of thefactors associated with pricing (such as the company’s balance sheets, profit ability,capital scale, etc.), using multiple linear regression analysis, find out the influencelisted market underpricing of explanatory variables. In the secondary market throughthe exchange rate, market atmosphere index analysis, find out the reason of influencethe secondary market premium. This paper samples selected from2009to2013that 355companies listed on the gem market, by improving the comparable company lawon the secondary market excess returns, found that the secondary market to debut thecontribution of excess returns were27%and73%respectively; And then makes anempirical analysis on two markets respectively. Results show that the offering price,p/e ratio, equity scale, lot winning rate and p/e before release, on the secondarymarket had a great effect on excess return, and the company’s assets is responsible forthe rate, return on equity, underwriter reputation etc. are not significant impact onexcess returns; Finally carried out a statistical analysis on the long-term performanceof sample, found that in two years, there is phenomenon of underperformance, closeto its debut investors buy two years later, the average yield of-41%, but whichinvestors buy with issue price the yield can same with market average earnings。Through the empirical research results of the sample, this paper argues that tomake the IPO excess returns back to a reasonable level, issuers, underwriters,investors and regulators work together: Gradually speed up the marketization processof pricing system, advancing the authorization to register system transition; Give fullplay to the regulatory role of government in the stock market. Increase penalties forissuing market irregularities, increase the cost of illegal; Promote the development ofcapital market diversification health, foster more rational investors.

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