CAJ | 학술논문

本文对2000年至2012年期间上海证券交易所新股IPO首日的超额收益率进行了总体分析，发现沪市新股IPO首日超额收益率均值水平高达109．7％。明显高于纽约、香港和新加坡证券市场。基于沪市的高超额收益率水平及属性结构特征，本文从公司自身因素、市场因素和制度因素三个层面构建了IPO首日超额收益率影响因素指标体系，并采用因子分析和多元回归分析相结合的方法对IPO首日超额收益率的影响因素进行了分析。分析发现，规模因子、上市市场成熟度因子和收益性因子对新股首日收盘收益率起负向影响作用，而上市公司成长能力因子则起正向影响作用；保荐制审核方式比通道制方式下的新股首日超额收益率小，网下询价、网上定价发行方式则比其他发行方式首日收盘收益率大。
본문대2000년지2012년기간상해증권교역소신고IPO수일적초액수익솔진행료총체분석，발현호시신고IPO수일초액수익솔균치수평고체109．7％。명현고우뉴약、향항화신가파증권시장。기우호시적고초액수익솔수평급속성결구특정，본문종공사자신인소、시장인소화제도인소삼개층면구건료IPO수일초액수익솔영향인소지표체계，병채용인자분석화다원회귀분석상결합적방법대IPO수일초액수익솔적영향인소진행료분석。분석발현，규모인자、상시시장성숙도인자화수익성인자대신고수일수반수익솔기부향영향작용，이상시공사성장능력인자칙기정향영향작용；보천제심핵방식비통도제방식하적신고수일초액수익솔소，망하순개、망상정개발행방식칙비기타발행방식수일수반수익솔대。
This article firstly analyzes the overall excess returns on the first day of new stocks＇ IPO in Shanghai stock exchange market from 2000 to 2012. We find that the average excess returns of Shanghai stock exchange is 109.7% , which is significantly higher than 16.9% of New York, 15.6% of Hong Kong and 20.1% of Singapore market. Based on the structural characteristics of the excess returns, this paper constructs a system of influence factors in terms of internal factors of listed companies, market factors and institutional factors, and analyzes the effect of each factor by combining the factor analysis method and multi-variable regressions. We find that the scale of companies, the market maturity and the profitability factors have negative effect on excess returns, and the growth capability of listed companies is positively correlated with excess return. The excess returns with sponsor system tend to be higher than with channel system, and the off-line price inquiry, online price setting approach tends to have a higher excess return than other pricing methods.