EMPIRICAL STUDY ON IPO UNDERPRICING AND LONG-RUN PERFORMANCE: EVIDENCE FROM CHINA’S A-SHARE MARKET (Published)
This paper studies the underpricing and long-term performance of A-share initial public offerings (IPOs) in China from June 19, 2006 to June 30, 2007. The average underpricing of IPOs is 107%,abnormal returns over one year and three years separately cover the interval [-1.71，-0.54],[-1.54,-0.27]. The underpricing of IPOs is significantly affected by market volatility, ex-ante uncertainty, lucky number ratio, and first day trading ratio. Aftermarket abnormal returns over one year and three years are significantly determined by market volatility, ex ante uncertainty. It is indicated that the initial excess returns doesn’t show any influences on abnormal returns.