Of small plates listed company IPO on the first day of excess returns

Abstract: In this paper, our 2010-2011 small plates listed companies as the research object, trying to explain the problem of excess returns. Data selection criteria later in 2010 will be audited over the small board listed company, a total of 246 enterprises. Study found IPO issue price, price-earnings ratio, turnover rate of return on the first day has significant influence, other fundamental factors affecting the yield was not significant.

Keywords: small plates IPO, excess returns

I. Introduction
IPO means the initial public offering is the enterprise to investors through an initial public stock offering in order to raise funds for enterprise development process. Improving stock market consists of two parts, the issue of marketing and distribution market. Stage, our country increasing emphasis on protecting the interests of investors, to ensure the healthy development of China's capital market.

IPO research is a very popular topic, domestic and foreign scholars have done a lot of research. IPO IPO underpricing is an important part of the study, IPO underpricing is a listed company shares on the first day closing price of the stock is much larger than the issue price. This paper attempts to explore the factors that affect IPO pricing to explain the excess rate of return.

Second, the research hypothesis

Convenient for the study of this paper makes the following assumptions:

Hypothesis 1: The higher gross margin sales, the company the more sought after, the more likely in the secondary market to generate high rates of return on the first day.

Suppose two: the company's growth is stronger, ie the higher the main business revenue growth, the company's future is more optimistic investors, so the first day of IPO rate of return is greater.

Hypothesis 3: The higher the company's asset-liability ratio, IPO first day of the rate of return is lower.
Hypothesis 4: IPO price on the first day of the size of the rate of return is a negative impact, that IPO pricing is higher, the lower the rate of return on the first day.

Hypothesis 5: IPO price-earnings ratio is higher, the higher the rate of return on the first day.
Assuming six: the first day more the number of IPOs, IPO first-day return is smaller.
Hypothesis 7: the success rate on the first day of return is negative, so the success rate is higher, the smaller the rate of return on the first day.

Assuming eight, turnover rate of return on the first day was a positive impact, the higher the turnover rate of return on the first day of the greater.

Third, the study design and analysis

The design variables:

In this paper, the first day yields the first day closing price minus the IPO price, and then dividing by the IPO issue price spread, whereby the first day IPO returns. This indicator expressed by IR, the issue price of P0, the first day closing price as P1, so IR = P1-P0P0. sales margin R indicator, this paper is the use of the financial year 2008-2010 the mean exemplar. growth indicators Growth, this paper is the last three years (2008-2010's main business revenue CAGR. asset-liability ratio Debtr that corporate liabilities divided by total assets, but also find the mean nearly three years. IPO issue price of P0, PE PE, first at the number listed NUM, the success rate ZQR, turnover HSR both from the listing announcement.

Design of the model:

From the distribution of explanatory variables can be found on the first day of new shares yield significantly positive on the whole, and the initial rate of return can be inferred by the IPO market factors is relatively large, new shares issued around the same time, gathered in one area, especially IPO yield is not high time.

On the explanatory variables and the explanatory variables descriptive statistical analysis, IPO first-day yield a maximum of 235.04% and a minimum of 15.55% with a mean of 32.24%, gross margin maximum of 96.42% and a minimum of 6.83%, average of 29.69%, main business revenue growth of 411.03 percent maximum, minimum post -35.75% with an average of 18.77%, asset-liability ratio was 85.69% maximum and a minimum of 14.88% with a mean of 46.45%, issue price a maximum of 148 yuan, the minimum is 5.8 yuan, an average of 27.61 yuan, earnings maximum 223.17, the minimum is 19.97, mean 55.54, the first day of listing the maximum number of 32,000 shares and a minimum of 1,064 shares, average of 3044.86, the success rate of a maximum of 65.52% and a minimum of 0.21% with an average of 1.54%, turnover maximum of 95.27% and a minimum of 17.99% with a mean of 70.85%. Links to free download http :/ / eng.hi138.com four empirical results analysis
In this paper, methods of sample data do OLS regression, regression results from the point of view, the issue price, price-earnings ratio, turnover rate of return on the first day of IPO effects have passed the 1% significance test. Issue price on the dependent variable was significant negative impact, in line with expectations, earnings on the dependent variable is significantly positive impact, with the expected sign is also consistent, turnover on the explanatory variables affect significantly positive, as expected, other explanatory variables did not Through significant test.

Sales margin, main business revenue growth, asset-liability ratio can be attributed to the stock fundamentals, asset-liability ratio of the coefficient is negative, inconsistent with the foregoing analysis from a perspective reflected in our IPO, investors time shares less concerned about corporate investment fundamentals, can not be counted as a real investment, or just "speculation." higher price-earnings ratio, the higher the rate of return on the first day, indicating the views of institutional investors can play on market behavior some guidance.

V. Conclusions and Research Prospects
We draw: The issue price, price-earnings ratio, turnover is significantly positive factor in our IPO, investors prefer smaller stock price, there is the "price illusion", the investor's intuition is the same amount of investment, the purchase price Lower stock number obtained more.

To regulate market behavior, to protect the interests of investors, the market must be strictly managed institutions may give quotes, prompting them to give a fair and reasonable prices, crack down on disrupting the market's behavior. (Author: Jiangxi University of Finance


[1] Beatty, Randolph P.And Jay R.Ritter, 1986, "Investment Banking, Reputation and Theunderpricing of Initial Public Offerings", Journal of Financial Economics, 15, pp.213 ~ 232.

[2] Carter, Richard and Steven Manaster, 1990, "Initial Public Offerings and Underwriter Reputation", Journal of Finance, 45, pp.1045 ~ 1067.

[3] Chen Gong Meng, Gao Ning: << Chinese stock market underpricing an extent and reason >>, << >> Financial Research, 2000 8. Links to free download http://www. hi138.com

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