国内A股上市公司IPO效应实证研究（040308）

AIPOC11994-2002AIPOIPOIPOIPOIPO1................................................2IPO............................2.1IPO.................................2.2.......................................2.3...........................................3IPO........................3.1.......................................3.2.....................................3.3...............................3.4.................................3.5.........................................4IPO......................4.1IPO...............................4.2IPO....................4.3IPO....................4.4IPO....................4.5IPO....................4.6IPO....................4.7AIPO...............5.........................................................................................IPO2090IPOVIPOIPOIPO1InitialPublicOfferingsIPOIPOIPOIPOJainKini[1994]AharonyLeeWong[1997]BH83IPOIPOIPOIPOIPOAIPO[2000]1992-1995108AIPOIPO21IPOIPO1993-2002IPOIPOIPOIPO2IPO2.1IPOIPOIPOIPOIPOIPOAIPOIPOIPOIPO321IPO1237IPOIPOAIPOIPOIPOIPOIPOIPOIPOIPOIPOIPO2.2EVAIPOEBITIPOIPOIPOEBITIPO32.31994-2002IPO199319942002200319942002IPO8812002122372.04%IPOEBIT20023241.8421.01%EBIT247.06EBIT1.09240IPO2EBIT-14EBITEBIT-5990.5323IPO231123199438--1127199513--49199617321291411997187---18719981021--101199993219020001391111362001673--642002692--67881113458222001200232-3IPOEBITEBIT2-82EBIT/T+343478.5717879.882.43T+2118668.4616636.497.13T+192653.0514449.676.41T89406.6413474.046.64T-1100965.7313112.407.70T-254946.7413210.004.16T-332125.8315040.092.14TIPOEBITT-3IPO3EBITT+3IPO3EBIT3IPOIPOIPOIPOIPO3.11984-199093909019935019973001998IPO19992003IPO2003101631984-19891989-19921993-19981999-200020002003IPOIPOIPOIPOIPOIPO3.2Aharony83BHIPOABAIPOIPOIPOIPOIPOIPO3.3IPOIPOIPOIPO3.4IPOIPOIPOIPO3.5IPOIPOIPO4IPO4.1IPO1822EBITT-3T+37EBIT1EBIT1IPO1EBIT17525277t13QQIQR−=Qyi3+≥13,QQIQRSTEP5.1=STEP2EBITt1EBITEBIT4EBIT()%%T-37359.07-15462.314760.67-4235.00T-28346.3513.4213480.065780.3121.424674.40T-19280.9811.2013165.956704.6715.995136.64T10291.6310.8913552.537476.7711.525598.20T+110747.744.4314535.047928.856.056757.54T+210992.512.2817185.987591.42-4.267558.86T+310824.22-1.5318547.347450.71-1.859305.50IPOEBITAIPOIPOEBITEBITVIPO2AIPOEBITIPOIPOEBITIPO400050006000700080009000100001100012000IPO3IPO2IPO1IPOIPO1IPO2IPO340004500500055006000650070007500800085002IPO7EBIT()2SPSStEBIT5IPOIPO1IPO1IPOIPO1IPO1IPO2IPO3IPO2IPO3IPOIPOIPO5TIPOIPO1IPO2IPO3IPO195%IPOIPO1IPO2IPOEBIT2IPO1EBITIPO3EBITIPO5EBITtttdfSig.(2-tailed)(T)-(T-1)855.722412.359.81876500.895(T)-(T-2)1787.543290.8614.65672700.791(T)-(T-3)2731.163701.1319.74671500.723(T+1)-(T)270.123702.072.0217660.0440.812(t+2)-(T)59.375760.070.2737030.7850.63(T+3)-(T)118.937692.950.3926420.6950.466(T+2)-(t+1)-229.284494-1.3567050.1760.798(T+3)-(T+2)-65.066592.8-0.2516470.8020.7EBITtEBIT∆IPOEBITIPO)3,2,1,0,1,2:(1−−=−=−tIpoIpoIpottttIpo∆1−∆tIpoIPOIPO23IPOIPO1IPOIPOIPO1IPO1IPOIPOIPOIPO12EBITAharonyLeeWong[1997]BH83IPOIPOIPO2EBITEBITVIPOIPOIPOEBITIPO4.2IPO31994-20021994-19981999-20002001IPO32002200120001999199819971996199519942001000Std.Dev=2.Mean=1998N=822.00SPSSIPO45YE3IPOAR061IPOEBITIPO1994-1998IPOEBIT21999-2000EBITIPOIPO1994-19982001IPO3IPO1994-1998IPO1998IPO4IPOEBIT010002000300040005000600070001994-19981999-20002001IPO3IPO2IPO1IPOIPO1IPO2IPO35IPOEBIT05000100001500020000250003000035000400001994-19981999-20002001IPO3IPO2IPO1IPOIPO1IPO2IPO3IPOIPOIPO4.3IPOIPO6513392944383313045625874110016451813295441813348221IPOIPOIPO“86050001000015000200002500030000IPO3IPO2IPO1IPOIPO1IPO2IPO36IPOEBITIPOEBITIPOIPOIPO1EBITIPO2IPOEBITIPOIPOEBITIPOEBITIPOAharony2IPOEBITIPOTEBITTEBITIPOEBITIPOIPOIPOEBITIPOIPO4.4IPOIPOIPO0.250.01-0.250.25-0.500.5077IPO0.5013.63%0.25-0.5055.23%0.2531.14%1EBITIPOIPOEBITIPOIPOIPOEBITIPOIPO7IPOEBIT0.25/0.25-0.50/T-38632.75-6599.36-T-28512.38-1.39%8022.0821.56%T-19356.469.92%8864.3610.50%T9668.853.34%9802.0010.58%T+19429.26-2.48%10297.255.05%T+29461.210.34%10080.98-2.10%T+38953.03-5.37%9599.16-4.78%0.50/T-37605.71T-29322.5622.57%T-110644.7614.18%T13697.0028.67%T+115565.2713.64%T+217960.3915.39%T+319757.3410.01%2IPOIPOIPO2EBITIPOIPOIPO12IPO3IPOIPO4.5IPOIPOIPO=)_(ratioIpoIPO125%225-40%25%40%40%1381IPOIPO25%IPOEBITIPOIPO25-40%40%IPO12IPO2EBIT0200040006000800010000120001400016000180002000025%25-40%40%IPO3IPO2IPO1IPOIPO1IPO2IPO39IPOEBIT2EBITIPOEBITEBITEBITIPO12EBITIPOIPOEBITEBIT25-40%IPOEBITIPOIPO1IPOIPO23IPOEBITTIPOIPOIPO3EBITIPOIPOIPO3IPO4.6IPOIPOIPOIPO1994-200256-101994-200285539.66%8226-10IPO1EBIT5IPO6-10IPOEBITIPO856-10IPO56-10%%T-38972.097651.52T-29511.36.018843.2815.58T-110849.8514.079427.446.61T11810.298.8510690.0313.39T+111739.66-0.611470.627.3T+2127178.3311264.22-1.8T+312116.44-4.7211131.12-1.184.7AIPOAIPOAIPOIPOIPO1994-1998IPOIPOIPOIPOIPOIPOIPOIPO5AIPOAIPOEBITIPOEBITIPOIPOVIPOIPOIPOIPOIPOAIPOIPOIPOIPO1Aharony,J.,Lee,C.J.,andWong,T.J(1997),FinancialPackagingofIPOFirmsinaTransitionalEconomy:TheCaseofB-SharesandH-SharesinChina2ThomasJ.Chemmanur,PaoloFulghier,ATheoryoftheGoing-PublicDecision3IPO2001/074A2000/065IPO6IPO2003/017IPO2002/05