Shenzhen Sme Board IPO Study On Abnormal Returns

China's capital market after 20 years of development, gradually maturing from the naive. The long-standing issue of new shares over the first day of high yield market has been the theory of all participants and a focus of researchers. Based on this, this paper summarizes research results from home and abroad based on the SME board in Shenzhen Stock Exchange over the first day of IPO proceeds phenomena in depth.This article first day of the IPO excess return is divided into the primary market and secondary market premium under pricing of two parts. Include: a market under pricing (under valuation): that, because of the intrinsic value is higher than its issue price and bring the excess proceeds; secondary market premium (overvaluation): namely, the closing price listed on the first day brought more than intrinsic value excess earnings. Markets respectively, from a perspective of earnings management small plates listed on the first day of IPO stock return over the issue, while the secondary market study based on the first day of listing the reasons for the closing price above the issue price. The Shenzhen SME Board and the A shares market, there is different motherboard, so this article first discusses the status of the SME board in Shenzhen, followed by China on the Shenzhen SME Board and Main Board, and GEM differences were compared. And on this basis, the Shenzhen SME board on its first day of IPO issue proceeds over the relevant research.On the one hand, this paper from the perspective of the primary market listed companies listed on the SME board in front of earnings management research, using multiple linear regression model validation. The results show that, IPO under pricing and the level of IPO earnings management is significantly positive correlation. On the other hand, the secondary market from the perspective of non-rational investors (especially small investors) of the speculation was studied. To illustrate the Shenzhen SME Board of irrational investors and the IPO speculation the relationship between the secondary market premium, we use the level of earnings management, listing success rate of the first Japan-China, listed on the first day and the IPO issue price-earnings ratio and other turnover as the independent variable for regression testing , regression results show that the Shenzhen SME Board IPO income excess returns and investor speculation in the line of non-existence of rational positive correlation between the degree. In other words, investors in the secondary market, the irrational investment behavior will eventually lead to new stock price bubble, and this would affect the speculative bubble in stock prices of other investors the right to judge. Regression results show that in the secondary market, investors purchase shares of non-rational investment behavior to some extent explains the first IPO in Shenzhen SME board on the phenomenon of high excess returns.In conclusion, to address the problem in the main to the IPO offer policy suggestions and IPO, were discussed.