An Emprical Analysis Of The Determinants Of IPO's Abnormal Initianl Return In Chinese Growth Enterprise Market

Before the nineties of last century, the mainstream academic view is that the abnormal initial returns of the IPO roots in the issue price is too low, which is the compensation for the information asymmetry. After the nineties of last century, with the rise of behavioral finance, scholars have come to realize that the abnormal initial returns of the IPO may also derive from excessive transaction price, the abnormal initial returns of the IPO may be influenced by both the first market and the second market.This paper describes the research background,research theoretical and practical significance of the abnormal initial returns of the IPO. Meanwhile,this paper summarizes the current development situation of China's GEM, including the development process, function orientation,major system design and so on. This paper carries out a detailed overview of the domestic abnormal initial returns of the GEM's IPO and focuses on the IPO theory of the home and abroad, which lay a good foundation for the following empirical analysis.The key part of this article is the description of the abnormal initial returns of the GEM's IPO and the empirical analysis of the factors affecting:this paper selects 13 variables based on the literature review, and uses single-factor analysis of variance to test whether there is significantly difference among different provinces and different sectors of the abnormal initial returns of IPO, and explanatory regression analysis and hierarchical regression analysis are used to test the influences degree of the selected 13 indicator variables on the abnormal initial returns of the GEM's IPO.Empirical results are as follows:(1)Single-factor variance analysis showes that there are significantly differences among different provinces on the abnormal initial returns of the IPO, so are the different industries.(2) The explanatory regression analysis results are that three of the 13 variables, such as the return on equity (ROE), turnover (TR), the average excess return of GEM's five stocks (AR), significantly affect the adjusted rate of return on the first transaction day(OIR).The ROE variable is to verify the application of signal transmission theory in the Chinese GEM. The ROE has a significant negative correlation with the OIR, indicating that the higher the ROE, The lower the OIR, which is in line with the pre-assumptions. The result shows that the investors in GEM begin to have higher quality, and begin to have higher judgement capaciry to study a listed company's growth and profitability from value-investment philosophy perspective.The turnover of the first listed day (TR) is to verify the application of heterogeneous expected hypothesis in the Chinese GEM. The TR is significantly positive correlated with OIR, indicating that the higher the TR, the higher the OIR. The AR is to verify the application of positive feedback traders in the Chinese GEM. The empirical results show that this indicator has significantly positive correlated with OIR, indicating that the higher the AR, the higher the OIR, which is in line with assumptions. Other indicators have no significantly correlated with OIR.(3) Hierarchical regression analysis results show that the indicators of the first market explain 15.1% variance of the dependent variable (OIR). The indicators of the secondary market explain 46.2% variance of the dependent variable (OIR), much larger than 15.1%, which indicates that secondary market's impact on OIR is far better than the first market's impact on OIR.