| With the increasing number of new issues, more and more scholars began to focus on the IPOs research field. Since the 1970s, the long-term underperformance of IPOs is slowly becoming one of the hotspots in IPOs research field, the main research is to explore which is strong or weak between IPOs return rate and benchmark return rate. Presently a variety of literatures showed that the long-term underperformance of IPOs is different in the different countries. The long-term underperformance of IPOs phenomenon is generally appearing in the mature markets of most western countries and some emerging markets in developing countries showed an over performance.In this paper, sample selects 169 A-shares which is listing at Shenzhen Stock Exchange market and Shanghai Stock Exchange market, and then research their three years market performance. First, it compares compute model, chooses cumulative average return (CAR) model to compute the long-run abnormal returns of the IPOs,makes a theoretical analysis on the causes of the long-run underperformance of IPOs and then exam whether this underperformance has a significance in statistical test or not. Finally using the factor analysis model to do empirical analysis to identify the main reason for the existence of the long-term underperformance of IPOs. Through calculating and empirical testing of IPOs, finding that there is significant long-term underperformance in our market, and the long-term yield is significantly lower than the market index return, and keeps this underperformance after IPOs list in three years, ,indicating that it is not proper for investors to hold new issues for a long time. Our market is a very low efficiency market. By factor analysis model, the results show that the underperformance presence of the new shares is mainly due to the long-term business performance after listing, In addition, investor behavior and the proportion of non-tradable shares affect the underperformance. |
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