Empirical Study on Post-Ipo Long-Run Performance in the Chinese Stock Market

Abstract

It is testified that there exists poor post-IPO long-run performance in many stock markets. This paper examines Chinese IPOs' long-run performance based on the data of IPOs in the Chinese stock market. In this study, the empirical methods of style matched portfolios and Fama-French three-factor model are employed. It is found that IPOs' long-run performance is better than that of matched non-IPOs in Chinese stock market, and the abnormal returns of IPOs cannot be reasonably explained by F-F three-factor model. In addition, the long-run performance of IPOs is related with their first day returns.

Keywords: Initial public offering, long-run performance, Fama-French three-factor model

JEL Classification: N25, G12