Overreaction in ChiNext IPOs' initial returns: How much and what caused it?
Qi Deng and
Zhong-guo Zhou
Emerging Markets Review, 2016, vol. 29, issue C, 82-103
Abstract:
This paper studies overreaction in initial returns for ChiNext IPOs. We hypothesize the initial return contains a fundamental underpricing and an overreaction. The fundamental is represented by the 21st day return and the difference between the initial and 21st day returns represents overreaction. We investigate this conjecture and identify the variables that are significant for both returns, for one but not for the other, and for the difference. The initial return is driven more by short-term and market factors that cause overreaction while the 21st day return is affected more by an issuer's fundamentals. The overreaction is only weakly time-varying.
Keywords: 1st day and 21st day initial returns; Overreaction; Short- and long-term factors; Internal and external conditions; Model specification (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (8)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014116300607
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:29:y:2016:i:c:p:82-103
DOI: 10.1016/j.ememar.2016.08.012
Access Statistics for this article
Emerging Markets Review is currently edited by Jonathan A. Batten
More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).