Study on Determinants of the Abnormal Returns of A-shares on the First Listed Day

Abstract

On the background of the reform of split share structure, applying weighted least squares method of multiple linear regression model, 206 A-shares issued and listed from January 1st,2004 to December 31st,2007 is empirically studied, and it is found that turnover rate on the first listed day, size of money raised, and market index，have significant impact on the abnormal returns of A-shares on the first listed day, whereas, the influence of issuing price, issuing P/E ratio, net asset per share before issuance, real negotiable share ratio after issuance, method of issuance and the reform of split share structure, is not significant.