Multivariate Analysis of Determinants of the Abnormal Returns of A-Shares Shares on the First Listed Day

摘要

206 A-shares issued and listed from January 1st, 2004 to December 31st, 2007 is empirically studied. 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 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.