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《Journal of Management Sciences in China》 2003-01
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Empirical study of excess returns in Chinese initial public offerings: Stochastic frontier model

BAI Zhong_guang1,2 , ZHANG Wei1,31.School of Management, Tianjin University, Tianjin 300072, China;2.Shijiazhuang University of Economics, Shijiazhuang 050031,China;3.Tianjin University of Finance and Economics, Tianjin 300222, China  
Based on a stochastic frontier model, it is empirically examed in this paper whether there is deliberate underprising or overpricing in the Initial Public Offerings of Chinese stock markets. The results show that these IPOs are not underpriced as overseas. Contrarily, the lower frontier was found in Chinese IPOs pricing, showing that there is overpricing in Chinese stock market.By applying the stochastic frontier model and the first day's closing price of IPOs, we find that the IPOs is always overvalued by market in China. 
【Fund】: 国家自然科学基金资助项目(79790130);; 天津自然科学基金资助项目(023600411).
【CateGory Index】: F224
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