TY - JOUR
T1 - Overreaction in ChiNext IPOs' initial returns
T2 - How much and what caused it?
AU - Deng, Qi
AU - Zhou, Zhong guo
N1 - Publisher Copyright:
© 2016 Elsevier B.V.
PY - 2016/12/1
Y1 - 2016/12/1
N2 - 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.
AB - 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.
KW - 1st day and 21st day initial returns
KW - Internal and external conditions
KW - Model specification
KW - Overreaction
KW - Short- and long-term factors
UR - http://www.scopus.com/inward/record.url?scp=84995489590&partnerID=8YFLogxK
U2 - 10.1016/j.ememar.2016.08.012
DO - 10.1016/j.ememar.2016.08.012
M3 - Article
AN - SCOPUS:84995489590
SN - 1566-0141
VL - 29
SP - 82
EP - 103
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -