What Determines IPO's Initial Abnormal Returns? -- Evidence from Chinese Growth Enterprise Market.

This paper empirically analyzes determinants that influence IPO's initial abnormal returns Chinese Growth Enterprise Market (GEM) with the sample of 355 listed companies. The result indicates that there exists unbalanced distribution of listed companies in different regions and industries on GEM and their initial abnormal return is significantly different. Issue price, interval between issuing and listing, issuing size, return on equity, concentration of ownership from the second shareholder to the tenth shareholder, turnover rate, average IPO's initial abnormal return of 5 new stocks and lot winning rate of online issuing can influence IPO's initial abnormal return significantly. The findings can confirm the application of the following hypotheses to Chinese GEM: winners' curse hypothesis, ex ante uncertainty hypothesis, signaling hypothesis, heterogeneous expectation hypothesis, supervision strengthening hypothesis, investor sentiment hypothesis and bandwagon hypothesis. This paper concludes that the impact of the secondary market is significantly larger than the primary market. [ABSTRACT FROM AUTHOR]