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本文基于2009-2011年间在深交所上市的200只创业板新股的数据,应用多元回归和贝叶斯模型平均方法(BMA)研究新股首日抑价率的影响因素。结果表明:多元线性回归方法与贝叶斯模型平均方法得到了相同的结果即发行价格、首日收盘价、超额认购倍数是影响抑价率的显著因素;而与首日换手率和发行市盈率没有显著关系。
Based on the data of 200 GEM stocks listed on the Shenzhen Stock Exchange between 2009 and 2011, the paper uses multivariate regression analysis and Bayesian Model Average Method (BMA) to study the factors that influence the first day IPO rate. The results show that the multiple regression method and the Bayesian model averaging method have the same result that the issue price, the first-day closing price and the over-subscription ratio are the significant factors that affect the underpricing rate. However, No significant relationship.