The Study on the IPO Excess Returns in China;

The result shows that the announcement of seasoned equity offering in advance causes negative abnormal return of the share price of listed companies and also shows the low degree of market identification of seasoned equity offering of listed companies.

We take abnormal return as the main topic of this paper.

According to the hypothesis of weak-form market efficiency ,it is impossible for the investor to gain abnormal return by making use of out-dated price information .

In a forecast view,the estimated betas used by a single-index model which is based on total returns is completely proxy for that used by a single-index model which is based on excess returns and is based on theoretical foun.

Event study method is adopted to conduct empirical research of the IPO abnormal returns of new listed stocks in China.

It is found that issuing price,turnover rate on the first listed day,size of money raised,issuing P/E ratio and market index,have significant impact on the abnormal returns of shares on the first listed day,whereas,the influence of net asset per share before issuance,real negotiable share rate after issuance,method of issuance and the reform of split share structure,is unobvious.

We find that most hedge funds earn positive excess returns by analysis of Six-factor Model and that the frequency and magnitude of fund s excess returns differ markedly with investment style.

If very low lottery rate and capital cost is into consideration,investors will not obtain excess return,there is also adverse selection in IPOs.

This paper takes the accuracy of predictability of excess return into consideration to optimize the portfolio decision model.