Research on the Abnormal Initial Return in Chinese Growth Enterprise Market

Abstract

Based on the analysis of 203 Chinese growth enterprise market (GEM) companies, we give a statistical description of the abnormal initial return (AIR) in Chinese GEM and investigates its influence factors using multiple linear regression method. We find the existence of the AIR in Chinese GEM and its four key factors, issuing price, success rate, whether have VC background and first day of exchange rate, the first two of which is positively related to the AIR in Chinese GEM while the last two is negatively. The AIR in Chinese GEM mainly comes from the premium of secondary market.