Commonality in liquidity - 安徽师范大学图书馆.pptVIP

Thank you for listening! * * * * * * * * * * * * * * * * * * * Following Lyandres et al. [2008, RFS], we estimate the Jensen’s alpha, our proxy for long-term abnormal returns, from the CAPM, the Fama-French three-factor model, and their investment-augmented models. But different from Lyandres et al. (2008, RFS), we also consider correcting for the new listing bias more explicitly. Data IPOs data CSMAR and WIND database Sample covers all IPOs listed on the Shanghai Stock Exchange and the Shenzhen Stock Exchange Other data Monthly risk-free returns from PBOC, Monthly stock returns and accounting information from CSMAR. Sample Period from 1990 to 2012. Reference portfolio To address the new listing bias, we do not follow suit using market indexes to estimate market returns, we choose to construct a modified market portfolio that excludes firms that issue new shares in the preceding 36 months. Conclusions We find that, without adjusting for the new-listing bias, long-term performance is very sensitive to weighting specifications in portfolio formation. We also find that after adjusting for the new listing bias, in almost all cases IPOs do not seem to either underperform or outperform relative to their non-IPO benchmarks. Section 2.论文选题经验分享 Let’s start from Literature Review 经济領域国际期刊分级及排序 编号 期刊名称 1 American Economic Review 2 Econometrica 3 International Economic Review 4 Journal of Econometrics 5 Journal of Economic Literature 6 Journal of Economic Perspectives 7 Journal of Economic Theory 8 Journal of International Economics 财务領域国际期刊分级及排序 编号 期刊名称 1 Journal of Finance 2 Journal of Financial Economics 3 Review of Financial Studies 4 Journal of Financial Quantitative Analysis 5 Journal of Corporate Finance 6 Financial Management 7 Journal of Banking Finance 会计領域国际期刊分级及排序 编号 期刊名称 1 The Accounting Review 2 Journal of Accounting and Economics 3 Journal of Accounting Research 4 Contemporary Accounting Research 5 Accounting, Organizations and S