In this study, we test whether the initial returns (IR) or the phenomena of underpricing of IPOs is also one of the causes of Post- IPO Underperformance in China. We study the market information effect on the underpricing of IPOs first and study the effect of the other causes of Post-IPO Underperformance such as the Post-IPO initial stock return volatility and lock-up policy. Multivariate regressions are conducted using all the IPOs of firms listed on the Shanghai and Shenzhen exchanges from 1987 to 2015. The main results of this study are as follows. First, while that the magnitudes of weighted (equally or value weighted) IPO volumes in the past have a positive effect on the magnitude of IPO returns in the future, the IPO volume itself has a negative effect on the magnitude of IPO returns in the future. Second, the magnitude of weighted IPO returns in the past has a positive effect on the magnitude of IPO returns, while simultaneously reflecting the effects of both time-span and magnitude in returns and volume for most of the information used in Lowry and Schwert (2002). Third, in most situation, Post-IPO underperformance following the high initial returns (IR) in China. Fourth, for high lung-run return IPOs, high Post-IPO initial stock return volatility exacerbates the Post-IPO Underperformance while for low lung-run return IPOs, high Post-IPO initial stock return volatility eases the Post-IPO Underperformance. Fifth, the lock-up policy partial eases the Post-IPO Underperformance and the stock return volatility after open-up the locked trading stock can exacerbate the Post-IPO Underperformance.