逆向交叉上市的估值溢价与传递溢出效应——基于H股回归上市的实证研究
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摘要
本文从绑定效应和"声誉寻租"角度考察地理相近的市场间H-A逆向交叉上市公司的估值溢价,从收益率波动性视角分析H-A逆向交叉上市对内地市场的传递溢出效应。结果显示,H股回归上市受益于绑定效应可以获得显著的估值溢价,但与由境外上市时间反映的绑定信号质量无关;同时,累积效应不断下降,说明H股回归上市存在非优质公司的"声誉寻租"行为。H股回归上市对A股市场和同行业公司有显著的单向传递溢出效应,说明逆向交叉上市有助于改善新兴市场的结构和效率。
From the perspectives of binding effects and rented reputation, the authors of this paper research the premium of H-A reverse cross-listing firms listed in geographically close markets, and examine the spillover effects of H-A reverse cross-listing on home markets by return volatility. The results of the paper show that the A-share IPO of H-share firms benefits from the binding effect, and can obtain a significant valuation premium, which however is independent of the quality of binding signal decided by the duration of offshore cross-listing; meanwhile, the cumulative effect is declining, which indicates that "rented reputation" behaviors exist in non-excellent A-share IPO of H-share firms. The A-share IPO of Hshare firms has a significant one-way transitive spillover effect on the A-share markets and companies in the same industry,which indicates that the reverse cross-listing can improve the structure and efficiency of emerging markets.
From the perspectives of binding effects and rented reputation, the authors of this paper research the premium of H-A reverse cross-listing firms listed in geographically close markets, and examine the spillover effects of H-A reverse cross-listing on home markets by return volatility. The results of the paper show that the A-share IPO of H-share firms benefits from the binding effect, and can obtain a significant valuation premium, which however is independent of the quality of binding signal decided by the duration of offshore cross-listing; meanwhile, the cumulative effect is declining, which indicates that "rented reputation" behaviors exist in non-excellent A-share IPO of H-share firms. The A-share IPO of Hshare firms has a significant one-way transitive spillover effect on the A-share markets and companies in the same industry,which indicates that the reverse cross-listing can improve the structure and efficiency of emerging markets.
引文
陈辉、陈得文、胡妍,2017.大股东持股、外部融资需求与股票转让方式选择[J].金融论坛,(6):50-60.
董秀良、张婷、杨巍,2012.境外上市企业回归A股市场首发融资定价研究[J].中国软科学,(7):134-147.
乔扬、戴洛特、朱宏泉,2017.A+H交叉上市股票涨跌幅度的溢出效应[J].金融论坛,(3):66-80.
Amira,K.,and Muzere,M.L.,2011. Competition among Stock Exchanges for Equity[J]. Journal of Banking&Finance,35(9):2355-2373.
Barry,C.B., 1989. Initial Public Offering Underpricing:The Issuer's View——A Comment[J]. Journal of Finance,44:1099-1103.
Cetorelli,N.,and Peristiani.S.,2010. Firm Value and Cross-listings:The Impact of Stock Market Prestige[R]. Federal Reserve Bank of New York Staff Reports,No.474.
Chen,J.,Zhang,X.,and Guan,Y.,2010. Sweet Home? An Empirical Study on Reverse Crossing-listing[M]. Rochester:Social Science Electronic Publishing.
Coffee,J., 1999. The Future as History:The Prospects for Global Convergence in Corporate Governance and Its Implications[J].Northwestern University Law Review,93:641-707.
Coffee, J., 2002. Racing Towards the Top? The Impact of Cross-listings and Stock Market Competition on International Corporate Governance[R]. Working Paper No7:1757.
Doidge,C.,Karolyi,A.,and Stulze.R.,2004. Why are Foreign Firms Listed in the U.S. Worth More[J]. Journal of Financial Economics,71(2):205-238.
Doidge,C.,Karolyi,A.,and Stulz,R.,2010. Why do Foreign Firms Leave U.S. Equity Markets?[J]. The Journal of Finance,65:1507-1553.
Engle,R.F.,and Kroner,R.F., 1995. Multivariate Simultaneous Generalized ARCH[J]. Econ.Theory, 11:122-150.
Fernandes,N.,and Ferreira,M.,2008. Does International Cross-listing Improve the Information Environment[J]. Journal of Financial Economics, 88(2):216-244.
Graham,J.R.,and Harvey,C.,2001. The Theory and Practice of Corporate Finance:Evidence from the Field[J]. Journal of Financial Economics, 60:187-243.
Howson, N.C., and Khanna.V.S.,2014. Reverse Cross-listings——The Coming Race to List in Emerging Markets and an Enhanced Understanding of Classical Bonding[J]. Cornell International Law Journal,47:607-629.
Karolyi, G., and Andrew,2006. The World of Cross-listings and Cross-listings of World:Challenging Conventional Wisdom[J].Review of Finance, 10:99-152.
Kim.O.,and Pinnuck,M.,2012. Competition among Exchanges Through Simplified Disclosure Requirements:Competitive Advantage or Race to the Bottom? Evidence from the American and Global Depositary Receipts[R]. Working Paper.
Kim, O.,2013. The Global Recognition Strategy of Blue Chips of the Russian and Commonwealth of Independent States(CIS)Markets[J]. Journal of Contemporary Accounting&Economics,9:151-169.
Kodres,L.,and Pritsker,M.,2002. A Rational Expectations Model of Financial Contagion[J]. Journal of Finance,57(2):769-799.
Kot,H.,and Tam,L.,2011.What Factors Influence the Reverse Cross-listing Decision?[R]. Working Paper.
Lin,W.S.,2017. Modeling Volatility Linkages between Shanghai and Hong Kong Stock Markets Before and after the Connect Program[J]. Economic Modelling,67:346-354.
Purnanandam, A.K.,and Swaminathan,B.,2004. Are IPOs Really Underpriced[J]. The Review of Financial Studies, 17:811-848.
Shleifer, A.,and Vishny,R.W., 1986. Large Shareholders and Corporate Control[J]. Journal of Political Economy,94:461-488.
Stulz,R.M., 1999. Globalization,Corporate Finance,and the Cost of Capital[J]. Journal of Applied Corporate Limonene, 12:8-25.
Welch, I., 1989. Seasoned Offerings, Imitation Cost, and the Underpricing of Initial Public Offerings[J]. Journal of Finance, 44:421-449.
Zhang,X.,and King,T.H.D.,2010. The Decision to List Abroad:The Case of ADRs and Foreign IPOs by Chinese Companies[J].Journal of Multinational Financial Management,20:71-92.
(1)本文各公司收盘价数据来源于东方财富Choice数据库,其余数据来源于WIND资讯数据库。
董秀良、张婷、杨巍,2012.境外上市企业回归A股市场首发融资定价研究[J].中国软科学,(7):134-147.
乔扬、戴洛特、朱宏泉,2017.A+H交叉上市股票涨跌幅度的溢出效应[J].金融论坛,(3):66-80.
Amira,K.,and Muzere,M.L.,2011. Competition among Stock Exchanges for Equity[J]. Journal of Banking&Finance,35(9):2355-2373.
Barry,C.B., 1989. Initial Public Offering Underpricing:The Issuer's View——A Comment[J]. Journal of Finance,44:1099-1103.
Cetorelli,N.,and Peristiani.S.,2010. Firm Value and Cross-listings:The Impact of Stock Market Prestige[R]. Federal Reserve Bank of New York Staff Reports,No.474.
Chen,J.,Zhang,X.,and Guan,Y.,2010. Sweet Home? An Empirical Study on Reverse Crossing-listing[M]. Rochester:Social Science Electronic Publishing.
Coffee,J., 1999. The Future as History:The Prospects for Global Convergence in Corporate Governance and Its Implications[J].Northwestern University Law Review,93:641-707.
Coffee, J., 2002. Racing Towards the Top? The Impact of Cross-listings and Stock Market Competition on International Corporate Governance[R]. Working Paper No7:1757.
Doidge,C.,Karolyi,A.,and Stulze.R.,2004. Why are Foreign Firms Listed in the U.S. Worth More[J]. Journal of Financial Economics,71(2):205-238.
Doidge,C.,Karolyi,A.,and Stulz,R.,2010. Why do Foreign Firms Leave U.S. Equity Markets?[J]. The Journal of Finance,65:1507-1553.
Engle,R.F.,and Kroner,R.F., 1995. Multivariate Simultaneous Generalized ARCH[J]. Econ.Theory, 11:122-150.
Fernandes,N.,and Ferreira,M.,2008. Does International Cross-listing Improve the Information Environment[J]. Journal of Financial Economics, 88(2):216-244.
Graham,J.R.,and Harvey,C.,2001. The Theory and Practice of Corporate Finance:Evidence from the Field[J]. Journal of Financial Economics, 60:187-243.
Howson, N.C., and Khanna.V.S.,2014. Reverse Cross-listings——The Coming Race to List in Emerging Markets and an Enhanced Understanding of Classical Bonding[J]. Cornell International Law Journal,47:607-629.
Karolyi, G., and Andrew,2006. The World of Cross-listings and Cross-listings of World:Challenging Conventional Wisdom[J].Review of Finance, 10:99-152.
Kim.O.,and Pinnuck,M.,2012. Competition among Exchanges Through Simplified Disclosure Requirements:Competitive Advantage or Race to the Bottom? Evidence from the American and Global Depositary Receipts[R]. Working Paper.
Kim, O.,2013. The Global Recognition Strategy of Blue Chips of the Russian and Commonwealth of Independent States(CIS)Markets[J]. Journal of Contemporary Accounting&Economics,9:151-169.
Kodres,L.,and Pritsker,M.,2002. A Rational Expectations Model of Financial Contagion[J]. Journal of Finance,57(2):769-799.
Kot,H.,and Tam,L.,2011.What Factors Influence the Reverse Cross-listing Decision?[R]. Working Paper.
Lin,W.S.,2017. Modeling Volatility Linkages between Shanghai and Hong Kong Stock Markets Before and after the Connect Program[J]. Economic Modelling,67:346-354.
Purnanandam, A.K.,and Swaminathan,B.,2004. Are IPOs Really Underpriced[J]. The Review of Financial Studies, 17:811-848.
Shleifer, A.,and Vishny,R.W., 1986. Large Shareholders and Corporate Control[J]. Journal of Political Economy,94:461-488.
Stulz,R.M., 1999. Globalization,Corporate Finance,and the Cost of Capital[J]. Journal of Applied Corporate Limonene, 12:8-25.
Welch, I., 1989. Seasoned Offerings, Imitation Cost, and the Underpricing of Initial Public Offerings[J]. Journal of Finance, 44:421-449.
Zhang,X.,and King,T.H.D.,2010. The Decision to List Abroad:The Case of ADRs and Foreign IPOs by Chinese Companies[J].Journal of Multinational Financial Management,20:71-92.
(1)本文各公司收盘价数据来源于东方财富Choice数据库,其余数据来源于WIND资讯数据库。