【作者】 程彦敏；

【导师】 葛文雷；

【作者基本信息】 东华大学 ， 管理科学与工程， 2010， 博士

【摘要】 交叉上市是指同一公司在不同交易市场或在同一市场面向不同投资者发行证券并公开挂牌交易的行为。企业在参与市场经济竞争过程中,基于商业动机(扩大市场份额、增加企业声誉、提高核心竞争力)和财务动机(筹集资金、降低融资成本、提高资产的流动性)的考虑,并在其驱使下进人国际和国内资本市场；同时,中国的高速发展吸引了全球各主要证券交易所的关注,其为了自身的竞争地位和利益,不断地吸引国内优质的潜在上市公司资源,进一步推动了我国跨境交叉上市的浪潮。同时,交叉上市作为当今国际金融市场的一大亮点,与此相关的研究正成为金融研究的一大主题。自1990年12月上海证券交易所设立至今,已经有超过1600家公司的股票在境内挂牌上市,还有一千多家各种所有制企业以境内企业直接境外上市或涉及境内公司权益以红筹等形式在境外挂牌上市,同时还有近百家以国有控股为主体的公司在境内、境外交叉上市,其中尤以A+H形式居多。中国企业大规模境外上市始于1993年青岛啤酒在香港发行H股,并在国内发行A股上市,此后国内企业交叉上市现象日益增多。尤其是2000年后,以中央国企为核心的一大批关系国计民生的内地垄断行业企业和以四大国有商业银行为龙头的金融、保险企业相继以IPO方式登陆以香港为基地的国际资本市场,成为国际公众公司,加速拉开了国内企业交叉上市的大幕。对于同一标的资产交叉上市后的证券在不同市场上表现出价格差异问题,是近期国内外学术界关注的热点。本文通过对于中国公司最主要的A+H交叉上市模式的IPO价格行为实证研究,度量在现阶段两地市场价值发现功能以及两地市场内在联系,通过实证进一步回答与验证前述焦点问题。交叉上市及其IPO价格行为问题是一个较新的研究内容,在对现有文献进行查阅、整理与分析之后,本文通过有效市场理论、境内外交叉发行定价差别、市场分割理论和监管体系差异等方面对A股与H股价格差异状况进行了定性的分析比较与评价,同时将交叉上市公司IPO价格行为分解为3个互相关联的子项分别进行研究1.交叉上市公司两地IPO首日抑价问题的研究本文对抑价的研究是立足于发行公司的基础之上,通过统计两地市场首日一级市场与二级市场差异的程度,寻找决定这种差异的因素,通过对比差异,研究两地发行市场的区别和联系。2.交叉上市公司IPO后长期趋势研究。本文对于长期趋势的研究角度是站在投资者的立场上分析交叉上市公司IPO后长期价格趋势的均衡问题,以及对比交叉上市公司在不同上市地长期均衡趋势的差异。3.根据交叉上市公司特性,还需要研究两地市场的价格协整关系问题,并试图寻找有关本土定价权得失问题的答案。全文包括七章,其结构为：第1章：绪论部分,通过介绍中国公司境外上市概况引申出全文研究背景、研究对象与意义,并介绍研究方法,对论文基本框架做了总介与统领。第2章：国内外相关研究文献综述,该部分介绍了国内外关于交叉上市、一价定律、本土定价权、IPO抑价和长期趋势以及交叉上市公司价格协整问题研究的主要观点和发展趋势,对相关问题的国内外研究现状进行了介绍与评价。第3章：通过有效市场理论、发行定价方式、市场分割和监管体系的角度对A股与H股价格差异状况进行定性的分析比较与评价。第4章：A+H交叉上市公司IPO抑价行为研究与分析,本章是全文重要的三大实证研究内容之一。通过比较分析A+H交叉上市公司发行股票的抑价现象,对比同一公司在A股和H股市场的抑价程度并分析影响因素,研究交叉上市公司IPO在不同市场间一级市场和二级市场的定价效率和差异。实证研究结论表明交叉上市公司在A股市场的解释变量更接近于与交易市场因素相关指标,在H股市场解释变量接近于公司本身成长性和市场运行等因素相结合指标。第5章：A+H交叉上市公司IPO后长期价格趋势比较研究与分析,本章是全文重要的三大实证研究内容之一。IPO长期走势的研究是分析一个IPO完整过程不可分割的重要内容之一。本章采用了修正的Fama-French四因素模型对A+H交叉上市公司长期价格趋势进行了实证研究,交叉上市IPO股价的长期趋势研究结论表明,境外上市后的长期价格具有平和的波动性,如果从上市后总市值稳定性方面考察,境外上市明显高于境内上市,但是随着2005年股改的完成、国内金融创新和国内A股市场的不断开放(包括引入QFH制度),A股市场长期弱势的趋势正在逐渐减弱,与国际成熟市场的差距在不断缩小。第6章：部分A+H交叉上市公司股票价格协整关系研究与分析,本章是全文重要的三大实证研究内容之一。本章通过对A+H交叉上市公司股票价格协整关系的研究,得出了两地市场存在协整关系的结论,并对股改后的两地市场发展提出了相关建议。第7章：结论与建议。根据全文的理论解释和实证研究,对于研究结果进行了总结,并提出了相关建设性意见。全文在对交叉上市公司IPO及其后价格行为研究时,无论在研究视角与内容,还是研究对象与方法等方面都做了一些创新性研究,综合运用了金融经济学、数量经济学、管理学、控制论等多个学科领域的理论和知识,从微观角度对于中国公司交叉上市问题进行了比较系统深入的研究,论文的研究在总结国内外IPO价格行为研究建模的基础上进行了实证分析。论文的创新点主要体现在以下四个方面：1.研究视角与内容创新。国内外对于发行公司在单一股票市场上IPO的定价、抑价或长期价格行为研究很多,但关于中国公司在不同股票市场上交叉上市的IPO定价行为、抑价以及不同上市地的长期价格行为关系的系统研究相对较少。2.摈弃了过往对IPO价格行为研究过程割裂IPO抑价和长期趋势的研究方法,将交叉上市公司IPO抑价、长期趋势和不同上市地交易价格协整关系等问题进行全面分析,综合描述交叉上市公司IPO及其后价格行为。3.在研究数据处理上采用总体和个股相结合的分析方法。在进行交叉上市IPO抑价和长期趋势研究过程,采用的总体研究方法；在进行协整关系的研究过程中采用了个股的研发方法。4.应用扩充和改进的Fama-French四因素模型对交叉上市公司IPO长期价格趋势进行实证研究。本文在进行交叉上市公司长期趋势研究过程中应用基于Fama-French修正后的四因素模型来分析长期超额收益率。较此前国内文献中应用三因素模型研究股票长期超额收益率问题具有较大改进。本文在原经典的三因素模型基础上吸收前人研究方法,通过引进Momentom和mi的回归系数,Momentom为自起始日持有至T日的前半年高股价收益扣除前半年低股价收益股票平均收益之差异,mi为股价之前表现风险报酬的回归系数,从而避免了三因素模型在计算长期超额收益率时产生的重新编制偏差、新股上市偏差和偏态偏差。通过扩展应用Fama-French模型,在解释、分析A股与H股长期弱势与价格波动性关系方面取得了相对满意的解释。研究结论表明A+H交叉上市有利国内企业的国际化进程,同时文章还提出了在交叉上市或者海外上市实际操作过程中关键要做到“支持以A股市场为中心的交叉上市模式、防范以境外基金并购国内企业海外套现的红筹上市模式”的政策建议。更多还原

【Abstract】 Cross-listing is the exchange behavior that same company in different exchange market for securities issued to different investors and publicly listed stock markets.Enterprises in the process of economic competition in the market, based on commercial motives (to expand market share, corporate reputation, improve core competitiveness) and financial motivations (to raise capital and reduce financing costs and improve liquidity of the assets) is considered, and in its drive next to enter the international and domestic capital markets; the same time, China’s rapid development has attracted the concern of major stock exchanges around the world, its competitive position and for its own interests, continue to attract high quality potential of domestic listed company resources to further promote China wave of cross-border cross-listing. Meanwhile, the cross-listing of the current international financial market as a major bright spot, and the related research is becoming a major topic of financial research.Since December 1990 the establishment of the Shanghai Stock Exchange so far, there are thousands of companies of various ownership to overseas listing of domestic companies, or directly within the corporate interests involved in the form of red chips in the offshore listing, as well as hundreds of mainstay as the main state-owned holding companies in domestic and foreign cross-listing, especially in the A+H form the majority.A large-scale Chinese companies listed overseas began in 1993, Qingdao Beer issued in Hong Kong H shares and A shares issued in the domestic market, the phenomenon of cross-listing of domestic companies is increasing. Especially after 2000, central state-owned companies as the core of a large number of mainland people’s livelihood companies and monopoly industries and the four major state-owned commercial banks, led by financial and insurance companies have landed in IPO, Hong Kong-based international capital markets, become international public company. For the same underlying asset, after cross-listing of securities in different markets showed price differences on the issue is the recent focus of attention of the academic community.Cross-listing and IPO price behavior problems are relatively new researches content for this inspection on existing literature, sorting and analysis, this paper through the efficient market theory, the pricing difference between inside and outside the cross-distribution, market segmentation theory and the regulatory system differences in terms of A-share and H share prices were qualitative differences in the situation analysis and comparison and evaluation, while cross-IPO price behavior of listed companies, broken down into three interrelated sub-items were studied.In this article, the most important for Chinese firms cross-listing of A+H model of empirical studies of IPO price behavior, measure at this stage, the market value of the two functions and found that the two markets are inherently linked, through the evidence to answer the questions and verification of the aforementioned focus.1. The research of the first day of the two markets IPO Underpricing for the cross-listing companies.Underpricing research is based on the standing of the issuing company, through the statistics the two markets, a market and the extent of differences in the secondary market to find the factors that determine these differences, by comparing the differences, closer examination of the link between the distribution markets.2. Cross-listed company after the IPO long-term trend studies.Long-term trend of the study was cross-standing point of view of investors, listed companies, post-IPO long-term price trends in the balance, as well as comparative cross-listing of listed companies in different trends in long-run equilibrium differences.3. According to characteristics of cross-listed companies, but also need to look at the market price of the two cointegration issues, and trying to find domestic pricing gains and losses relating to the answer.Full-text includes seven chapters, the structure is:Chapter I:Introduction part, through the presentation of overseas listing of Chinese companies derive full profile research background, research object and meaning, describes the research method, the basic framework of the papers referred to do with the command of the total.ChapterⅡ:literature review related research at home and abroad, which provides information on the cross-listing at home and abroad, Law of One Price, the local pricing, IPO underpricing and long-term trends as well as cross-listed companies, the price cointegration study of the main points and trends on the status of related issues were introduced domestic and foreign research and evaluation.Chapter III:Adoption of the efficient market theory, distribution pricing, market segmentation, and regulatory systems point of view of A-share and H share price differential status of qualitative analysis and comparison and evaluation.ChapterⅣ:A+H cross-listed companies, IPO underpricing behavior of research and analysis, this chapter is the full text of an important one of the three empirical studies. A+H by a comparative analysis of cross-listed companies to issue shares of underpricing phenomenon, compared to the same company, A-shares and H-share market overpricing and analyze the factors to study cross-listed companies in different markets IPO between primary and secondary the market pricing efficiency and differences. Empirical findings show that cross-listed companies in the A-share market of the explanatory variables closer to market factors associated with the transaction indicators, explanatory variables in the H-share market is close to the company itself to grow and market operations, a combination of indicators and other factors.ChapterⅤ:A+H cross-listed company after the IPO long-term price trends in comparative research and analysis, this chapter is the full text of an important one of the three empirical studies. IPO long-term trend analysis of an IPO research is complete integral and important component of the process. This chapter uses the modified Fama-French model, using a four-factor model for the A+H cross-listed companies, long-term price trends of the empirical studies and concluded that long-term trend from the price in terms of overseas listing of the long-term price fluctuations in a peaceful nature, from the stability of the total market value after the listing of study, significantly higher than that of listed overseas listing, but with the completion of share reform in 2005, domestic financial innovation and the domestic A-share market continues to open up (including the introduction of QFII system), A shares market has long been weak trend is gradually weakened, and the international mature markets continued to narrow the gap.Chapter VI:Part A+H cross-listed companies, stock price co-integration research and analysis, this chapter is the full text of an important one of the three empirical studies. Through this chapter, A+H cross-listed companies, stock price co-integration between research, obtained the two markets, the conclusions of cointegration relationship exists, and the two post-share reform market development, with recommendations.Chapter VII:Conclusions and recommendations. According to the full text of theoretical explanations and empirical research, responded to the article to set the initial research content, and found new problems to give a certain amount of interpretation and presentation of the relevant constructive comments.Full text of the pairs of cross-listed companies, and its subsequent IPO price behavior, whether in research perspectives and content, or object of study and methods, etc. have done a number of innovative research, the integrated use of financial economics, quantitative economics, management, control theory and other fields of theory and knowledge, from the microscopic point of view about the issue of cross-listing of Chinese companies a relatively systematic in-depth research, thesis research in summing up domestic and international IPO price behavior modeling studies based on empirical analysis. Paper has significant innovations mainly in the following four areas than the existing literature has:1. Research Angles and content creation.At home and abroad for the issuer in a single stock on the pricing of IPO, Underpricing, or long-term price behavior of a lot, but on Chinese companies in various cross-listing of the IPO on the stock market pricing behavior and underpricing as well as different market places, the relationship between long-term price behavior of the systematic study of almost in a blank space.2. Rejection of the past course of the study on the IPO price behavior separated IPO underpricing and long-term trends in research methods, the first time, cross-listed companies, IPO underpricing, long-term trends and different transaction price listing on cointegration issues such as the organic combination of a comprehensive analysis, describing the IPO and the subsequent cross-listed companies, price behavior. 3. In the study of data processing in general and individual stocks using a combination of analytical methods. Conducting cross-listing IPO underpricing and long-term trends in the research process, using the overall research methodology; conducting cointegration of the research process research and development methods are using individual stocks.4. Application of expansion and improvement of the Fama-French four-factor model of cross-listed companies on the IPO long-term price trends in the study.This paper, long-term trend of cross-listed companies application process amended on Fama-French four-factor model to analyze the long-term excess returns. Prior to the application of national literature than three factor model of stock returns over long-term issues are more improved.In this paper, the original classic three-factor model based on the introduction and the regression coefficient Momentomi and mi. For the T from the starting date of held-to-day paid the first half of the high price paid excluding the first half of the low stock price differences between the average pay for the shares prior to the performance of risk premium pay the regression coefficient, thus avoiding the three-factor model in the calculation of the long-term excess returns generated IPO deviation, re-establishment of deviation and skew deviation. By extending the application of Fama-French model, in the interpretation, analysis A shares and H shares a long-term relationship between the vulnerable and price volatility has made a complete conclusion.Research findings show that the A+H cross-listing benefit the process of internationalization of domestic enterprises, while the article also raised in the cross-listing or listed overseas practice to do during the critical "support to A-share market as the center of the cross-listing model, in order to prevent offshore fund acquisitions of domestic companies listed overseas cash in the red-chip model "of policy recommendations..更多还原