【作者】 邹颖；

【导师】 汪平；

【作者基本信息】 首都经济贸易大学 ， 企业管理， 2009， 博士

【摘要】 随着经济全球化与金融一体化步伐的加剧,信息技术在金融市场得到广泛应用,国际间资本跨境流动更加便捷,更加迅猛。经历了30年的改革开放进程,中国已经深深地融入世界经济体系,并逐渐寻求更多的国际投资来促进经济发展。由于国内市场容量有限,越来越多的中国公司进入国际股票市场进行融资。与此同时,近年来中国经济的快速发展以及内地股票市场的迅速扩张吸引了众多境外上市的中国公司回归国内上市,交叉上市作为一种日益重要的公司战略,已经发展成为当今中国证券市场发展中的一个引人注目的现象。由此,交叉上市成为学者研究的热点问题。资本成本是投资者要求的必要报酬率,是现代财务理论中极其重要的一个概念。交叉上市的资本成本效应是从公司理财角度研究交叉上市的核心领域,市场分割假说、流动性假说、投资者认知假说和绑定假说是解释交叉上市资本成本效应的四个重要理论。近十年来西方学者采用事件研究法和股权资本成本计量模型,进行了大量理论探索与实证检验,但是国际资本市场上资本成本的计算是财务领域长期未决的一个重要而棘手的问题,因此时至今日,交叉上市的资本成本效应在国际范围内仍未取得公论。本文首先从理论假说、实证检验、计量方法等方面全面梳理了交叉上市的资本成本效应相关研究,然后构造了中国公司交叉上市资本成本效应研究的理论模型——国际资本资产定价模型(ICAPM)。本文对自1993年7月至2008年12月在大陆发行A股并在香港证券交易所发行H股的中国公司的资本成本效应进行了实证检验和多元回归分析。但是研究样本受制于生存者偏差。最终的结果与结论如下:1、中国公司A+H交叉上市降低了资本成本。2、中国公司通过交叉上市,增强了股票流动性,降低了资本成本,二者具有显著的负相关关系。3、中国公司通过交叉上市,增加了投资者认知,降低了资本成本,但二者关系不显著。4、中国公司通过交叉上市,提高了投资者保护水平,降低了资本成本,二者具有显著的负相关关系。本研究结论从一个角度颠覆了传统意义上赴境外交叉上市可以提高流动性,扩大投资者认知,加强投资者保护,降低资本成本的观点。这为未来针对中国交叉上市公司收益与影响的研究指明了方向。本研究主要有以下几点贡献:1、与以往前人做的有限研究不同,本研究使用ICAPM评估中国公司交叉上市的资本成本效应。2、本文证实在香港进行交叉上市具有资本成本效应,并为这一结论提供证据。3、尽管和很多交叉上市研究一样,本文样本选取会受制于生存者偏差,但本研究建立在中国公司在香港交叉上市的最大可能样本的基础上。更多还原

【Abstract】 With the development of economic globalization and financial integration, information technology utilizes widely in financial markets, cross-border flow of international capital becomes more and more frequently, conveniently and quickly. After 30-year execution of the policy of reforming and opening-up, China has become more involved in the global economy system, and started to seek more international investment to help develop the economy. With the limited capital supporting capability of domestic capital markets, more and more Chinese companies started to enter the international stock markets for capital raising. At the same time, with the rapid development of China’s economy and great expansion of mainland’s stock market in recent years, many of Chinese oversea-listed companies have become gone back to list in domestic market. Cross-listing is becoming an increasingly important strategic issue for companies and a noticeable phenomenon in the current development of China’s securities market. The increasing interest in cross-listing has heightened the need for studying in this regime.Cost of capital is the investor’s required rate of return, it’s a very important concept in the modern financial theory. Cost of capital effects of cross listings are the core research field of cross-listings from the point of corporate finance. Market segmentation hypothesis, liquidity hypothesis, investor recognition hypothesis and bonding hypothesis are four important theories to interpret the cost of capital effects of cross-listings. Western scholars have made many theory development and empirical tests using event-study and equity cost of capital model in recent ten years, but calculating the cost of capital on the world capital market is such an important and difficult issue that there has not been a same opinion on the cost of capital effect of cross-listings by now.This thesis first reviews literatures of the cost of capital effects of cross-listings from the point of the theoretical hypothesis, empirical tests, and calculating methods, then construct theoretical model, International Capital Asset Pricing Model (ICAPM), for the investigation of cost of capital effects of Chinese cross-listed firms. This paper empirically tests and multiple regression analyzes the cost of capital effects of Chinese companies that issued both domestic A shares in China’s mainland and foreign H shares on the Hong Kong Stock Exchange during the period from July 1993 to December 2008. However, my samples suffer from a survivorship bias. The empirical findings and conclusions are as follows:1. Chinese cross-listed firms have lower cost of capital in the A+H cross-listing markets.2. Chinese firms can achieve a greater liquidity from cross-listings, and a lower cost of capital, these two variables are significantly negative.3. Chinese firms can enlarge investors’ recognition from cross-listings, and decrease cost of capital, but these two variables are not significantly relative.4. Chinese firms can increase the level of investor protection from cross-listings, and decrease cost of capital, these two variables are significantly negative.These results contrast with the conventional wisdom that firms cross list overseas to benefit from a greater liquidity, a broader investor recognition, a higher investor protection and a lower cost of capital. They suggest that it is an interesting area for future research to examine the benefit and the impact of cross-listing for Chinese companies.This study makes several contributions. First, I use ICAPM approach to estimate the cost of capital effects of Chinese cross-listings, complementing and extending the relatively limited prior findings. Second, I document that cross-listings on HK exchange have cost of capital effects and provide evidence on them. Third, my analysis is based on one of the largest possible samples of HK cross-listings, although my samples suffer from some survivorship bias like most other studies of cross listings.更多还原