逆向跨境上市产生信息效应吗?——基于H股公司返回境内上市的研究
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财经研究 2014 年 第 40 卷第 04 期, 页码：90 - 102
摘要
参考文献
摘要
跨境上市的信息效应源于境外市场更严格的信息披露规则和更高的市场信息需求。通过抑制大股东的控制权私利、提高公司在境内的信息透明度,信息效应可以给跨境上市公司带来市场价值溢价。与国外的跨境上市公司不同,中国的跨境上市公司大多先在较发达的中国香港市场发行H股上市,然后返回境内发行A股。这种逆向跨境上市行为能否产生信息效应需要进一步分析。文章的实证检验结果表明,H股公司返回境内上市后,在较发达的中国香港市场上市并没有减弱控股股东谋取控制权私利,而且公司在A股市场的信息透明度也没有提高甚至还不及仅发行A股的公司,但这类公司仍具有更高的A股市值。文章研究结论为跨境上市相关理论及揭示投资者行为在公司治理改革中的重要作用提供了经验证据。
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①Doidge等(2004)详细介绍了自选择系数λ的计算及含义。
②样本选择模型有两种基本的估计方法:极大似然估计法(MLE)和Heckman两步估计法(也称为Heckit),其中Heckit的估计效率不如MLE,但经常被使用。
[2]何丹,张力上,陈卫.交叉上市、投资者保护与企业价值[J].财经科学,2010,(3):16-22.
[3]李增泉,叶青,贺卉.企业关联、信息透明度与股价特征[J].会计研究,2011,(1):44-51.
[4]陆瑶,沈小力.股票价格的信息含量与盈余管理——基于中国股市的实证分析[J].金融研究,2011,(12):131-146.
[5]潘越,戴亦一.双重上市、信号幻觉与融资效应[J].经济管理,2010,(3):117-124.
[6]沈红波,廖冠民,廖理.境外上市、投资者监督与盈余质量[J].世界经济,2009,(3):72-81.
[7]唐松,胡威,孙铮.政治关系、制度环境与股票价格的信息含量——来自我国民营上市公司股价同步性的经验证据[J].金融研究,2011,(7):182-195.
[8]肖珉,沈艺峰.跨地上市公司具有较低的权益资本成本吗——基于“法与金融”的视角[J].金融研究,2008,(10):93-103.
[9]王立彦,刘军霞.A-H股双重报告差异与公司治理[M].北京:北京大学出版社,2004.
[10]辛清泉,王兵.交叉上市、国际四大与会计盈余质量[J].经济科学,2010,(4):96-110.
[11]朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场的效率吗?——基于股价同步性和股价信息含量的经验证据[J].金融研究,2007,(2):110-121.
[12]Bailey W,Karolyi G A,Salva C.The economic consequences of increased disclosure:Evidence from international cross-listings[J].Journal of Financial Economics,2006,81(1):175-213.
[13]Baker H K,Nofsinger J R,Weaver D G.International cross-listing and visibility[J].Journal of Financial and Quantitative Analysis,2002,37(3):495-521.
[14]Bushman R M,Piotroski J D,Smith A J.What determines corporate transparency?[J].Journal of Accounting Research,2004,42(2):207-252.
[15]Carhart M M.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82.
[16]Chan K,Hameed A.Stock price synchronicity and analyst coverage in emerging markets[J].Journal of Financial Economics,2006,80(1):115-147.
[17]Coffee J.Racing towards the top?The impact of cross-listings and stock market competition on international corporate governance[J].Columbia Law Review,2002,102(7):1757-1831.
[18]Dasgupta S,Gan J,Gao N.Transparency,price informativeness,and stock return synchronicity:Theory and evidence[J].Journal of Financial and Quantitative Analysis,2010,45(5):1189-1220.
[19]Dechow P,Sloan R,Sweeney A.Detecting earnings management[J].The Accounting Review,1995,70(2):193-225.
[20]De Long J B,Shleifer A,Summers L H,et al.Noise trader risk in financial markets[J].Journal of Political Economy,1990,98(4):703-738.
[21]Doidge C,Karolyi G A,Stulz R M.Why are foreign firms listed in the U.S.worth more?[J].Journal of Financial Economics,2004,71(2):205-238.
[22]Durnev A,Morck R,Yeung B,et al.Does greater firm-specific return variation mean more or less informed stock pricing?[J].Journal of Accounting Research,2003,41(5):797-836.
[23]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[24]Fernandes N,Ferreira M A.Do international cross-listing improve the information environment[J].Journal of Financial Economics,2008,88(2):216-244.
[25]Gebhardt W R,Lee C,Swaminathan B.Toward an implied cost of capital[J].Journal of Accounting Research,2001,39(1):135-176.
[26]Hribar P,Nichols D.The use of unsigned earnings quality measures in tests of earnings management[J].Journal of Accounting Research,2007,45(5):1017-1053.
[27]Hutton A P,Marcus A J,Tehranian H.Opaque financial reports,R2,and crash risk[J].Journal of Financial Economics,2009,94(1):67-86.
[28]Jin L,Myers S C.R2 around the world:New theory and new tests[J].Journal of Financial Economics,2006,79(2):257-292.
[29]Lang M,Raedy J M,Yetman M H.How representative are firms that are cross-listed in the United States?An analysis of accounting quality[J].Journal of Accounting Research,2003,41(2):363-386.
[30]Lang M,Lins K V,Miller D P.ADRs,analysts,and accuracy:Does cross listing in the United States improve a firm’s information environment and increase market value?[J].Journal of Accounting Research,2003,41(2):317-345.
[31]Licht A.Cross-listing and corporate governance:Bonding or avoiding?[J].Chicago Journal of International Law,2003,4:141-163.
[32]Morck R,Yeung B,Yu W.The information content of stock markets:Why do emerging markets have synchronous stock price movements?[J].Journal of Financial Economics,2000,58(1):215-260.
[33]Piotroski J D,Roulstone B T.The influence of analysts,institutional investors,and insiders on the incorporation of market,industry,and firm-specific information into stock prices[J].The Accounting Review,2004,79(4):1119-1151.
[34]Ross A S,Westerfield R W,Jaffe J F.Corporate finance[M].New York:McGraw-Hill Higher Education,2002.
[35]Siegel J.Can foreign firms bond themselves effectively by renting U.S.securities laws?[J].Journal of Financial Economics,2005,75(2):319-359.
[36]Teoh S H,Yang Y,Zhang Y.R-square:Noise or firm-specific information?[R].Working Paper,National University of Singapore,2007.
①Doidge等(2004)详细介绍了自选择系数λ的计算及含义。
②样本选择模型有两种基本的估计方法:极大似然估计法(MLE)和Heckman两步估计法(也称为Heckit),其中Heckit的估计效率不如MLE,但经常被使用。
引用本文
常嵘. 逆向跨境上市产生信息效应吗?——基于H股公司返回境内上市的研究[J]. 财经研究, 2014, 40(4): 90–102.
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