Abstract:
The strict restrictions on IPO give rise to the shell value of the listed firm besides its intrinsic value. We investigate the impact of shell value on cross-sectional stock return. We find that high ESV/MV leads to high return, after controlling a variety of firm characteristics such as size, B/M, profitability, investment. Long-Short portfolio sort on ESV/MV earns a significant risk-adjusted abnormal return, which we call the shell premium. Further evidence prove that the shell premium comes from systematic risk related to IPO regulation rather than mispricing.
[1]杜兴强、赖少娟和杜颖洁, 2013, 《“发审委”联系、潜规则与IPO市场的资源配置效率》,《金融研究》第3期,第143~156页。 [2]潘莉和徐建国, 2011a, 《A股个股回报率的惯性与反转》,《金融研究》第1期,第149~166页。 [3]潘莉和徐建国, 2011b, 《A股市场的风险与特征因子》,《金融研究》第10期,第140~154页。 [4]屈源育、沈涛和吴卫星,2018,《上市公司壳价值与资源配置效率》,《会计研究》第3期,第54~60页。 [5]田利辉、王冠英和谭德凯, 2014, 《反转效应与资产定价:历史收益率如何影响现在》,《金融研究》第10期,第177~192页。 [6]田利辉和王冠英, 2014, 《我国股票定价五因素模型:交易量如何影响股票收益率？》,《南开经济研究》第2期,第54~75页。 [7]易志高和茅宁, 2009, 《中国股市投资者情绪测量研究:CICSI的构建》,《金融研究》第11期,第174~184页。 [8]赵龙凯、陆子昱和王致远, 2013, 《众里寻“股”千百度——股票收益率与百度搜索量关系的实证探究》,《金融研究》第4期,第183~195页。 [9]赵胜民、闫红蕾和张凯, 2016, 《Fama-French五因子模型比三因子模型更胜一筹吗——来自中国A股市场的经验证据》,《南开经济研究》第2期,第41~59页。 [10]Allen, F., Qian J. Q., Shan S. C., Zhu J. L. 2015. “Explaining the Disconnection between China's Economic Growth and Stock Market Performance” Working Paper. [11]Altman, E. I. 1968. “Financial ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy” The Journal of Finance, 23(4): 589~609. [12]Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-section and Time-series Effects” Journal of Financial Markets, 5(1): 31~56. [13]Ang, A., Hodrick R. J., Xing Y. H., Zhang X. Y. 2006. “The Cross-section of Volatility and Expected Returns” Journal of Finance, 61(1): 259~299. [14]Baker, S. R., Bloom N., Davis S. J. 2016. “Measuring Economic Policy Uncertainty” Quarterly Journal of Economics, 131(4): 1593~1636. [15]Baum, C. F. 2006. “An Introduction to Modern Econometrics Using Stata” Stata press. [16]Brogaard, J. and Detzel A. 2015. “The Asset-Pricing Implications of Government Economic Policy Uncertainty” Management Science, 61(1): 3~18. [17]Campbell, J. Y., Hilscher J., Szilagyi J. 2008. “In Search of Distress Risk” Journal of Finance, 63(6): 2899~2939. [18]Chen, J., Hong H., Stein J. C. 2001. “Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices” Journal of Financial Economics, 61(3): 345-381. [19]D'Avolio, G. 2002. “The Market for Borrowing Stock” Journal of Financial Economics, 66(2-3): 271~306. [20]Dellavigna, S. and Pollet J. M. 2009. “Investor Inattention and Friday Earnings Announcements” Journal of Finance, 64(2): 709~749. [21]Dichev, I. D. 1998. “Is the Risk of Bankruptcy a Systematic Risk？” The Journal of Finance, 53(3): 1131~1147. [22]Diether, K. B., Lee K., Werner I. M. 2008. “Short-Sale Strategies and Return Predictability” The Review of Financial Studies, 22(2): 575~607. [23]Fama, E. F. and French K. R. 1989. “Business Conditions and Expected Returns on Stocks and Bonds” Journal of Financial Economics, 25(1): 23~49. [24]Fama, E. F. and French K. R. 2015. “A Five-factor Asset Pricing Model” Journal of Financial Economics, 116(1): 1~22. [25]Ferson, W. E. and Harvey C. R. 1991. “The Variation of Economic Risk Premiums” Journal of Political Economy, 99(2): 385~415. [26]Hirshleifer, D., Hsu P. H., Li D. M. 2013. “Innovative Efficiency and Stock Returns” Journal of Financial Economics, 107(3): 632~654. [27]Hong, H. and Stein J. C. 1999. “A Unified Theory of Underreaction, Momentum Ttrading, and Overreaction in Asset Markets” Journal of Finance, 54(6): 2143~2184. [28]Hong, H., Lim T., Stein J. C. 2000. “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies” Journal of Finance, 55(1): 265~295. [29]Hou, K., Xiong W., Peng L. 2009. “A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum”Working Paper. [30]Lam F. Y. E. C. and Wei K. C. J. 2011. “Limits-to-arbitrage, Investment Frictions, and the Asset Growth Anomaly” Journal of Financial Economics, 102(1): 127~149. [31]Lam, F. Y., Wang S., Wei K. J. 2016. “The Profitability Premium: Macroeconomic Risks or Expectation Errors？” Working Paper. [32]Lee C.,Qu Y., Shen T.2017.“Reverse Mergers,Shell Value,and Regulation Risk in Chinese Equity Markets”Working Paper. [33]Mashruwala, C., Rajgopal S., Shevlin T. 2006. “Why is the Accrual Anomaly not Arbitraged away？ The Role of Idiosyncratic Risk and Transaction Costs” Journal of Accounting & Economics, 42(1-2): 3~33. [34]Novy-Marx, R. 2013. “The other side of Value: The gross profitability premium” Journal of Financial Economics, 108(1): 1~28. [35]Pan, L., Tang Y., Xu J. 2016. “Speculative Trading and Stock Returns” Review of Finance, 20(5): 1835~1865. [36]Pastor, L. and Veronesi P. 2013. “Political Uncertainty and Risk Premia” Journal of Financial Economics, 110(3): 520~545. [37]Pontiff, J. 2006. “Costly Arbitrage and the Myth of Idiosyncratic Risk” Journal of Accounting & Economics, 42(1-2): 35~52. [38]Savor, P. and Wilson M. 2013. “How Much Do Investors Care About Macroeconomic Risk？ Evidence from Scheduled Economic Announcements” Journal of Financial and Quantitative Analysis, 48(2): 343~375. [39]Savor, P. and Wilson M. 2016. “Earnings Announcements and Systematic Risk” Journal of Finance, 71(1): 83~138. [40]Segal, G., Shaliastovich I., Yaron A. 2015. “Good and Bad Uncertainty: Macroeconomic and Financial Market Implications” Journal of Financial Economics, 117(2): 369~397. [41]Shleifer, A. and Vishny R. W. 1997. “The Limits of Arbitrage” Journal of Finance, 52(1): 35~55. [42]Stambaugh, R. F., Yu J. F., Yuan Y. 2012. “The Short of it: Investor Sentiment and Anomalies” Journal of Financial Economics, 104(2): 288~302. [43]Tian, L. H. 2011. “Regulatory Underpricing: Determinants of Chinese Extreme IPO Returns” Journal of Empirical Finance, 18(1): 78~90. [44]Wang, H. and Yu J. 2013. “Dissecting the Profitability Premium” Working Paper. [45]Xu, N., Li X., Yuan Q., Chan K. C. 2014. “Excess Perks and Sstock Price Crash Risk: Evidence from China” Journal of Corporate Finance, 25(4): 419~434.
