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| Shell Premium: Mispricing or Regulation Risk？ |
| QU Yuanyu, SHEN Tao, Wu Weixing
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School of Economics and Management, Tsinghua University;
School of Banking and Finance, University of International Business and Economics |
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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.
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Received: 03 July 2017
Published: 29 October 2018
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