中国公司交叉上市的资本成本效应研究
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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。
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 mainland China 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.
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。
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 mainland China 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.
引文
1 NYSE作为全球最大的证券交易场所(2007年统计结果),2007年股票交易总额达2990999.30亿美元,占WFE 统计的全球所有主要交易所2007年股票交易总额的29.56%。根据2009年5月公布的统计结果,2008年,NASDAQ 股票交易总额首次超越NYSE。
2 数据来源:World Federation of Exchanges,Annual Report and Statistics 2007.截至本文截稿,2008 WFE Annual Report尚未对外公布。
3 2007年3月以来,如果国外企业在美国股票交易所发生的交易量不足其股份全球交易量的5%,则可以向美国证券交易委员会(SEC)申请退市。
1 Dobbs.Marc H.Goedhart.Why Cross-listing Shares doesn't Create Value.The McKinsev Ouarterlv.2008.29:18-23.
2 以上数据由作者根据中华网和清科研究中心数据总结得出。
1 值得一提的是,效应与效用是完全不同的两个概念,效用是指效力与作用;效应则突出变化的结果。
1 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI- Finance Working Paper,No.46/2004,Available at SSRN:http://ssra.com/abstract=938230.
2 G Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):99-152.
3 Henri Bergson.Time and Free Will:An Essay on the Immediate Data of Consciousness.Publisher:London,S.Sonnenschein & co.,lim.;New York,The Macmillan co,1910.
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1 Sergei Sarkissian,Michael J.Schill.Are there Permanent Valuation Gains to Overseas Listing?.Review of Financial Studies,2009,22(1):371-412.
2 陈昀,王韬.西方企业国际双重上市研究评介及其启示.外国经济与管理,2006,28(6):42-48。
3 G Andrew Karolyi.The World of Cross-listings and Cross-listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):99-152.
1 黄雄.证券“打非”新动向——警惕境外上市陷阱.上海证券报,2008年1月28日.
1 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
2 Sergei Sarkissian,Michael J.Schill.The Cost of Capital Effects of Overseas Listings:Market Sequencing and Selection.McGill University Working Paper,Canada,fisher.osu.edu,July 25,2003.
3 Michacl R.King,Usha R.Mittoo.What Companies Need to Know About International Cross-Listing? Journal of Applied Corporate Finance,2007,19(4):10-24.
1 Vihang R.Errunza,Darius P.Millet.Valuation Effects of Seasoned Global Equity Offerings.Journal of Banking &Finance,2003,27:1611-1623.
2 Michael R.King,Usha R.Mittoo.What Companies Need to Know About International Cross-Listing? Journal of Applied Corporate Finance,2007,19(4):10-24.
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1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
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7 这一结论与上述 Foerster和Karolyi(1993)的结论相符。
8 Stephen R.Foerster,G.Andrew Karolyi.The Long-Run Performance of Global Equity Offerings.The Journal of Financial and OuantitativeAnalvsis,2000,35(4):499-528.
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7 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
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1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
2 Rene M.Stulz,Globalization of Equity Markets and the Cost of Capital.Journal of Applied Corporate Finance,1999,12(3):1-12.
3 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
4 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Illiquidity on Asset Prices:Evidence from Foreign Stocks Listing in the U.S..Dice Center for Research in Financial Economics Working Paper,No.96-6,1996,Available at SSRN:http://ssrn.com/abstract=1006.
5 这是解释交叉上市的另外两个理论假说:投资者认知假说和流动性假说,在本章随后的两节(1.3和1.4)中进行分析。
6 Sarkissian S.and M.J.Schill.The Overseas Listing Decision:New Evidence of Proximity Preference.Review of Financial Studies.2004.17(3):769-809
7 各种相似的解释除了本章分析的四个理论假说外,可以参考潘越,《中国公司双重上市行为研究》,北京大学出版社,2007年4月,第一版。
8 Doidge,Craig,G Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More?.Journal of Financial Economics,2004,71:205-238.
9 G.Andrew Karolyi.The World of Cross-listings and Cross-listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):99-152.
10 市场分割/整合的研究是金融领域长期研究的一大热点与难点。
1 Mehdi Sadeghi.Dual-Listing of Australian Shares on the New Zealand Stock Market.Paper provided by Macquarie University,Department of Economics in its series Research Papers with number 0104,Available at http://www.econ.mq.edu.au/research/2001/4-2001_May01.pdf.
2 Vihang R.Errunza,Darius P.Miller.Valuation Effects of Seasoned Global Equity Offerings.Journal of Banking &Finance,2003,27:1611-1623.
3 G.Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):99-152.
4 关于境内外交叉上市是否能够降低资本成本,目前西方学术界尚未形成定论。详细内容在第二章中进行了综述。
5 Yakov Amihud,Haim Mendelson.Asset Pricing and the Bid-ask Spread.Journal of Financial Economics,1986,17(2):223-249.
6 同5.
7 同5.
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6 同2.
7 同3.
8 同5.
9 Ian Domowitz,Jack Glen,Ananth Madhavan.International Cross-listing and Order Flow Migration:Evidence from an Emerging Market.Journal of Finance,1998,53(6):2001-2027.
1 Bhagwan Chowdhry,Vikram Nanda.Multimarket Trading and Market Liquidity.Review of Financial Studies,1991,4:483-511.
2 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
3 Kyle,Albert S.Continuous Auctions and Insider Trading.Econometrica,1985,53:1315-1335.
4 Marco Pagano.Trading and Asset Liquidity.Quarterly Journal of Economics,1989,104:255-274.
5 同1.
6 Ian Domowitz,Jack Glen,Ananth Madhavan.International Cross-listing and Order Flow Migration:Evidence from an Emerging Market.Journal of Finance,1998,53(6):2001-2027.
7 同2.
8 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
Stephen R.Foerster,G.Andrew Karolyi.Multimarket Trading and Liquidity:A Transaction Data Analysis of Canada-U.S.Interlistings.Journal of International Financial Markets,Institutions and Money,1998,8(3-4):393-412.
2 Seha M.Tinic,Richard R.West.Marketability of Common Stocks in Canada and the U.S.:A Comparison of Agent Versus Dealer Dominated Markets.The Journal of Finance,1974,29(3):729-746.
3 Barclay,M.,R.Litzenberger,J.Warner.Private Information,Trading and Stock-return Variances.Review of Financial Studies,1990,3:233-253.
4 Stephen R.Foerster,G.Andrew Karolyi.International Listing of Stocks:The Case of Canada and the U.S.Journal of International Business Studies,1993,24(4):763-784.
同1.
5 G.Noronha,A.Sarin,S.Saudagaran.Testing for Liquidity Effects of International Dual Listings Using lntraday Data.Journal of Banking and Finance,1996,20(6):965-983.
6 Werner,I.,A.Kleidon.U.S.and U.K.Trading of British Cross-listed Stocks:An Intraday Analysis of Market Integration.Review of Financial Studies,1996,9:619-664.
7 Katherine Smith,George Sofianos.The Impact of an NYSE Listing on the Global Trading of Non-U.S.Stocks.1997,Working paper 97-02,NYSE.
8 Hargis,K.ADRs in Emerging Equity Markets:Market Integration or Fragmentation.University of South Carolina working paper,1997.
9 Usha R.Mittoo.Globalization and the Value of US Listing:Revisiting Canadian Evidence.Journal of Banking and Finance,2003,27(9):1629-1661.
10 Ian Domowitz,Jack Glen,Ananth Madhavan.International Cross-listing and Order Flow Migration:Evidence from an Emerging Market.Journal of Finance,1998,53(6):2001-2027.
11 Jeffrey Michael Bacidore.The Impact of Decimalization on Market Quality:An Empirical Investigation of the Toronto Stock Exchange.Journal of Financial Intermediation,1997,6(2):92-120.
12 David C.Porter,Daniel G.Weaver.Tick Size and Market Quality.Financial Management,1997,26(4):5-26.
13 Hee-Joon Ahn,Charles Q.Cao,Hyuk Choe.Decimalization and Competition among Stock Markets:Evidence from the Toronto Stock Exchange Cross-listed Securities.Journal of Financial Markets,1998,1(1):51-87.
14 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
1 Lin Guo,Liang Tang.Cost of Capital and Liquidity of Cross-Listed Chinese Companies.Accepted for Financial Management Association,2006,Salt Lake City.Available at http://www.fma.org/SLC/Papers/CrossListing-GuoTang.pdf.
2 Pulatkonak,Melek,George Sofianos.The Distribution of Global Trading in NYSE-listed Non- U.S.Stocks.1999,Working paper 99-03,NYSE.
3 Usha R.Mittoo.Cross-Country Listing and Trading Volume:Evidence from the Toronto and Vancouver Stock Exchanges.Journal of International Financial Management and Accounting,1997,8(3):147-174.
4 一些实证研究以上市前后股票换手率作为流动性的衡量指标,股票换手率越高,市场流动性越强。例如,Foerster 和Karolyi(2000)在研究全球股权发行的长期绩效过程中发现,非美国公司在美国市场招股以后的市场表现与该公司ADR市场的换手率正相关,这说明美国市场较高的潜在流动性是影响公司长期市场绩效的重要因素。
5 同3.
1 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
2 Sanjiv Sabherwal.The U.S.Share of Trading in Cross-Listings:Evidence from Canadian Stocks.The Financial Review,2007,42(1):23-51.
3 同2.
4 Michael Halling,Marco Pagano,Otto Randl,Josef Zechner.Where Is the Market? Evidence from Cross-Listings in the United States.Review of Financial Studies,2008,21(2):725-761.
1 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
2 同1.
3 同1.
1 事实上,最初对投资者认知假说进行理论检验的是Kadlec和McConnell(Gregory B.Kadlec,John J.McConnell.Investor Base,Cost of Capital,and New Listings on the NYSE.Journal of Applied Corporate Finance,1995,8(1):59-64.)。他们根据Merton(1987)的模型,利用影子成本的变化计量投资者认知的变动。但是由于他们检验的是273家美国OTC公司在NYSE首次挂牌交易是如何引起股东人数增加,进而降低资本成本的,不属于本文交叉上市的资本成本效应研究范畴,故不在此进行分析。
2 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
3 Gregory B.Kadlec,John J.McConnell.The Effect of Market Segmentation and Illiquidity on Asset Prices:Evidence from Exchange Listings.The Journal of Finance,1994,49(2):611-636.
4 Stephen R.Foerster,G.Andrew Karolyi,The Effects of Market Segmentation and Illiquidity on Asset Prices:Evidence from Foreign Stocks Listing in the U.S..Dice Center for Research in Financial Economics Working Paper,No.96-6,1996,Available at SSRN:http://ssrn.com/abstract=1006.
5 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
6 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
7 同2.
8 同6.
1 John J.McConnell,Heidi J.Dybevik,David Haushalter,Erik Lie.A Survey of Evidence on Domestic and International Stock Exchange Listings with Implications for Markets and Managers.Pacific-Basin Finance Journal,1996,4(4):347-376.
2 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
3 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
4 同1.
5 同2.
6 同3.
7 Fanto,James A.,Roberta S.Karmel.A Report on the Attitudes of Foreign Companies Regarding a U.S.Listing.Stanford Journal of Law,Business,and Finance,1997,3:37-58.
8 Hali J.Edison,Francis E.Warnock.U.S.Investors' Emerging Market Equity Portfolios:A Security-Level Analysis.Review of Economics and Statistics,2004,86(3):691-704.
9 Citibank Report(July 2001) by Michael Chafkin on “U.S.Investment in Non-U.S.Equities”,available at http://wwss.citissb.com/adr/www/adr_info/chaf.pdf.
10 Utama,Siddharta,William M.Cready.Institutional Ownership,Differential Predisclosure Precision And Trading At Announcement Dates.Journal of Accounting and Economics,1997,24(2):129-150.
1 Stulz,R M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
2 Hotchkiss,Edith S.,Deon Strickland.Does Shareholder Composition Matter? Evidence from the Market Reaction to Corporate Earnings.Journal of Finance,2003,58(4):1469-1498.
3 Mark T.Bradshaw,Brian J.Bushee,Gregory S.Miller.Accounting Choice,Home Bias and U.S.Investment in Non-U.S.Firms.Journal of Accounting Research,2004,42(5):795-841.
4 Michael R.King,Dan Segal.The Long-Term Effects of Cross-Listing,Investor Recognition,and Ownership Structure on Valuation.Paper provided by Bank of Canada in its series Working Papers with number 06-44,2006,EFA 2007Ljubljana Meetings Paper,Available at SSRN:http://ssrn.com/abstract=924585.Review of Financial Studies,RFS Advance Access published online on May 13,2008,doi:10.1093/rfs/hhn050.
5 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
6 H.Kent Baker,John R.Nofsinger,Daniel G.Weaver.International Cross-listing and Visibility.The Journal of Financial and Quantitative Analysis,2002,37(3):495-521.
7 同4.
8 同6.
9 Bailey,W.,Y.P.Chung,J.Kang.Foreign Ownership Restrictions and Equity Price Premiums:What Drives the Demand for Cross-border Investments?.Journal of Financial and Quantitative Analysis,1999,34(4):489-511.
1 H.Kent Baker,John R.Nofsinger,Daniel G.Weaver.International Cross-listing and Visibility.The Journal of Financial and Quantitative Analysis,2002,37(3):495-521.
2 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
3 Mark H.Lang,Karl V.Lins,Darius P.Miller.Concentrated Control,Analyst Following and Valuation:Do Analysts Matter Most When Investors Are Protected Least?.Journal of Accounting Research,2004,42(3):589-623.
4 同3.
5 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
1 Warren Bailey,G.Andrew Karolyi,Carolina Salva.The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings.Journal of Financial Economics,2006,81(1):175-213.
2 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
3 Brian J.Bushee,Gregory S.Miller.Investor Relations,Firm Visibility,and Investor Following.Working paper,University of Pennsylvania and Harvard University,2005,available at SSRN:http://ssrn.com/abstract=643223.
4 Sanjiv Sabherwal.The U.S.Share of Trading in Cross-Listings:Evidence from Canadian Stocks.The Financial Review,2007,42(1):23-51.
5 同4.
6 Sabherwal(2007)的详尽结论,请参见本章“1.3.3.2”中相关内容。
7 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
1 Salvatore Cantale.The Choice of a Foreign Market as a Signal.1996,Tulane University working paper.
2 Alberto Moel.The Role of Information Disclosure on Stock Market Listing Decisions:The Case of Foreign Firms Listing in the U.S.Harvard Business School working paper,1999.
3 本文在本章第一节(1.1)中已经明确指出只对交叉上市的重要而经典的四个理论假说,即市场分割假说、流动性假说、投资者认知假说和绑定假说,进行分析,至于交叉上市增加公司价值的其他一些假说,可参见潘越,《中国公司双重上市行为研究》,北京大学出版社,2007年4月,第一版。
4 关于这里的Bonding一词,国内学者有不同的翻译,例如约束、捆绑等。本文认为翻译为绑定更为形象、生动。
5 John C.Coffee,Jr.The Future as History:the Prospects for Global Convergence in Corporate Governance and its Implications.Northwestern University Law Review,1999,93:641-708.
John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
6 Stulz,Rene M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
1 同1.
2 同2.
3 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
4 Miller主要研究时点是交叉上市决策公告日而非实际上市日。公告日显然在理论上是更为适合的日期,因为市场对公司预期改善信息会做出反应,而且通常在公告和实际上市之间会有一段时间的延迟。
5 John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
1 Rafael La Porta,Florencio Lopez-de-Silanes,Andrei Shleifer,Robert Vishny.Investor Protection and Corporate Governance.Journal of Financial Economics,2000,58(1-2):3-27.
2 Davide Lombardo,Marco Pagano.Law and Equity Markets:A Simple Model.Published in Corporate Governance Regimes:Convergence and diversity edited by Joe McCahery,Pieter Moerland,Theo Raaijmakers,Luc Renneboog.Oxford University Press,2002:343-362.
3 John C.Coffee,Jr.The Future as History:the Prospects for Global Convergence in Corporate Governance and its Implications.Northwestern University Law Review,1999,93:641-708.
John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
4 Stulz.Rene M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
5 Reese,W.,M.Weisbach.Protection of Minority Shareholder Interests,Cross-listings in the United States,and Subsequent Equity Offerings.Journal of Financial Economics,2002,66(1):65-104.
6 John C.Coffee,Jr.The Future as History:the Prospects for Global Convergence in Corporate Governance and its Implications.Northwestern University Law Review,1999,93:641-708.
John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
1 Stulz,Rene M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
2 同1.
3 Doidge,Craig,G.Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More? Journal of Financial Economics.2004.71(2):205-238.
4 同1.
5 投资者保护程度可以通过计算控制权私利加以衡量,Nenova(2003),Doidge(2004)以及Dyck和Zingales(2004)等人的研究弥补了Reese和Weisbach(2002)以及Doidge等人(2004)在实证检验思路上的不足,他们采用不同的方法对大股东控制权私利进行具体度量,以证明到投资者保护强的国家交叉上市确实可以降低控制权私利。Benos 和Weisbach(2004)对控制权私利与在美国交叉上市进行了文献综述。但是这些文献并未涉及对交叉上市的资本成本效应,故不属于本文分析范畴。
6 Doidge,Craig,G.Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More? Journal of Financial Economics,2004,71(2):205-238.
1 肖珉.跨地上市与权益资本成本——来自含H股的A股公司的证据.中国经济问题,2006(4):62-70。
2 同2.
3 肖珉,沈艺峰.跨地上市公司具有较低的权益资本成本吗?.金融研究,2008(10):93-103。
4 Arthur Levitt.The Importance of High Quality Accounting Standards.Accounting Horizons.1998,12(1):79-82.
5 Salvatore Cantale.The Choice of a Foreign Market as a Signal.1996,Tulane University working paper.
6 Alberto Moel.The Role of Information Disclosure on Stock Market Listing Decisions.1998,Harvard University working paper.
7 Oren Fuerst.A Theoretical Analysis of the Investor Protection Regulations Argument for Global Listing of Stocks.1998,Yale University working paper.
1 Steven Huddart,John S.Hughes,Markus K Brunnermeier.Disclosure Requirements and Stock Exchange Listing:Choice in an International Context.Journal of Accounting and Economics,1999,26(1-3):237-269.
2 H.Kent Baker,John R.Nofsinger,Daniel G.Weaver.International Cross-listing and Visibility.The Journal of Financial and Quantitative Analysis,2002,37(3):495-521.
3 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
Mark H.Lang,Karl V.Lins,Darius P.Miller.Concentrated Control,Analyst Following and Valuation:Do Analysts Matter Most When Investors Are Protected Least?.Journal of Accounting Research,2004,42(3):589-623.
4 这方面的研究详见本章“1.4.2.2”。
5 Warren Bailey,G.Andrew Karolyi,Carolina Salva.The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings.Journal of Financial Economics,2006,81(1):175-213.
6卢文莹.跨境上市与公司治理相关性研究.上海证券交易所研究报告,2003.
7 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
8 Heibatollah Sami,Haiyan Zhou.The Economic Consequences of Increased Disclosure Evidence from Cross Listings of Chinese Firms.Journal of International Financial Management and Accounting,2008,19(1):1-27.
9 Ole-Kristian Hope,Tony Kang,Yoonseok Zang.Bonding to the Improved Disclosure Environment in the United States:Firms' Listing Choices and their Capital Market Consequences.2005,University of Toronto Working Paper.Journal of Contemporary Accounting and Economics,2007,3(1),Available at SSRN:http://ssm.com/abstract=948670.
1 Mar.P,Michael N Young.Corporate Governance in Transition Economies:a Case Study of Two Chinese Airlines.Journal of World Business,2001,36(3):280-302.
2 Luzi Hail,Christian Leuz.International Differences in the Cost of Equity Capital:Do Legal Institutions and Securities Regulation Matter? Journal of Accounting Research,2006,44(3):485-531.
3 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI-Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
4 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
5 Doidge,Craig,G.Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More? Journal of Financial Economics,2004,71(2):205-238.
6 Hail和Leuz(2006)的这一研究结论详见本论文“2.2.3”中相关内容,他们与前文Miller(1999)和Doidge等人(2004)均发现,与OTC上市和私募相比较,在美国主要交易所上市会面临更严格的投资者保护和信息披露,从而权益资本成本降低更为显著。
7前文已述,Reese和Weisbach(2002)发现来自投资者保护程度较差国家的公司在美国上市后,其后续融资通常不是在美国市场,而是较多地是回到本国市场进行。我国公司的做法正符合这一结论,从境外市场回归国内市场上市。但是,“外资股折价”现象确实与国际市场上交叉上市的利益不符,这一点在本文第三章“3.3.4”的分 析论证。
1 Sun,Q.,W.Tong,Y.Wu.The Choice of Foreign Primary Listing:China's Share-issue Privatization Experience[C].Institute for Financial and Accounting Studies,Xiamen University,2006,working paper.
2 沈红波,廖理,廖冠民.境外上市、投资者保护与企业溢价.财贸经济,2008(9):40-45。
3 Michael R.King,Dan Segal.International Cross-Listing and the Bonding Hypothesis.Bank of Canada Working Paper,2004,No.2004-17.
4 Siegel,J.Can Foreign Firms Bond themselves Effectively by Renting U.S.Securities Laws? Journal of Financial Economics,2005,75(2):319-359.
5 Siegel的这篇文章早在2002年8月就已经完稿,只是在2005年才在Journal of Financial Economics上发表,因此,他比King和Segal更早就声誉绑定问题进行了系统研究。
1 同1.
2 同1.
3 James A.Fanto.The Absence of Cross-cultural Communication:SEC Mandatory Disclosure and Foreign Corporate Governance.Journal of International Law and Business,1996,17:119-207.
4 MacNeil,Iain.Competition and Convergence in Corporate Regulation:The Case of Overseas Listed Companies.University of Aberdeen working paper,2001,Available at SSRN:http://ssrn.com/abstract=278508 or DOI:10.2139/ssrn.278508.
5 Rafael La Porta,Florencio Lopez-de-Silanes,Andrei Shleifer,Robert Vishny.Investor Protection and Corporate Governance.Journal of Financial Economics,2000,58(1-2):3-27.
6 Christian Leuz.Discussion of ADRs,Analysts,and Accuracy:Does Cross-listing in the United States Improve a Firm's Information Environment and Increase Market Value? Journal of Accounting Research,2003,41(2):347-362.
7 Amir N.Licht.Managerial Opportunism and Foreign Listing:Some Direct Evidence.University of Pennsylvania Journal of International Economic Law,2001,22:325-347.
Amir N.Licht.Cross-Listing and Corporate Governance:Bonding or Avoiding?.Chicago Journal of International Law,2003,4(1):141-163.
8 同1.
1 Laixiang Sun,Damian Tobin.International Listing as a Mechanism of Commitment to More Credible Corporate Governance Practices:the Case of the Bank of China(Hong Kong).Corporate Governance:An International Review,2005,13(1):81-91.
2 Dariusz Wojcik,Gordon L Clark,Rob Bauer.Corporate Governance and Cross-listing:Evidence from European Companies.2004,working paper,http://papers.ssm.com/paper.taf?abstmct_id=593364.
3 同4.
4 Larry E.Ribstein.Cross-listing and Regulatory Competition.Review of Law and Economics,2005,1(1):97-148.
1 Gordon J.Alexander,Cheol S.Eun,S.Janakiramanan.International Listings and Stock Returns:Some Empirical Evidence.The Journal of Financial and Quantitative Analysis,1988,23(2):135-151.
2 Cheol S.Eun,Stijn Claessens,Kwang W.Jun.International Trade of Assets,Pricing Externalities,and the Cost of Capital.in:"Portfolio Investment in Developing Country".World Bank Discussion Papers,1993,287-298.
3 Stephen R.Foerster,G.Andrew Karolyi.International Listing of Stocks:The Case of Canada and the U.S.Journal of International Business Studies,1993,24(4):763-784.
4 Stephen R.Foerster,G.Andrew Karolyi,The Effects of Market Segmentation and Illiquidity on Asset Prices:Evidence from Foreign Stocks Listing in the U.S..Dice Center for Research in Financial Economics Working Paper,No.96-6, 1996,Available at SSRN:http://ssrn.com/abstract=1006.
1 John Doukas,Lorne N.Switzer.Common Stock Returns and International Listing Announcements:Conditional Tests of the Mild Segmentation Hypothesis.Journal of Banking and Finance,2000,24(3):471-501.
2 Vihang R.Errunza,Darius P.Miller.Market Segmentation and the Cost of Capital in International Equity Markets.Journal of Financial and Quantitative Analysis,2000,35(4):577-600.
3 Narayanan Jayaraman,Kuldeep Shastri,Kishore Tandon.The Impact of International Cross Listings on Risk and Return:the Evidence from American Depository Receipts.Journal of Banking and Finance,1993,17(1):91-103.
4 Domowitz,Ian,Glen,Jack,Madhavan,Ananth.International Cross-Listing and Order Flow Migration:Evidence from an Emerging Market.The Journal of Finance,1998,53(6):2001-2027.
5 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
6 Torabzadeh,K.W.Bertin,T.Zivney.Valuation Effects of International Listings.Global Finance Journal,1992,3:159-170.
7 Damodaran,A.,C.Liu,W.Van Harlow.The Effects of International Dual Listings on Stock Price Behavior.1993,New York University Working Paper.
8 Oscar Varela,Sang H.Lee.The Combined Effects of International Listing on the Security Market Line and Systematic Risk for US Listings on The London and Tokyo Stock Exchanges.in International Financial Market Integration,S.Stansell(ed.),Blackwell Publishers,Cambridge MA,1993,367-388.
9 John S.Howe,Kathryn Kelm.The Stock Price Impacts of Overseas Listings.Financial Management,1987,16(3):51-56.
10 Sie Ting Lau,David Diltz,Vincent Apilado.Valuation Effects of International Stock Exchange Listings.Journal of Banking and Finance.1994,18:743-755.
11 Insup Lee.Dual Listings and Shareholders' Wealth:Evidence from UK and Japanese Firms.Journal of Business Finance and Accounting,1992,19:243-252.
12 Richard Podpiera.International Cross-Listing:The Effects of Market Fragmentation and Information Flows.CERGE-EI Working Paper No.173.2001,Available at SSRN:http://ssrn.com/abstract=-273999.
1 G Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
2 John S.Howe,Kathryn Kelm.The Stock Price Impacts of Overseas Listings.Financial Management,1987,16(3):51-56.
3 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI- Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
4 同1.
5 G Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):1-99.
6 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI- Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
7 Kees G.Koedijk,Clemens J.M.Kool,Peter C.Schotman,Mathijs A.van Dijk.The Cost of Capital in International Financial Markets:Local or Global? Journal of International Money and Finance,2001,21:905-929.
8 Kees G.Koedijk,Mathijs A.van Dijk.The Cost of Capital of Cross-listed Firms.European Financial Management, 2004,10(3):465-486.
1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
2 G.Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):1-99.
3 G.Andrew Karolyi.Sourcing Equity Internationally with Depositary Receipt Offering:Two Exceptions that Prove the Rule.Journal of Applied Corporate Finance,1998,10:90-99.
4 Vihang R.Errunza,Darius P.Miller.Market Segmentation and the Cost of Capital in International Equity Markets.Journal of Financial and Quantitative Analysis,2000,35(4):577-600.
1 这里需要解释的是,他们提出的多样化是指ADR替代资产的可获得性。也就是说,非美国公司在美国上市发行ADR,如果美国投资者能够在本国市场上获取可以替代ADR的证券,则减少了ADR公司多样化的潜力,公司资本成本降低,反之,如果无法找到替代ADR的证券来获得和投资ADR相同的收益,则必须通过提高要求报酬率(资本成本)来反映其多样化的潜力。
2 G.Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):1-99.
1 Jayaraman,N.,K.Shastri,K.Tandon.The Impact of International Cross Listings on Risk and Return:Evidence from American Depositary Receipts.Journal of Banking and Finance,1993,17:91-103.
2 Stephen R.Foerster,G.Andrew Karolyi.International Listings of Stocks:The Case of Canada and the U.S.Journal of International Business Studies,1993,24:763-784.
3 Urias,M.The Impact of Security Cross-listing on the Cost of Capital in Emerging Markets.1994,Stanford University working paper.
Urias,M.The Impact of ADR Programs on Emerging Stock Market Risk.1996,Stanford University working paper.
4 Stephen R.Foerster,G.Andrew Karolyi,The Effects of Market Segmentation and Illiquidity on Asset Prices-Evidence from Foreign Stocks Listing in the U.S.Dice Center for Research in Financial Economics Working Paper,No.96-6,1996,Available at SSRN:http://ssrn.com/abstract=1006.
5 Darius P.Miller.Why Do Foreign Firms List in the United States?:An Empirical Analysis of the Depositary Receipt Market.Journal of Financial Economics,1996,51:103-123.
6 Bernard Dumas,Bruno Solnik.The World Price of Foreign Exchange Risk.The Journal of Finance,1995,50(2):445-479.
7 同4.
8 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
9 Jorion和Schwartz(1986),Howe和Kelm(1987),Mittoo(1992),Rothman(1995),Foerster和Karolyi(1996)均采用此模型。
1 Karolyi的这一研究结论堪称交叉上市的资本成本效应研究之经典,很多学者在随后的研究中纷纷引用他的这些研究成果。
2 John S.Howe,Jeff Madura.The Impact of International Listings on Risk:Implications for Capital Market Integration.Journal of Banking and Finance,1990,14(6):1133-1142.
3 Karolyi(1998)曾总结,Torazadeh等人(1992),Damodaran等人(1992),Lau等人(1994)使用在伦敦和东京上市的更多美国股票验证了相似的结论。通过这些研究,很难计量交叉上市对权益成本的净影响。
1 Khalil M.Torabzadeh,William J.Berlin,Terry L.Zivney Maxon.Valuation Effects of International Listings.Global Finance Journal,1992,3(2):159-170.
2 Oscar Varela,Sang H.Lee.The Combined Effects of International Listing on the Security Market Line and Systematic Risk for US Listings on The London and Tokyo Stock Exchanges.in International Financial Market Integration,S.Stansell(ed.),Blackwell Publishers,Cambridge MA,1993,367-388.
3 F.K.Reily,D.J.Wright,T.Wakasugi.A Dual Oversees Listing:The Impact on Returns,Risk,and Trading Volume,unpublished paper,presented at the Financial Management Association meeting,October 1990,cited in Oscar Varela and Sang H.Lee,The Combined Effects of International Listing on the Security Market Line and Systematic Risk for US Listings on the London and Tokyo Stock Exchanges,in Stanley R.Stansell,ed.,International Financial Market Integration,1993,369.
4 Sie Ting Lau,David Diltz,Vincent Apilado.Valuation Effects of International Stock Exchange Listings.Journal of Banking and Finance,1994,18(4):743-755.
5 Rothman,M.The International Dual-listing of Stocks and Tests of Capital Market Segmentation.1995,University of Chicago Working Paper.
6 Sundaram,A.,D.Logue.Valuation Effects of Foreign Company Listing on U.S.Exchanges.Journal of International Business Studies,1996,27:67-88.
7 Fama,E.,K.French.Size and Book-to-Market Factors in Earnings and Returns.The Journal of Finance,1995,50:131-155.
1 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI- Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
2 James A.Ohlson.Earnings,Book Values,and Dividends in Equity Valuation.Contemporary Accounting Research,1995,11(2):661-687.
3 James A.Ohlson,Beate Juettner-Nauroth.Expected EPS and EPS Growth as Determinants of Value.Review of Accounting Studies,2005,10:349-365.
4 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,January 1999,51(1):103-123.
5 Doidge,Craig,G Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More?.Journal of Financial Economics,2004,71:205-238.
6 沈红波,廖理,廖冠民.境外上市、投资者保护与企业溢价.财贸经济,2008(9):40-45。
1 Heibatollah Sami,Haiyan Zhou.The Economic Consequences of Increased Disclosure Evidence from Cross Listings of Chinese Firms.Journal of International Financial Management and Accounting,2008,19(1):1-27.
2 William R.Gebhardt,Charles M.C.Lee,Bhaskaran Swaminathan.Toward an Implied Cost of Capital.Journal of Accounting Research,2001,39(1):135-176.
3 沈红波.市场分割、跨境上市与预期资本成本——来自Ohlson-Juettner模型的经验证据.金融研究,2007(2):146-155。
4 James A.Ohlson,Beate Juettner-Nauroth.Expected EPS and EPS Growth as Determinants of Value.Review of Accounting Studies,2005,10:349-365.
5 肖珉,沈艺峰.跨地上市公司具有较低的权益资本成本吗?金融研究,2008(10):93-103。
6 作者在文中说明,“在香港发行H股上市后又返回大陆发行A股上市的29家公司中,吉林化工无法获得完整的财务数据用于回归分析,故此处含H股的A股公司的样本减少为28个。”吉林化工于2006年退市。
7 同2.
1 前面已经提到,沈红波、肖珉等学者样本选取均是2004年以前在A+H交叉上市的公司,样本量只有20多个。
2 William R.Gebhardt,Charles M.C.Lee,Bhaskaran Swaminathan.Toward an Implied Cost of Capital.Journal of Accounting Research,2001,39(1):135-176.
3 James A.Ohlson,Beate Juettner-Nauroth.Expected EPS and EPS Growth as Determinants of Value.Review of Accounting Studies,2005,10:349-365.
4 Heibatollah Sami,Haiyan Zhou.The Economic Consequences of Increased Disclosure Evidence from Cross Listings of Chinese Firms.Journal of International Financial Management and Accounting,2008,19(1):1-27.
1 关于这一点,主要是基于CAPM的严格假设,本文在第四章中会对这个问题进行分析。
##属性不符
1 蒋玉娟.中国企业境外上市问题研究——来自问题公司的启示.西南财经大学2006届硕士毕业论文。
2 罗飞飞.境外上市对国有企业经营绩效影响的研究.2006届对外经贸大学博士毕业论文。
1 红筹股的概念界定在学界一直缺乏一致的定义,目前主要有三种观点:一是按照公司业务范围来划分;二是与红筹股的诞生历史有关;三是港交所按照权益多寡划分提出的定义,恒生指数服务公司编制的红筹股指数就是按照这一标准来划分红筹股的。
1 以上资料来自香港证交所网站www.hkex.com.hk,香港交易所市场资料(2008)。
2 以上数据根据香港证交所网站和清科公司报告整理得出。
3 数据来源:NYSE官方网站:www.nyse.com。
4 资料来自http://usstock.jrj.com.cn/。
5 NYSE中文网站:www.nyse.com/China。
6 《华尔街日报》,2004年9月20日。
1 数据来源:清科研究中心。
##属性不符
1 “先外后内”的上市顺序是我国公司交叉上市的最大特征,因此在这里分析我国公司交叉上市的发展历程主要回顾先在境外上市而后回归国内上市的历程。关于“先内后外”以及“内外同时”的上市顺序,在本章后面有相应的归纳总结。
2 上证联合研究计划第三期课题报告.境外上市企业国内融资机制研究.2001年。
1 下面数据是作者经过仔细研究国泰安数据库和万德数据库中海外上市方面的数据以及金融界网站(www.jrj.com.cn)、NYSE中文网站(www.nyse.com/China)等相关网站全面整理得到。
2 青岛啤酒除了A+H交叉上市外,还在美国粉单市场上市(上市代码:TSGTY),由于它并未在NYSE上市,故不属于这里讨论的三地上市范畴。
3 需要说明的是,在纽约证券交易所(NYSE)上市的46家中国公司中,也只有这11家实现A+N交叉上市,其余35家公司有些也在香港、伦敦等境外市场上市,但截至2008年底尚未回归A股。
4 其中的江西铜业和大唐发电除了A+H+L三地上市外,还在美国粉单市场上市(上市代码:JIXAY、BJCHF),由于它们并未在NYSE上市,故不属于这里讨论的四地上市范畴。
5 作者联系了国内多个数据库服务机构,并在相关网站进行仔细查询,均无法获得下述公司在伦敦证券交易所上市的具体时间。
1 上证联合研究计划第三期课题报告.境外上市企业国内融资机制研究.2001年。
2 数据来源:根据香港证券交易所网站相关数据计算。
1 沈红波.企业海外上市的动因分析.会计之友,2007,8(下):62-63.
2 Sun,Q.,W.Tong,Y.Wu.The Choice of Foreign Primary Listing:China's Share-issue Privatization Experience.Institute for Financial and Accounting Studies,Xiamen University,2006,working paper.
3 易宪榕,卢婷.国内企业海外上市对中国资本市场的影响.管理世界,2006,7:4-14+33+171.
4 王璐,胡汝银.创造良好市场环境,让红筹企业回归A股.上海证券报,http://news.cnfol.com/051219/101,1591,1601773,00.shtml.
5 上证联合研究计划第三期课题报告.境外上市企业国内融资机制研究.2001年。
1 崔远淼.中国企业境外上市动机及影响因素分析.投资研究,2004(5):10-12。
2 资料来源:里昂证券,《中国研究报告》,1996年8月,转引自刘研《中国企业海外上市问题研究》,《改革》,1997年第6期第41页。
3 1999年12月25日和2004年8月28日修正的《公司法》第85条、155条也对股份有限公司向境外公开募集股份以及股票境外上市作出相同的规定。
1 Eun,Cheol S.,Janakiramanan,S.A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership.Journal of Finance,1986,41(4):897-914.
2 Hietala,Pekka T.Asset Pricing in Partially Segmented Markets:Evidence from the Finnish Market.Journal of Finance,1989,44(3):697-718.
3 Warren Bailey,Julapa Jagtiani.Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market.Journal of Financial Economics,1994,36(1):57-87.
4 Rene M.Stulz,Walter Wasserfallen.Foreign Equity Investment Restrictions,Capital Flight,and Shareholder Wealth Maximization:Theory and Evidence.Review of Financial Studies,1995,8(4):1019-1057.
s Warren Bailey.Risk and Return on China's New Stock Markets:Some Preliminary Evidence.Pacific Basin Finance Journal,1994,22(2):243-260.
6 Qian Sun,Wilson H.Tong.The Effect of Market Segmentation on Stock Prices:The China Syndrome.Journal of Banking and Finance,2000,24(12):1875-1902.
7 John Fernald,John H.Rogers.Puzzles in the Chinese Stock Market.Review of Economics and Statistics,2002,84(3):416-432.
8 Li Jiang,Steven Shuye Wang.Location of Trade,Ownership Restrictions,and Market llliquidity:Examining Chinese A- and H-shares.Journal of Banking and Finance,2004,28(6):1273-1297.
9 Jianping Mei,Jose Scheinkman,Wei Xiong.Speculative Trading and Stock Prices:Evidence from Chinese A-B Share Premia.2005,New York University Finance Working Paper,FIN-03-017.
10 Warren Bailey,Y.Peter Chung,Jun-koo Kang.Foreign Ownership Restrictions and Equity Price Premiums:What Drives the Demand for Crtoss-Border Investments?.Journal of Financial and Quantitative Analysis,34,489-512.
11 少数年份出现过H股价格高于A股的情况,例如1994～1995年。
12 对海外上市利益的直接解释是当国内市场对股价低估而国外市场对股价高估的情况下,公司利用境外价格相对高的机会来进行海外融资。
13 国内一些学者认为大型优质国有企业海外上市折价,特别是发行价过低,会导致国有资产流失,并抑制国内市场的发展,因而反对国有企业海外上市。
1 数据缺失。
2 数据缺失。
1 2008年8月末,受金融危机影响最为严重的金融、建筑等板块的12只A+H股票出现负溢价。
2 AH股价比=A股价/H股价×汇率,2009年1月30日汇率为港元:人民币为100:88.127。
3 王维安,白娜.A股与H股价格差异的实证研究.华南金融研究,2004,(4):31-39。
4 刘昕.中国A、H股市场分割的根源分析.南开管理评论,2004,7(5):19-23。
5 李大伟,朱志军,陈金贤.H股相对于A股的折让研究.中国软科学,2004,(1):37-42。
6 吴世农,潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究.管理学报,2005(2):190-199。
7 韩德宗.A股和H股市场软分割因素研究——兼论推出QDII的步骤和时机.商业经济与管理,2006,(3):42-46。
8 吴战篪.解释与证据:基于估值理念差异下的A股与H股价差.2007,(6):16-23。
9 John Fernald,John H.Rogers.Puzzles in the Chinese Stock Market.Review of Economics and Statistics,2002,84(3):416-432.
1 汪平.财务理论(修订版).经济管理出版社,2008年6月。
2 辞海.上海:上海辞书出版社,1979,P1319.
3 汪丁丁.必要的疯狂.博客中国,2003年12月3日9时24分。http//www.blogchina.com/2003120318089.html。
4 本文发表在美国经济学会(American Economic Association)出版的《美国经济评论》(The American Economic Review)1958年6月号,P261-297。
1 新帕尔格雷夫货币金融大辞典(第一卷).北京:经济科学出版社,2000年7月,P470.
2 引自 Lawrence J.Gitman,Principles of Managerial Finance,6~(th) edition,p443.Harper Collins Publishers,1991.
3 Merton H.Miller,Franco Modigliani.Some Estimates of the Cost of Capital to the Electric Utility Industry,1954-57.The American Economic Review,1966,56(3):333-391.
4 中国注册会计师协会.财务成本管理.北京:经济科学出版社,2007.
5 汪平.财务理论(修订版).经济管理出版社,2008年6月。
6 保罗·萨谬尔森(Paul·A·Samuelson).微观经济学.第十七版,萧琛主译,人民邮电出版社,2004年1月,第一版。
7 N·格利高利·曼昆(N·Gregory·Mankiw).经济学原理《经济科学译从》编辑委员会译,机械工业出版社,2005年1月。
8 约翰·伊特韦尔,默里·米尔盖特,彼得·纽曼.新帕尔格雷夫经济学大辞典.中文版,第三卷,经济科学出版社,1996年12月,第一版。
1 汪丁丁.在经济学与哲学之间.中国社会科学出版社.1996年版.
2 宋琳.资本成本缺位与我国资本市场功能缺陷.2006届厦门大学博士论文。
3 朱武祥.资本成本理念及其在企业财务决策中的应用.投资研究,2000(1)。
4 从严格意义上讲,股东财富最大化并不能完全等同于企业价值最大化,二者在具体内涵、计量方式、利益主体等多方面存在差异。但是,对于这两种理财目标,中外学者与权威文献并未严格加以区分,一般认为,股东财富最大化与企业价值最大化是一致的。
1 此言的准确出处至今已无法准确考证,春秋战国年代的孔子、抑或是孟子、抑或是老子,曾对天下芸芸众生为利益所累做出精辟概括。西汉时期司马迁的《史记》的第一百二十九章“货值列传”中对这句话有所记载。
2 Milton Friedman.The Social Responsibility of Business Is to Increase Its Profits[N].New York Times Magazine,September 13,1970.
3 Andrei Shleifer,Robert W.Vishny.A Survey of Corporate Governance.Journal of Finance,1997,52(2):737-783.
3 汪平.财务理论(修订版).经济管理出版社,2008年6月。
1 肖耿.中国企业资本回报率之谜.南方周末,2006年9月21日,C23版。
2 汪平.财务理论(修订版).经济管理出版社,2008年6月。
1 准确地说,CAPM计量的是系统风险,这一点在下文中有详细阐述。
2 Sharpe,William F.Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk.Journal of Finance,1964,19(3):425-442.
3 Lintner,L.The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.Review of Economics and Statistics,1965,47:13-37.
4 Mossin,J.Equilibrium in a Capital Asset Market.Econometrics,1966,34(4):768-783.
1 汪平.财务理论(修订版),经济管理出版社,2008年6月第2版。
2 这也被称为一致预期假设。
3 “无限细分”是指投资者可购买资产的任一部分,以保证投资者可以以任何比例分配其投资。资产的细分程度与其流动性通常呈正比例关系,细分程度越高,流动性越强;细分程度越低,流动性越弱。
4 摩擦是指影响整个市场上的资本和信息自由流通的障碍。
5 John R.Graham,Campbell R.Harvey.The Theory and Practice of Corporate Finance:Evidence from the Field.Journal of Financial Economics,2001,60:187-243.
1 John Y.Campbell.Asset Pricing at the Millennium.The Journal of Finance,2000,55(4):1515-1567.节选自蔡卫光,开放条件下的国际资产定价模型的解析与检验,现代财经,2006,26(4):60-63。
2 Campbell R.Harvey.12 Ways to Calculate the International Cost of Capital.Duke University working paper,2005,Available from http://faculty.fuqua.duke.edu/charvey/Teaching/BA456_2006/Harvey_12_ways_to.pdf.
3 这12个模型是:世界CAPM、世界多因素CAPM、Bekaert-Harvey混合模型(分段或完整的CAPM)、国冢差价模型(Goldman模型)、隐含国家差价模型、国家差价波动率模型、达摩达兰(Damodaran)模型、lbbotson-Bayesian 模型、隐含资本成本模型、CSFB模型、全世界预期报酬相同模型以及信用评级模型(Erb-Harvey-Viskanta模型)。
4 Rene M.Stulz.A Model of International Asset Pricing.Journal of Financial Economics,1981,9(4):383-406.
1 Fischer Black.International Capital Market Equilibrium with Investment Barriers.Journal of Financial Economics,1974,4(1):337-352.
2 B.H.Solnik.An Equilibrium Model of the International Capital Market.Journal of Economic Theory,1974,8(4):500- 524.
3 Sercu,P.A Generalization of the International Asset Pricing Model.Revue de I' Association Francaise de Finance,1980,1:91 - 135.
4 Stuiz,R.On the Effects of Barriers to International Asset Pricing.Journal of Finance,1981,25:783-794.
5 Adler,M,B.Dumas.International Portfolio Choice and Corporation Finance:A Synthesis.Journal of Finance,1983,38(3):925-984.
1 B.H.Solnik.An International Market Model of Security Price Behavior.The Journal of Financial and Quantitative Analysis,1974,9(4):537-554.
B.H.Solnik.The International Pricing of Risk:An Empirical Investigation of the World Capital Market Structure.The Journal of Finance,1974,29(2):365-378.
2 同4.
3 B.H.Solnik.An Equilibrium Model of the International Capital Market.Journal of Economic Theory,1974,8(4):500- 524.
4 Vihang Errunza,Etienne Losq.International Asset Pricing under Mild Segmentation:Theory and Test.The Journal of Finance,1985,40(1):105-124.
5 Geert Bekaert,Campbell R.Harvey.Time-Varying World Market Integration.Journal of Finance,1995,50(1):403-444.
1 这在Harvey(2005)的总结中讲其单独称为一种方法:分段或完整的CAPM(又称Bekaert-Harvey混合模型)。
2 Sercu,P.A Generalization of the International Asset Pricing Model.Revue de I' Association Francaise de Finance,1980,1:91 - 135.
3 相关内容参见本文第二章中“2.4”的分析。
4 G Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
5 在本文第二章“2.2.1.1”中曾经指出,Karolyi在这一研究中使用的模型,早在Jotion和Schwartz(1986),Howe 和Kelm(1987),Mittoo(1992),Rothman(1995),Foerster和Karolyi(1996)等的研究中均已采用。而且Karolyi 的这一研究堪称交叉上市的资本成本效应研究之经典,很多学者在随后的研究中纷纷引用他的这些研究成果。虽然时隔10年,但ICAPM仍是当今交叉上市资本成本效应度量的理想模型。在本文写作过程中,作者就这一问题与Karolyi教授本人进行了深入探讨,运用两因素ICAPM计量中国公司交叉上市资本成本效应的研究思路也得到了他的高度认同,在此,作者感谢Karolyi教授不吝赐教。
1 境内外同时上市的中国公司,不符合本文研究范畴。
1 本表前列括号中的数字表示交叉上市时间间隔(按日历天数计算)。2 同1.
3 G Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
1 基于ICAPM,本研究的重点是交叉上市引起公司在当地市场与国际市场的市场风险变化,因此假设无风险报酬率不会产生明显的变化。本文研究交叉上市前后一年的资本成本效应,所用数据是月度数据,因此,无风险报酬率选取香港30天外汇基金票据及债券收益率。在香港,香港政府债券是指港府以外汇基金名义、由金融管理局发行的外汇基金票据和债券。
2 数据来源:http://www.mscibarra.com/index.jsp。
3 鉴于WSCI的A+H指数是从2004年11月30日创建起来的,在此之前没有相关数据,因此在此选取WSCI的ACWI数据。
4 很多美国学者在研究外国公司在美交叉上市时,选取美国标准普尔500指数(SP500 Index)模拟计算国际市场收益率。
5 由于B组样本公司只有3家,本文未再采用MSCI的H股指数计算Rmw。
1 前文已述,ICAPM是一种基于市场风险的资本成本估算模型,市场风险是本文研究的重点,在无风险报酬一定的情况下,超额收益的变化即是资本成本的变化。因此下文不再对资本成本与超额收益作严格界定。
2 本文选取的数据为月度数据,故计算年资本成本率时要乘以12,0.00388×12=4.656%。
3 表中“K”意为以超额收益Ki-Rf表示的资本成本。
1 计算过程:-0.026-(-0.0147)=-0.0113。
2 计算过程:-0.0307-(-0.0177)=0.013。
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1 在LLSV(1998)关于国家法系的分类认为,英美法系国家相对于大陆法系国家提供了更好的投资者保护,资本市场因此活跃。香港被归属为英美法系,投资者法律保护程度较高,我国大陆属于大陆法系,投资者法律保护程度薄弱。
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9 例如,在收益平滑度指标的计算中要涉及公司现金流量,而我国上市公司现金流量表的披露始于1998年。
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3 2007年3月以来,如果国外企业在美国股票交易所发生的交易量不足其股份全球交易量的5%,则可以向美国证券交易委员会(SEC)申请退市。
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2 以上数据由作者根据中华网和清科研究中心数据总结得出。
1 值得一提的是,效应与效用是完全不同的两个概念,效用是指效力与作用;效应则突出变化的结果。
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1 Sergei Sarkissian,Michael J.Schill.Are there Permanent Valuation Gains to Overseas Listing?.Review of Financial Studies,2009,22(1):371-412.
2 陈昀,王韬.西方企业国际双重上市研究评介及其启示.外国经济与管理,2006,28(6):42-48。
3 G Andrew Karolyi.The World of Cross-listings and Cross-listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):99-152.
1 黄雄.证券“打非”新动向——警惕境外上市陷阱.上海证券报,2008年1月28日.
1 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
2 Sergei Sarkissian,Michael J.Schill.The Cost of Capital Effects of Overseas Listings:Market Sequencing and Selection.McGill University Working Paper,Canada,fisher.osu.edu,July 25,2003.
3 Michacl R.King,Usha R.Mittoo.What Companies Need to Know About International Cross-Listing? Journal of Applied Corporate Finance,2007,19(4):10-24.
1 Vihang R.Errunza,Darius P.Millet.Valuation Effects of Seasoned Global Equity Offerings.Journal of Banking &Finance,2003,27:1611-1623.
2 Michael R.King,Usha R.Mittoo.What Companies Need to Know About International Cross-Listing? Journal of Applied Corporate Finance,2007,19(4):10-24.
3 R.C.Stapleton,M.G Subrahmanyam.Market Imperfections,Capital Market Equilibrium and Corporate Finance.Journal of Finance,1977,32:307-319.
1 Vihang Errunza,Etienne Losq.International Asset Pricing under Mild Segmentation:Theory and Test.The Journal of Finance,1985,40(1):105-124.
2 Gordon J.Alexander,Cheol S.Eun,S.Janakiramanan.Asset Pricing and Dual Listing on Foreign Capital Markets:A Note.The Journal of Finance,1987,42(1):151-158.
1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
1 Gordon J.Alexander,Cheol S.Eun,S.Janakiramanan.International Listings and Stock Returns:Some Empirical Evidence.The Journal of Financial and Quantitative Analysis,1988,23(2):135-151.
2 Mittoo,Usha.Additional Evidence on Integration in the Canadian Stock Market.Journal of Finance,1992,47(5):2035-2054.
3 Stephen R.Foerster,G.Andrew Karolyi.International Listing of Stocks:The Case of Canada and the U.S.Journal of International Business Studies,1993,24(40):763-784.
4 John Doukas,Lorne N.Switzer.Common Stock Returns and International Listing Announcements:Conditional Tests of the Mild Segmentation Hypothesis.Journal of Banking and Finance,2000,24(3):471-501.
5 Ana Paula Serra.Dual-listings on International Exchanges:the Case of Emerging Markets' Stocks.European Financial Management,1999,5(2):165-202.
6 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
7 这一结论与上述 Foerster和Karolyi(1993)的结论相符。
8 Stephen R.Foerster,G.Andrew Karolyi.The Long-Run Performance of Global Equity Offerings.The Journal of Financial and OuantitativeAnalvsis,2000,35(4):499-528.
1 Rene M.Stulz.Globalization of Equity Markets and the Cost of Capital.Journal of Applied Corporate Finance,1999,12(3):1-12.
2 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
3 John S.Howe,Kathryn Kelm.The Stock Price Impacts of Overseas Listings.Financial Management,1987,16(3):51-56.
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5 Insup Lee.Dual Listings and Shareholders' Wealth:Evidence from UK and Japanese Firms.Journal of Business Finance and Accounting,1992,19:243-252.
6 John S.Howe,Jeff Madura.The Impact of International Listings on Risk Implications for Capital Market Integration.Journal of Banking and Finance,1990,14(6):1133-1142.
7 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
1 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Illiquidity on Asset Prices:Evidence from Foreign Stocks Listing in the U.S..Dice Center for Research in Financial Economics Working Paper,No.96-6,1996,Available at SSRN:http://ssrn.com/abstract=1006.
2 Vihang R.Errunza,Darius E Miller.Market Segmentation and the Cost of Capital in International Equity Markets.Journal of Financial and Quantitative Analysis,2000,35(4):577-600.
3 沈红波.市场分割、跨境上市与预期资本成本——来自Ohlson-Juettner模型的经验证据.金融研究,2007(2):146-155.
1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
2 Rene M.Stulz,Globalization of Equity Markets and the Cost of Capital.Journal of Applied Corporate Finance,1999,12(3):1-12.
3 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
4 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Illiquidity on Asset Prices:Evidence from Foreign Stocks Listing in the U.S..Dice Center for Research in Financial Economics Working Paper,No.96-6,1996,Available at SSRN:http://ssrn.com/abstract=1006.
5 这是解释交叉上市的另外两个理论假说:投资者认知假说和流动性假说,在本章随后的两节(1.3和1.4)中进行分析。
6 Sarkissian S.and M.J.Schill.The Overseas Listing Decision:New Evidence of Proximity Preference.Review of Financial Studies.2004.17(3):769-809
7 各种相似的解释除了本章分析的四个理论假说外,可以参考潘越,《中国公司双重上市行为研究》,北京大学出版社,2007年4月,第一版。
8 Doidge,Craig,G Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More?.Journal of Financial Economics,2004,71:205-238.
9 G.Andrew Karolyi.The World of Cross-listings and Cross-listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):99-152.
10 市场分割/整合的研究是金融领域长期研究的一大热点与难点。
1 Mehdi Sadeghi.Dual-Listing of Australian Shares on the New Zealand Stock Market.Paper provided by Macquarie University,Department of Economics in its series Research Papers with number 0104,Available at http://www.econ.mq.edu.au/research/2001/4-2001_May01.pdf.
2 Vihang R.Errunza,Darius P.Miller.Valuation Effects of Seasoned Global Equity Offerings.Journal of Banking &Finance,2003,27:1611-1623.
3 G.Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):99-152.
4 关于境内外交叉上市是否能够降低资本成本,目前西方学术界尚未形成定论。详细内容在第二章中进行了综述。
5 Yakov Amihud,Haim Mendelson.Asset Pricing and the Bid-ask Spread.Journal of Financial Economics,1986,17(2):223-249.
6 同5.
7 同5.
1 Yakov Amihud,Haim Mendelson.Asset Pricing and the Bid-ask Spread.Journal of Financial Economics,1986,17(2):223-249..
2 Kyle,Albert S.Continuous Auctions and Insider Trading.Econometrica,1985,53:1315-1335.
3 Anat Admati,Paul Pfleiderer.A Theory of Intraday Patterns:and Price Variability.Review of Financial Studies,1988,1:3-40.
4 Marco Pagano.Trading and Asset Liquidity.Quarterly Journal of Economics,1989,104:255-274.
5 Bhagwan Chowdhry,Vikram Nanda.Multimarket Trading and Market Liquidity.Review of Financial Studies,1991,4:483-511.
6 同2.
7 同3.
8 同5.
9 Ian Domowitz,Jack Glen,Ananth Madhavan.International Cross-listing and Order Flow Migration:Evidence from an Emerging Market.Journal of Finance,1998,53(6):2001-2027.
1 Bhagwan Chowdhry,Vikram Nanda.Multimarket Trading and Market Liquidity.Review of Financial Studies,1991,4:483-511.
2 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
3 Kyle,Albert S.Continuous Auctions and Insider Trading.Econometrica,1985,53:1315-1335.
4 Marco Pagano.Trading and Asset Liquidity.Quarterly Journal of Economics,1989,104:255-274.
5 同1.
6 Ian Domowitz,Jack Glen,Ananth Madhavan.International Cross-listing and Order Flow Migration:Evidence from an Emerging Market.Journal of Finance,1998,53(6):2001-2027.
7 同2.
8 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
Stephen R.Foerster,G.Andrew Karolyi.Multimarket Trading and Liquidity:A Transaction Data Analysis of Canada-U.S.Interlistings.Journal of International Financial Markets,Institutions and Money,1998,8(3-4):393-412.
2 Seha M.Tinic,Richard R.West.Marketability of Common Stocks in Canada and the U.S.:A Comparison of Agent Versus Dealer Dominated Markets.The Journal of Finance,1974,29(3):729-746.
3 Barclay,M.,R.Litzenberger,J.Warner.Private Information,Trading and Stock-return Variances.Review of Financial Studies,1990,3:233-253.
4 Stephen R.Foerster,G.Andrew Karolyi.International Listing of Stocks:The Case of Canada and the U.S.Journal of International Business Studies,1993,24(4):763-784.
同1.
5 G.Noronha,A.Sarin,S.Saudagaran.Testing for Liquidity Effects of International Dual Listings Using lntraday Data.Journal of Banking and Finance,1996,20(6):965-983.
6 Werner,I.,A.Kleidon.U.S.and U.K.Trading of British Cross-listed Stocks:An Intraday Analysis of Market Integration.Review of Financial Studies,1996,9:619-664.
7 Katherine Smith,George Sofianos.The Impact of an NYSE Listing on the Global Trading of Non-U.S.Stocks.1997,Working paper 97-02,NYSE.
8 Hargis,K.ADRs in Emerging Equity Markets:Market Integration or Fragmentation.University of South Carolina working paper,1997.
9 Usha R.Mittoo.Globalization and the Value of US Listing:Revisiting Canadian Evidence.Journal of Banking and Finance,2003,27(9):1629-1661.
10 Ian Domowitz,Jack Glen,Ananth Madhavan.International Cross-listing and Order Flow Migration:Evidence from an Emerging Market.Journal of Finance,1998,53(6):2001-2027.
11 Jeffrey Michael Bacidore.The Impact of Decimalization on Market Quality:An Empirical Investigation of the Toronto Stock Exchange.Journal of Financial Intermediation,1997,6(2):92-120.
12 David C.Porter,Daniel G.Weaver.Tick Size and Market Quality.Financial Management,1997,26(4):5-26.
13 Hee-Joon Ahn,Charles Q.Cao,Hyuk Choe.Decimalization and Competition among Stock Markets:Evidence from the Toronto Stock Exchange Cross-listed Securities.Journal of Financial Markets,1998,1(1):51-87.
14 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
1 Lin Guo,Liang Tang.Cost of Capital and Liquidity of Cross-Listed Chinese Companies.Accepted for Financial Management Association,2006,Salt Lake City.Available at http://www.fma.org/SLC/Papers/CrossListing-GuoTang.pdf.
2 Pulatkonak,Melek,George Sofianos.The Distribution of Global Trading in NYSE-listed Non- U.S.Stocks.1999,Working paper 99-03,NYSE.
3 Usha R.Mittoo.Cross-Country Listing and Trading Volume:Evidence from the Toronto and Vancouver Stock Exchanges.Journal of International Financial Management and Accounting,1997,8(3):147-174.
4 一些实证研究以上市前后股票换手率作为流动性的衡量指标,股票换手率越高,市场流动性越强。例如,Foerster 和Karolyi(2000)在研究全球股权发行的长期绩效过程中发现,非美国公司在美国市场招股以后的市场表现与该公司ADR市场的换手率正相关,这说明美国市场较高的潜在流动性是影响公司长期市场绩效的重要因素。
5 同3.
1 Shmuel Baruch,G.Andrew Karolyi,Michael L.Lemmon.Multimarket Trading and Liquidity:Theory and Evidence.The Journal of Finance,2007,62(5):2169-2200.
2 Sanjiv Sabherwal.The U.S.Share of Trading in Cross-Listings:Evidence from Canadian Stocks.The Financial Review,2007,42(1):23-51.
3 同2.
4 Michael Halling,Marco Pagano,Otto Randl,Josef Zechner.Where Is the Market? Evidence from Cross-Listings in the United States.Review of Financial Studies,2008,21(2):725-761.
1 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
2 同1.
3 同1.
1 事实上,最初对投资者认知假说进行理论检验的是Kadlec和McConnell(Gregory B.Kadlec,John J.McConnell.Investor Base,Cost of Capital,and New Listings on the NYSE.Journal of Applied Corporate Finance,1995,8(1):59-64.)。他们根据Merton(1987)的模型,利用影子成本的变化计量投资者认知的变动。但是由于他们检验的是273家美国OTC公司在NYSE首次挂牌交易是如何引起股东人数增加,进而降低资本成本的,不属于本文交叉上市的资本成本效应研究范畴,故不在此进行分析。
2 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
3 Gregory B.Kadlec,John J.McConnell.The Effect of Market Segmentation and Illiquidity on Asset Prices:Evidence from Exchange Listings.The Journal of Finance,1994,49(2):611-636.
4 Stephen R.Foerster,G.Andrew Karolyi,The Effects of Market Segmentation and Illiquidity on Asset Prices:Evidence from Foreign Stocks Listing in the U.S..Dice Center for Research in Financial Economics Working Paper,No.96-6,1996,Available at SSRN:http://ssrn.com/abstract=1006.
5 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
6 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
7 同2.
8 同6.
1 John J.McConnell,Heidi J.Dybevik,David Haushalter,Erik Lie.A Survey of Evidence on Domestic and International Stock Exchange Listings with Implications for Markets and Managers.Pacific-Basin Finance Journal,1996,4(4):347-376.
2 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
3 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
4 同1.
5 同2.
6 同3.
7 Fanto,James A.,Roberta S.Karmel.A Report on the Attitudes of Foreign Companies Regarding a U.S.Listing.Stanford Journal of Law,Business,and Finance,1997,3:37-58.
8 Hali J.Edison,Francis E.Warnock.U.S.Investors' Emerging Market Equity Portfolios:A Security-Level Analysis.Review of Economics and Statistics,2004,86(3):691-704.
9 Citibank Report(July 2001) by Michael Chafkin on “U.S.Investment in Non-U.S.Equities”,available at http://wwss.citissb.com/adr/www/adr_info/chaf.pdf.
10 Utama,Siddharta,William M.Cready.Institutional Ownership,Differential Predisclosure Precision And Trading At Announcement Dates.Journal of Accounting and Economics,1997,24(2):129-150.
1 Stulz,R M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
2 Hotchkiss,Edith S.,Deon Strickland.Does Shareholder Composition Matter? Evidence from the Market Reaction to Corporate Earnings.Journal of Finance,2003,58(4):1469-1498.
3 Mark T.Bradshaw,Brian J.Bushee,Gregory S.Miller.Accounting Choice,Home Bias and U.S.Investment in Non-U.S.Firms.Journal of Accounting Research,2004,42(5):795-841.
4 Michael R.King,Dan Segal.The Long-Term Effects of Cross-Listing,Investor Recognition,and Ownership Structure on Valuation.Paper provided by Bank of Canada in its series Working Papers with number 06-44,2006,EFA 2007Ljubljana Meetings Paper,Available at SSRN:http://ssrn.com/abstract=924585.Review of Financial Studies,RFS Advance Access published online on May 13,2008,doi:10.1093/rfs/hhn050.
5 Stephen R.Foerster,G.Andrew Karolyi.The Effects of Market Segmentation and Investor Recognition on Asset Prices:Evidence from Foreign Stocks Listing in the United States.The Journal of Finance,1999,54(3):981-1013.
6 H.Kent Baker,John R.Nofsinger,Daniel G.Weaver.International Cross-listing and Visibility.The Journal of Financial and Quantitative Analysis,2002,37(3):495-521.
7 同4.
8 同6.
9 Bailey,W.,Y.P.Chung,J.Kang.Foreign Ownership Restrictions and Equity Price Premiums:What Drives the Demand for Cross-border Investments?.Journal of Financial and Quantitative Analysis,1999,34(4):489-511.
1 H.Kent Baker,John R.Nofsinger,Daniel G.Weaver.International Cross-listing and Visibility.The Journal of Financial and Quantitative Analysis,2002,37(3):495-521.
2 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
3 Mark H.Lang,Karl V.Lins,Darius P.Miller.Concentrated Control,Analyst Following and Valuation:Do Analysts Matter Most When Investors Are Protected Least?.Journal of Accounting Research,2004,42(3):589-623.
4 同3.
5 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
1 Warren Bailey,G.Andrew Karolyi,Carolina Salva.The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings.Journal of Financial Economics,2006,81(1):175-213.
2 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
3 Brian J.Bushee,Gregory S.Miller.Investor Relations,Firm Visibility,and Investor Following.Working paper,University of Pennsylvania and Harvard University,2005,available at SSRN:http://ssrn.com/abstract=643223.
4 Sanjiv Sabherwal.The U.S.Share of Trading in Cross-Listings:Evidence from Canadian Stocks.The Financial Review,2007,42(1):23-51.
5 同4.
6 Sabherwal(2007)的详尽结论,请参见本章“1.3.3.2”中相关内容。
7 Robert C.Merton.A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,1987,42(3):483-510.
1 Salvatore Cantale.The Choice of a Foreign Market as a Signal.1996,Tulane University working paper.
2 Alberto Moel.The Role of Information Disclosure on Stock Market Listing Decisions:The Case of Foreign Firms Listing in the U.S.Harvard Business School working paper,1999.
3 本文在本章第一节(1.1)中已经明确指出只对交叉上市的重要而经典的四个理论假说,即市场分割假说、流动性假说、投资者认知假说和绑定假说,进行分析,至于交叉上市增加公司价值的其他一些假说,可参见潘越,《中国公司双重上市行为研究》,北京大学出版社,2007年4月,第一版。
4 关于这里的Bonding一词,国内学者有不同的翻译,例如约束、捆绑等。本文认为翻译为绑定更为形象、生动。
5 John C.Coffee,Jr.The Future as History:the Prospects for Global Convergence in Corporate Governance and its Implications.Northwestern University Law Review,1999,93:641-708.
John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
6 Stulz,Rene M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
1 同1.
2 同2.
3 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
4 Miller主要研究时点是交叉上市决策公告日而非实际上市日。公告日显然在理论上是更为适合的日期,因为市场对公司预期改善信息会做出反应,而且通常在公告和实际上市之间会有一段时间的延迟。
5 John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
1 Rafael La Porta,Florencio Lopez-de-Silanes,Andrei Shleifer,Robert Vishny.Investor Protection and Corporate Governance.Journal of Financial Economics,2000,58(1-2):3-27.
2 Davide Lombardo,Marco Pagano.Law and Equity Markets:A Simple Model.Published in Corporate Governance Regimes:Convergence and diversity edited by Joe McCahery,Pieter Moerland,Theo Raaijmakers,Luc Renneboog.Oxford University Press,2002:343-362.
3 John C.Coffee,Jr.The Future as History:the Prospects for Global Convergence in Corporate Governance and its Implications.Northwestern University Law Review,1999,93:641-708.
John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
4 Stulz.Rene M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
5 Reese,W.,M.Weisbach.Protection of Minority Shareholder Interests,Cross-listings in the United States,and Subsequent Equity Offerings.Journal of Financial Economics,2002,66(1):65-104.
6 John C.Coffee,Jr.The Future as History:the Prospects for Global Convergence in Corporate Governance and its Implications.Northwestern University Law Review,1999,93:641-708.
John C.Coffee,Jr.Racing Towards the Top?:The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance.Columbia Law Review,2002,102(7):1757-1831.
1 Stulz,Rene M.Globalization,Corporate Finance,and the Cost of Capital.Journal of Applied Corporate Finance,1999,12:8-25.
2 同1.
3 Doidge,Craig,G.Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More? Journal of Financial Economics.2004.71(2):205-238.
4 同1.
5 投资者保护程度可以通过计算控制权私利加以衡量,Nenova(2003),Doidge(2004)以及Dyck和Zingales(2004)等人的研究弥补了Reese和Weisbach(2002)以及Doidge等人(2004)在实证检验思路上的不足,他们采用不同的方法对大股东控制权私利进行具体度量,以证明到投资者保护强的国家交叉上市确实可以降低控制权私利。Benos 和Weisbach(2004)对控制权私利与在美国交叉上市进行了文献综述。但是这些文献并未涉及对交叉上市的资本成本效应,故不属于本文分析范畴。
6 Doidge,Craig,G.Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More? Journal of Financial Economics,2004,71(2):205-238.
1 肖珉.跨地上市与权益资本成本——来自含H股的A股公司的证据.中国经济问题,2006(4):62-70。
2 同2.
3 肖珉,沈艺峰.跨地上市公司具有较低的权益资本成本吗?.金融研究,2008(10):93-103。
4 Arthur Levitt.The Importance of High Quality Accounting Standards.Accounting Horizons.1998,12(1):79-82.
5 Salvatore Cantale.The Choice of a Foreign Market as a Signal.1996,Tulane University working paper.
6 Alberto Moel.The Role of Information Disclosure on Stock Market Listing Decisions.1998,Harvard University working paper.
7 Oren Fuerst.A Theoretical Analysis of the Investor Protection Regulations Argument for Global Listing of Stocks.1998,Yale University working paper.
1 Steven Huddart,John S.Hughes,Markus K Brunnermeier.Disclosure Requirements and Stock Exchange Listing:Choice in an International Context.Journal of Accounting and Economics,1999,26(1-3):237-269.
2 H.Kent Baker,John R.Nofsinger,Daniel G.Weaver.International Cross-listing and Visibility.The Journal of Financial and Quantitative Analysis,2002,37(3):495-521.
3 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
Mark H.Lang,Karl V.Lins,Darius P.Miller.Concentrated Control,Analyst Following and Valuation:Do Analysts Matter Most When Investors Are Protected Least?.Journal of Accounting Research,2004,42(3):589-623.
4 这方面的研究详见本章“1.4.2.2”。
5 Warren Bailey,G.Andrew Karolyi,Carolina Salva.The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings.Journal of Financial Economics,2006,81(1):175-213.
6卢文莹.跨境上市与公司治理相关性研究.上海证券交易所研究报告,2003.
7 Mark H.Lang,Karl V.Lins,Darius P.Miller.ADRs,Analysts and Accuracy:Does Cross-listing in the U.S.Improve a Firm's Information Environment and Increase Market Value?.Journal of Accounting Research,2003,41(2):317-345.
8 Heibatollah Sami,Haiyan Zhou.The Economic Consequences of Increased Disclosure Evidence from Cross Listings of Chinese Firms.Journal of International Financial Management and Accounting,2008,19(1):1-27.
9 Ole-Kristian Hope,Tony Kang,Yoonseok Zang.Bonding to the Improved Disclosure Environment in the United States:Firms' Listing Choices and their Capital Market Consequences.2005,University of Toronto Working Paper.Journal of Contemporary Accounting and Economics,2007,3(1),Available at SSRN:http://ssm.com/abstract=948670.
1 Mar.P,Michael N Young.Corporate Governance in Transition Economies:a Case Study of Two Chinese Airlines.Journal of World Business,2001,36(3):280-302.
2 Luzi Hail,Christian Leuz.International Differences in the Cost of Equity Capital:Do Legal Institutions and Securities Regulation Matter? Journal of Accounting Research,2006,44(3):485-531.
3 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI-Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
4 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
5 Doidge,Craig,G.Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More? Journal of Financial Economics,2004,71(2):205-238.
6 Hail和Leuz(2006)的这一研究结论详见本论文“2.2.3”中相关内容,他们与前文Miller(1999)和Doidge等人(2004)均发现,与OTC上市和私募相比较,在美国主要交易所上市会面临更严格的投资者保护和信息披露,从而权益资本成本降低更为显著。
7前文已述,Reese和Weisbach(2002)发现来自投资者保护程度较差国家的公司在美国上市后,其后续融资通常不是在美国市场,而是较多地是回到本国市场进行。我国公司的做法正符合这一结论,从境外市场回归国内市场上市。但是,“外资股折价”现象确实与国际市场上交叉上市的利益不符,这一点在本文第三章“3.3.4”的分 析论证。
1 Sun,Q.,W.Tong,Y.Wu.The Choice of Foreign Primary Listing:China's Share-issue Privatization Experience[C].Institute for Financial and Accounting Studies,Xiamen University,2006,working paper.
2 沈红波,廖理,廖冠民.境外上市、投资者保护与企业溢价.财贸经济,2008(9):40-45。
3 Michael R.King,Dan Segal.International Cross-Listing and the Bonding Hypothesis.Bank of Canada Working Paper,2004,No.2004-17.
4 Siegel,J.Can Foreign Firms Bond themselves Effectively by Renting U.S.Securities Laws? Journal of Financial Economics,2005,75(2):319-359.
5 Siegel的这篇文章早在2002年8月就已经完稿,只是在2005年才在Journal of Financial Economics上发表,因此,他比King和Segal更早就声誉绑定问题进行了系统研究。
1 同1.
2 同1.
3 James A.Fanto.The Absence of Cross-cultural Communication:SEC Mandatory Disclosure and Foreign Corporate Governance.Journal of International Law and Business,1996,17:119-207.
4 MacNeil,Iain.Competition and Convergence in Corporate Regulation:The Case of Overseas Listed Companies.University of Aberdeen working paper,2001,Available at SSRN:http://ssrn.com/abstract=278508 or DOI:10.2139/ssrn.278508.
5 Rafael La Porta,Florencio Lopez-de-Silanes,Andrei Shleifer,Robert Vishny.Investor Protection and Corporate Governance.Journal of Financial Economics,2000,58(1-2):3-27.
6 Christian Leuz.Discussion of ADRs,Analysts,and Accuracy:Does Cross-listing in the United States Improve a Firm's Information Environment and Increase Market Value? Journal of Accounting Research,2003,41(2):347-362.
7 Amir N.Licht.Managerial Opportunism and Foreign Listing:Some Direct Evidence.University of Pennsylvania Journal of International Economic Law,2001,22:325-347.
Amir N.Licht.Cross-Listing and Corporate Governance:Bonding or Avoiding?.Chicago Journal of International Law,2003,4(1):141-163.
8 同1.
1 Laixiang Sun,Damian Tobin.International Listing as a Mechanism of Commitment to More Credible Corporate Governance Practices:the Case of the Bank of China(Hong Kong).Corporate Governance:An International Review,2005,13(1):81-91.
2 Dariusz Wojcik,Gordon L Clark,Rob Bauer.Corporate Governance and Cross-listing:Evidence from European Companies.2004,working paper,http://papers.ssm.com/paper.taf?abstmct_id=593364.
3 同4.
4 Larry E.Ribstein.Cross-listing and Regulatory Competition.Review of Law and Economics,2005,1(1):97-148.
1 Gordon J.Alexander,Cheol S.Eun,S.Janakiramanan.International Listings and Stock Returns:Some Empirical Evidence.The Journal of Financial and Quantitative Analysis,1988,23(2):135-151.
2 Cheol S.Eun,Stijn Claessens,Kwang W.Jun.International Trade of Assets,Pricing Externalities,and the Cost of Capital.in:"Portfolio Investment in Developing Country".World Bank Discussion Papers,1993,287-298.
3 Stephen R.Foerster,G.Andrew Karolyi.International Listing of Stocks:The Case of Canada and the U.S.Journal of International Business Studies,1993,24(4):763-784.
4 Stephen R.Foerster,G.Andrew Karolyi,The Effects of Market Segmentation and Illiquidity on Asset Prices:Evidence from Foreign Stocks Listing in the U.S..Dice Center for Research in Financial Economics Working Paper,No.96-6, 1996,Available at SSRN:http://ssrn.com/abstract=1006.
1 John Doukas,Lorne N.Switzer.Common Stock Returns and International Listing Announcements:Conditional Tests of the Mild Segmentation Hypothesis.Journal of Banking and Finance,2000,24(3):471-501.
2 Vihang R.Errunza,Darius P.Miller.Market Segmentation and the Cost of Capital in International Equity Markets.Journal of Financial and Quantitative Analysis,2000,35(4):577-600.
3 Narayanan Jayaraman,Kuldeep Shastri,Kishore Tandon.The Impact of International Cross Listings on Risk and Return:the Evidence from American Depository Receipts.Journal of Banking and Finance,1993,17(1):91-103.
4 Domowitz,Ian,Glen,Jack,Madhavan,Ananth.International Cross-Listing and Order Flow Migration:Evidence from an Emerging Market.The Journal of Finance,1998,53(6):2001-2027.
5 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,1999,51(1):103-123.
6 Torabzadeh,K.W.Bertin,T.Zivney.Valuation Effects of International Listings.Global Finance Journal,1992,3:159-170.
7 Damodaran,A.,C.Liu,W.Van Harlow.The Effects of International Dual Listings on Stock Price Behavior.1993,New York University Working Paper.
8 Oscar Varela,Sang H.Lee.The Combined Effects of International Listing on the Security Market Line and Systematic Risk for US Listings on The London and Tokyo Stock Exchanges.in International Financial Market Integration,S.Stansell(ed.),Blackwell Publishers,Cambridge MA,1993,367-388.
9 John S.Howe,Kathryn Kelm.The Stock Price Impacts of Overseas Listings.Financial Management,1987,16(3):51-56.
10 Sie Ting Lau,David Diltz,Vincent Apilado.Valuation Effects of International Stock Exchange Listings.Journal of Banking and Finance.1994,18:743-755.
11 Insup Lee.Dual Listings and Shareholders' Wealth:Evidence from UK and Japanese Firms.Journal of Business Finance and Accounting,1992,19:243-252.
12 Richard Podpiera.International Cross-Listing:The Effects of Market Fragmentation and Information Flows.CERGE-EI Working Paper No.173.2001,Available at SSRN:http://ssrn.com/abstract=-273999.
1 G Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
2 John S.Howe,Kathryn Kelm.The Stock Price Impacts of Overseas Listings.Financial Management,1987,16(3):51-56.
3 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI- Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
4 同1.
5 G Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):1-99.
6 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI- Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
7 Kees G.Koedijk,Clemens J.M.Kool,Peter C.Schotman,Mathijs A.van Dijk.The Cost of Capital in International Financial Markets:Local or Global? Journal of International Money and Finance,2001,21:905-929.
8 Kees G.Koedijk,Mathijs A.van Dijk.The Cost of Capital of Cross-listed Firms.European Financial Management, 2004,10(3):465-486.
1 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
2 G.Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):1-99.
3 G.Andrew Karolyi.Sourcing Equity Internationally with Depositary Receipt Offering:Two Exceptions that Prove the Rule.Journal of Applied Corporate Finance,1998,10:90-99.
4 Vihang R.Errunza,Darius P.Miller.Market Segmentation and the Cost of Capital in International Equity Markets.Journal of Financial and Quantitative Analysis,2000,35(4):577-600.
1 这里需要解释的是,他们提出的多样化是指ADR替代资产的可获得性。也就是说,非美国公司在美国上市发行ADR,如果美国投资者能够在本国市场上获取可以替代ADR的证券,则减少了ADR公司多样化的潜力,公司资本成本降低,反之,如果无法找到替代ADR的证券来获得和投资ADR相同的收益,则必须通过提高要求报酬率(资本成本)来反映其多样化的潜力。
2 G.Andrew Karolyi.The World of Cross-Listings and Cross-Listings of the World:Challenging Conventional Wisdom.Review of Finance,2006,10(1):1-99.
1 Jayaraman,N.,K.Shastri,K.Tandon.The Impact of International Cross Listings on Risk and Return:Evidence from American Depositary Receipts.Journal of Banking and Finance,1993,17:91-103.
2 Stephen R.Foerster,G.Andrew Karolyi.International Listings of Stocks:The Case of Canada and the U.S.Journal of International Business Studies,1993,24:763-784.
3 Urias,M.The Impact of Security Cross-listing on the Cost of Capital in Emerging Markets.1994,Stanford University working paper.
Urias,M.The Impact of ADR Programs on Emerging Stock Market Risk.1996,Stanford University working paper.
4 Stephen R.Foerster,G.Andrew Karolyi,The Effects of Market Segmentation and Illiquidity on Asset Prices-Evidence from Foreign Stocks Listing in the U.S.Dice Center for Research in Financial Economics Working Paper,No.96-6,1996,Available at SSRN:http://ssrn.com/abstract=1006.
5 Darius P.Miller.Why Do Foreign Firms List in the United States?:An Empirical Analysis of the Depositary Receipt Market.Journal of Financial Economics,1996,51:103-123.
6 Bernard Dumas,Bruno Solnik.The World Price of Foreign Exchange Risk.The Journal of Finance,1995,50(2):445-479.
7 同4.
8 G.Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
9 Jorion和Schwartz(1986),Howe和Kelm(1987),Mittoo(1992),Rothman(1995),Foerster和Karolyi(1996)均采用此模型。
1 Karolyi的这一研究结论堪称交叉上市的资本成本效应研究之经典,很多学者在随后的研究中纷纷引用他的这些研究成果。
2 John S.Howe,Jeff Madura.The Impact of International Listings on Risk:Implications for Capital Market Integration.Journal of Banking and Finance,1990,14(6):1133-1142.
3 Karolyi(1998)曾总结,Torazadeh等人(1992),Damodaran等人(1992),Lau等人(1994)使用在伦敦和东京上市的更多美国股票验证了相似的结论。通过这些研究,很难计量交叉上市对权益成本的净影响。
1 Khalil M.Torabzadeh,William J.Berlin,Terry L.Zivney Maxon.Valuation Effects of International Listings.Global Finance Journal,1992,3(2):159-170.
2 Oscar Varela,Sang H.Lee.The Combined Effects of International Listing on the Security Market Line and Systematic Risk for US Listings on The London and Tokyo Stock Exchanges.in International Financial Market Integration,S.Stansell(ed.),Blackwell Publishers,Cambridge MA,1993,367-388.
3 F.K.Reily,D.J.Wright,T.Wakasugi.A Dual Oversees Listing:The Impact on Returns,Risk,and Trading Volume,unpublished paper,presented at the Financial Management Association meeting,October 1990,cited in Oscar Varela and Sang H.Lee,The Combined Effects of International Listing on the Security Market Line and Systematic Risk for US Listings on the London and Tokyo Stock Exchanges,in Stanley R.Stansell,ed.,International Financial Market Integration,1993,369.
4 Sie Ting Lau,David Diltz,Vincent Apilado.Valuation Effects of International Stock Exchange Listings.Journal of Banking and Finance,1994,18(4):743-755.
5 Rothman,M.The International Dual-listing of Stocks and Tests of Capital Market Segmentation.1995,University of Chicago Working Paper.
6 Sundaram,A.,D.Logue.Valuation Effects of Foreign Company Listing on U.S.Exchanges.Journal of International Business Studies,1996,27:67-88.
7 Fama,E.,K.French.Size and Book-to-Market Factors in Earnings and Returns.The Journal of Finance,1995,50:131-155.
1 Luzi Hail,Chritian Leuz.Cost of Capital Effects and Changes in Growth Expectations around U.S.Cross-Listings.October 2006,ECGI- Finance Working Paper,No.46/2004,Available at SSRN:http://ssrn.com/abstract=938230.
2 James A.Ohlson.Earnings,Book Values,and Dividends in Equity Valuation.Contemporary Accounting Research,1995,11(2):661-687.
3 James A.Ohlson,Beate Juettner-Nauroth.Expected EPS and EPS Growth as Determinants of Value.Review of Accounting Studies,2005,10:349-365.
4 Darius P.Miller.The Market Reaction to International Cross-listings:Evidence from Depositary Receipts.Journal of Financial Economics,January 1999,51(1):103-123.
5 Doidge,Craig,G Andrew Karolyi,Rene M.Stulz.Why are Foreign Firms Listed in the U.S.Worth More?.Journal of Financial Economics,2004,71:205-238.
6 沈红波,廖理,廖冠民.境外上市、投资者保护与企业溢价.财贸经济,2008(9):40-45。
1 Heibatollah Sami,Haiyan Zhou.The Economic Consequences of Increased Disclosure Evidence from Cross Listings of Chinese Firms.Journal of International Financial Management and Accounting,2008,19(1):1-27.
2 William R.Gebhardt,Charles M.C.Lee,Bhaskaran Swaminathan.Toward an Implied Cost of Capital.Journal of Accounting Research,2001,39(1):135-176.
3 沈红波.市场分割、跨境上市与预期资本成本——来自Ohlson-Juettner模型的经验证据.金融研究,2007(2):146-155。
4 James A.Ohlson,Beate Juettner-Nauroth.Expected EPS and EPS Growth as Determinants of Value.Review of Accounting Studies,2005,10:349-365.
5 肖珉,沈艺峰.跨地上市公司具有较低的权益资本成本吗?金融研究,2008(10):93-103。
6 作者在文中说明,“在香港发行H股上市后又返回大陆发行A股上市的29家公司中,吉林化工无法获得完整的财务数据用于回归分析,故此处含H股的A股公司的样本减少为28个。”吉林化工于2006年退市。
7 同2.
1 前面已经提到,沈红波、肖珉等学者样本选取均是2004年以前在A+H交叉上市的公司,样本量只有20多个。
2 William R.Gebhardt,Charles M.C.Lee,Bhaskaran Swaminathan.Toward an Implied Cost of Capital.Journal of Accounting Research,2001,39(1):135-176.
3 James A.Ohlson,Beate Juettner-Nauroth.Expected EPS and EPS Growth as Determinants of Value.Review of Accounting Studies,2005,10:349-365.
4 Heibatollah Sami,Haiyan Zhou.The Economic Consequences of Increased Disclosure Evidence from Cross Listings of Chinese Firms.Journal of International Financial Management and Accounting,2008,19(1):1-27.
1 关于这一点,主要是基于CAPM的严格假设,本文在第四章中会对这个问题进行分析。
##属性不符
1 蒋玉娟.中国企业境外上市问题研究——来自问题公司的启示.西南财经大学2006届硕士毕业论文。
2 罗飞飞.境外上市对国有企业经营绩效影响的研究.2006届对外经贸大学博士毕业论文。
1 红筹股的概念界定在学界一直缺乏一致的定义,目前主要有三种观点:一是按照公司业务范围来划分;二是与红筹股的诞生历史有关;三是港交所按照权益多寡划分提出的定义,恒生指数服务公司编制的红筹股指数就是按照这一标准来划分红筹股的。
1 以上资料来自香港证交所网站www.hkex.com.hk,香港交易所市场资料(2008)。
2 以上数据根据香港证交所网站和清科公司报告整理得出。
3 数据来源:NYSE官方网站:www.nyse.com。
4 资料来自http://usstock.jrj.com.cn/。
5 NYSE中文网站:www.nyse.com/China。
6 《华尔街日报》,2004年9月20日。
1 数据来源:清科研究中心。
##属性不符
1 “先外后内”的上市顺序是我国公司交叉上市的最大特征,因此在这里分析我国公司交叉上市的发展历程主要回顾先在境外上市而后回归国内上市的历程。关于“先内后外”以及“内外同时”的上市顺序,在本章后面有相应的归纳总结。
2 上证联合研究计划第三期课题报告.境外上市企业国内融资机制研究.2001年。
1 下面数据是作者经过仔细研究国泰安数据库和万德数据库中海外上市方面的数据以及金融界网站(www.jrj.com.cn)、NYSE中文网站(www.nyse.com/China)等相关网站全面整理得到。
2 青岛啤酒除了A+H交叉上市外,还在美国粉单市场上市(上市代码:TSGTY),由于它并未在NYSE上市,故不属于这里讨论的三地上市范畴。
3 需要说明的是,在纽约证券交易所(NYSE)上市的46家中国公司中,也只有这11家实现A+N交叉上市,其余35家公司有些也在香港、伦敦等境外市场上市,但截至2008年底尚未回归A股。
4 其中的江西铜业和大唐发电除了A+H+L三地上市外,还在美国粉单市场上市(上市代码:JIXAY、BJCHF),由于它们并未在NYSE上市,故不属于这里讨论的四地上市范畴。
5 作者联系了国内多个数据库服务机构,并在相关网站进行仔细查询,均无法获得下述公司在伦敦证券交易所上市的具体时间。
1 上证联合研究计划第三期课题报告.境外上市企业国内融资机制研究.2001年。
2 数据来源:根据香港证券交易所网站相关数据计算。
1 沈红波.企业海外上市的动因分析.会计之友,2007,8(下):62-63.
2 Sun,Q.,W.Tong,Y.Wu.The Choice of Foreign Primary Listing:China's Share-issue Privatization Experience.Institute for Financial and Accounting Studies,Xiamen University,2006,working paper.
3 易宪榕,卢婷.国内企业海外上市对中国资本市场的影响.管理世界,2006,7:4-14+33+171.
4 王璐,胡汝银.创造良好市场环境,让红筹企业回归A股.上海证券报,http://news.cnfol.com/051219/101,1591,1601773,00.shtml.
5 上证联合研究计划第三期课题报告.境外上市企业国内融资机制研究.2001年。
1 崔远淼.中国企业境外上市动机及影响因素分析.投资研究,2004(5):10-12。
2 资料来源:里昂证券,《中国研究报告》,1996年8月,转引自刘研《中国企业海外上市问题研究》,《改革》,1997年第6期第41页。
3 1999年12月25日和2004年8月28日修正的《公司法》第85条、155条也对股份有限公司向境外公开募集股份以及股票境外上市作出相同的规定。
1 Eun,Cheol S.,Janakiramanan,S.A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership.Journal of Finance,1986,41(4):897-914.
2 Hietala,Pekka T.Asset Pricing in Partially Segmented Markets:Evidence from the Finnish Market.Journal of Finance,1989,44(3):697-718.
3 Warren Bailey,Julapa Jagtiani.Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market.Journal of Financial Economics,1994,36(1):57-87.
4 Rene M.Stulz,Walter Wasserfallen.Foreign Equity Investment Restrictions,Capital Flight,and Shareholder Wealth Maximization:Theory and Evidence.Review of Financial Studies,1995,8(4):1019-1057.
s Warren Bailey.Risk and Return on China's New Stock Markets:Some Preliminary Evidence.Pacific Basin Finance Journal,1994,22(2):243-260.
6 Qian Sun,Wilson H.Tong.The Effect of Market Segmentation on Stock Prices:The China Syndrome.Journal of Banking and Finance,2000,24(12):1875-1902.
7 John Fernald,John H.Rogers.Puzzles in the Chinese Stock Market.Review of Economics and Statistics,2002,84(3):416-432.
8 Li Jiang,Steven Shuye Wang.Location of Trade,Ownership Restrictions,and Market llliquidity:Examining Chinese A- and H-shares.Journal of Banking and Finance,2004,28(6):1273-1297.
9 Jianping Mei,Jose Scheinkman,Wei Xiong.Speculative Trading and Stock Prices:Evidence from Chinese A-B Share Premia.2005,New York University Finance Working Paper,FIN-03-017.
10 Warren Bailey,Y.Peter Chung,Jun-koo Kang.Foreign Ownership Restrictions and Equity Price Premiums:What Drives the Demand for Crtoss-Border Investments?.Journal of Financial and Quantitative Analysis,34,489-512.
11 少数年份出现过H股价格高于A股的情况,例如1994～1995年。
12 对海外上市利益的直接解释是当国内市场对股价低估而国外市场对股价高估的情况下,公司利用境外价格相对高的机会来进行海外融资。
13 国内一些学者认为大型优质国有企业海外上市折价,特别是发行价过低,会导致国有资产流失,并抑制国内市场的发展,因而反对国有企业海外上市。
1 数据缺失。
2 数据缺失。
1 2008年8月末,受金融危机影响最为严重的金融、建筑等板块的12只A+H股票出现负溢价。
2 AH股价比=A股价/H股价×汇率,2009年1月30日汇率为港元:人民币为100:88.127。
3 王维安,白娜.A股与H股价格差异的实证研究.华南金融研究,2004,(4):31-39。
4 刘昕.中国A、H股市场分割的根源分析.南开管理评论,2004,7(5):19-23。
5 李大伟,朱志军,陈金贤.H股相对于A股的折让研究.中国软科学,2004,(1):37-42。
6 吴世农,潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究.管理学报,2005(2):190-199。
7 韩德宗.A股和H股市场软分割因素研究——兼论推出QDII的步骤和时机.商业经济与管理,2006,(3):42-46。
8 吴战篪.解释与证据:基于估值理念差异下的A股与H股价差.2007,(6):16-23。
9 John Fernald,John H.Rogers.Puzzles in the Chinese Stock Market.Review of Economics and Statistics,2002,84(3):416-432.
1 汪平.财务理论(修订版).经济管理出版社,2008年6月。
2 辞海.上海:上海辞书出版社,1979,P1319.
3 汪丁丁.必要的疯狂.博客中国,2003年12月3日9时24分。http//www.blogchina.com/2003120318089.html。
4 本文发表在美国经济学会(American Economic Association)出版的《美国经济评论》(The American Economic Review)1958年6月号,P261-297。
1 新帕尔格雷夫货币金融大辞典(第一卷).北京:经济科学出版社,2000年7月,P470.
2 引自 Lawrence J.Gitman,Principles of Managerial Finance,6~(th) edition,p443.Harper Collins Publishers,1991.
3 Merton H.Miller,Franco Modigliani.Some Estimates of the Cost of Capital to the Electric Utility Industry,1954-57.The American Economic Review,1966,56(3):333-391.
4 中国注册会计师协会.财务成本管理.北京:经济科学出版社,2007.
5 汪平.财务理论(修订版).经济管理出版社,2008年6月。
6 保罗·萨谬尔森(Paul·A·Samuelson).微观经济学.第十七版,萧琛主译,人民邮电出版社,2004年1月,第一版。
7 N·格利高利·曼昆(N·Gregory·Mankiw).经济学原理《经济科学译从》编辑委员会译,机械工业出版社,2005年1月。
8 约翰·伊特韦尔,默里·米尔盖特,彼得·纽曼.新帕尔格雷夫经济学大辞典.中文版,第三卷,经济科学出版社,1996年12月,第一版。
1 汪丁丁.在经济学与哲学之间.中国社会科学出版社.1996年版.
2 宋琳.资本成本缺位与我国资本市场功能缺陷.2006届厦门大学博士论文。
3 朱武祥.资本成本理念及其在企业财务决策中的应用.投资研究,2000(1)。
4 从严格意义上讲,股东财富最大化并不能完全等同于企业价值最大化,二者在具体内涵、计量方式、利益主体等多方面存在差异。但是,对于这两种理财目标,中外学者与权威文献并未严格加以区分,一般认为,股东财富最大化与企业价值最大化是一致的。
1 此言的准确出处至今已无法准确考证,春秋战国年代的孔子、抑或是孟子、抑或是老子,曾对天下芸芸众生为利益所累做出精辟概括。西汉时期司马迁的《史记》的第一百二十九章“货值列传”中对这句话有所记载。
2 Milton Friedman.The Social Responsibility of Business Is to Increase Its Profits[N].New York Times Magazine,September 13,1970.
3 Andrei Shleifer,Robert W.Vishny.A Survey of Corporate Governance.Journal of Finance,1997,52(2):737-783.
3 汪平.财务理论(修订版).经济管理出版社,2008年6月。
1 肖耿.中国企业资本回报率之谜.南方周末,2006年9月21日,C23版。
2 汪平.财务理论(修订版).经济管理出版社,2008年6月。
1 准确地说,CAPM计量的是系统风险,这一点在下文中有详细阐述。
2 Sharpe,William F.Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk.Journal of Finance,1964,19(3):425-442.
3 Lintner,L.The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.Review of Economics and Statistics,1965,47:13-37.
4 Mossin,J.Equilibrium in a Capital Asset Market.Econometrics,1966,34(4):768-783.
1 汪平.财务理论(修订版),经济管理出版社,2008年6月第2版。
2 这也被称为一致预期假设。
3 “无限细分”是指投资者可购买资产的任一部分,以保证投资者可以以任何比例分配其投资。资产的细分程度与其流动性通常呈正比例关系,细分程度越高,流动性越强;细分程度越低,流动性越弱。
4 摩擦是指影响整个市场上的资本和信息自由流通的障碍。
5 John R.Graham,Campbell R.Harvey.The Theory and Practice of Corporate Finance:Evidence from the Field.Journal of Financial Economics,2001,60:187-243.
1 John Y.Campbell.Asset Pricing at the Millennium.The Journal of Finance,2000,55(4):1515-1567.节选自蔡卫光,开放条件下的国际资产定价模型的解析与检验,现代财经,2006,26(4):60-63。
2 Campbell R.Harvey.12 Ways to Calculate the International Cost of Capital.Duke University working paper,2005,Available from http://faculty.fuqua.duke.edu/charvey/Teaching/BA456_2006/Harvey_12_ways_to.pdf.
3 这12个模型是:世界CAPM、世界多因素CAPM、Bekaert-Harvey混合模型(分段或完整的CAPM)、国冢差价模型(Goldman模型)、隐含国家差价模型、国家差价波动率模型、达摩达兰(Damodaran)模型、lbbotson-Bayesian 模型、隐含资本成本模型、CSFB模型、全世界预期报酬相同模型以及信用评级模型(Erb-Harvey-Viskanta模型)。
4 Rene M.Stulz.A Model of International Asset Pricing.Journal of Financial Economics,1981,9(4):383-406.
1 Fischer Black.International Capital Market Equilibrium with Investment Barriers.Journal of Financial Economics,1974,4(1):337-352.
2 B.H.Solnik.An Equilibrium Model of the International Capital Market.Journal of Economic Theory,1974,8(4):500- 524.
3 Sercu,P.A Generalization of the International Asset Pricing Model.Revue de I' Association Francaise de Finance,1980,1:91 - 135.
4 Stuiz,R.On the Effects of Barriers to International Asset Pricing.Journal of Finance,1981,25:783-794.
5 Adler,M,B.Dumas.International Portfolio Choice and Corporation Finance:A Synthesis.Journal of Finance,1983,38(3):925-984.
1 B.H.Solnik.An International Market Model of Security Price Behavior.The Journal of Financial and Quantitative Analysis,1974,9(4):537-554.
B.H.Solnik.The International Pricing of Risk:An Empirical Investigation of the World Capital Market Structure.The Journal of Finance,1974,29(2):365-378.
2 同4.
3 B.H.Solnik.An Equilibrium Model of the International Capital Market.Journal of Economic Theory,1974,8(4):500- 524.
4 Vihang Errunza,Etienne Losq.International Asset Pricing under Mild Segmentation:Theory and Test.The Journal of Finance,1985,40(1):105-124.
5 Geert Bekaert,Campbell R.Harvey.Time-Varying World Market Integration.Journal of Finance,1995,50(1):403-444.
1 这在Harvey(2005)的总结中讲其单独称为一种方法:分段或完整的CAPM(又称Bekaert-Harvey混合模型)。
2 Sercu,P.A Generalization of the International Asset Pricing Model.Revue de I' Association Francaise de Finance,1980,1:91 - 135.
3 相关内容参见本文第二章中“2.4”的分析。
4 G Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
5 在本文第二章“2.2.1.1”中曾经指出,Karolyi在这一研究中使用的模型,早在Jotion和Schwartz(1986),Howe 和Kelm(1987),Mittoo(1992),Rothman(1995),Foerster和Karolyi(1996)等的研究中均已采用。而且Karolyi 的这一研究堪称交叉上市的资本成本效应研究之经典,很多学者在随后的研究中纷纷引用他的这些研究成果。虽然时隔10年,但ICAPM仍是当今交叉上市资本成本效应度量的理想模型。在本文写作过程中,作者就这一问题与Karolyi教授本人进行了深入探讨,运用两因素ICAPM计量中国公司交叉上市资本成本效应的研究思路也得到了他的高度认同,在此,作者感谢Karolyi教授不吝赐教。
1 境内外同时上市的中国公司,不符合本文研究范畴。
1 本表前列括号中的数字表示交叉上市时间间隔(按日历天数计算)。2 同1.
3 G Andrew Karolyi.Why Do Companies List Shares Abroad?:A Survey of the Evidence and Its Managerial Implications.Financial Markets,Institutions and Instruments,1998,7(1):1-60.
1 基于ICAPM,本研究的重点是交叉上市引起公司在当地市场与国际市场的市场风险变化,因此假设无风险报酬率不会产生明显的变化。本文研究交叉上市前后一年的资本成本效应,所用数据是月度数据,因此,无风险报酬率选取香港30天外汇基金票据及债券收益率。在香港,香港政府债券是指港府以外汇基金名义、由金融管理局发行的外汇基金票据和债券。
2 数据来源:http://www.mscibarra.com/index.jsp。
3 鉴于WSCI的A+H指数是从2004年11月30日创建起来的,在此之前没有相关数据,因此在此选取WSCI的ACWI数据。
4 很多美国学者在研究外国公司在美交叉上市时,选取美国标准普尔500指数(SP500 Index)模拟计算国际市场收益率。
5 由于B组样本公司只有3家,本文未再采用MSCI的H股指数计算Rmw。
1 前文已述,ICAPM是一种基于市场风险的资本成本估算模型,市场风险是本文研究的重点,在无风险报酬一定的情况下,超额收益的变化即是资本成本的变化。因此下文不再对资本成本与超额收益作严格界定。
2 本文选取的数据为月度数据,故计算年资本成本率时要乘以12,0.00388×12=4.656%。
3 表中“K”意为以超额收益Ki-Rf表示的资本成本。
1 计算过程:-0.026-(-0.0147)=-0.0113。
2 计算过程:-0.0307-(-0.0177)=0.013。
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