中國首次公開發行公司績效之相關研究

Two Essays on the Performance of Chinese IPO Market

陳薇如(Wei-Ju Chen)

指導教授 ： 周冠男 ； 劉玉珍

國立中央大學/管理學院/財務金融學系/博士(2008年)

摘要

第一部份:部份民營化與股份發行民營化公司股票價格績效:中國的證據
本研究藉由探討不同民營化程度的中國初次股份發行民營化公司(initial SIPs) 對長期股價績效的影響，以了解在計畫經濟體系之下，市場是否仍能有效的監督股份發行民營化公司。我們的實證結果顯示民營化程度較高的股份發行民營化公司有顯著較低的發行折價(underpricing)，因此較高的民營化程度似乎可幫助減輕資訊不對稱的問題。我們也發現，民營化程度與初次股份發行民營化公司的長期股價績效呈正相關。整體而言，我們的實證結果支持管理者的觀點，也就是民營化可以引進股票市場對管理者的監督及約束，進而促進公司績效。我們的發現對中國國有企業接下來的民營化過程具有重要的含意。

第二部份:投資者情緒、價格上限與中國首次公開發行折價之研究
本研究探討中國首次公開發行公司(IPOs)具有超高發行折價(underpricing)的原因，我們主要研究投資者情緒及價格上限管制如何影響中國首次公開發行公司的發行折價。我們預測若價格上限管制導致首次公開發行公司發行訂價所使用的PE比率與產業平均的PE比率差異越大，發行折價應該也會越大。我們的實證結果與預期一致，我們發現產業平均PE比率與發行PE比率之間的差異與發行折價有正向的關係。我們也預測投資者情緒與發行折價之間為正相關，實證結果顯示，投資者情緒能解釋一大部份首次公開發行公司的發行折價。

關鍵字

價格上限 ； 投資者情緒 ； IPO折價 ； 國有企業 ； 股份發行民營化 ； 部份民營化 ； 中國 ； 股價績效

並列摘要

Essay 1: Partial Privatization and SIP Stock Price Performance: Evidence from China
This paper sets out to determine whether the market of a planned economy can effectively monitor ‘share issue privatization’ (SIP) firms, by exploring the impact of varying degrees of privatization on the long-run stock price performances of initial SIPs in China. Our results indicate that higher degrees of privatization seem to help mitigate the problem of asymmetric information because SIPs with higher degrees of privatization are found to experience significantly lower underpricing during the first day of trading. We also find that the degree of privatization is positively related to the long-run stock price performances of initial SIPs. Overall, our results support the managerial perspective that privatization introduces managerial discipline within the stock market. Our findings have important implications for the continuing process of privatization of state-owned enterprises (SOEs) in China.

Essay 2: Sentiment, Price Cap, and IPO Underpricing in China
This paper set out to investigate the sources of extreme high underpricing of China IPOs. We study how the investor sentiment and price cap regulations affect IPO underrpicing in China. We predict if the price cap induces a large difference between the IPO issuing PE and the average industry PE, the underpricing would be larger. Consistent with this prediction, we find there is a positive relationship between PE difference, the difference between the average industry PE and the IPO issuing PE, and IPO underpricing. We also predict a positive relationship between the investor sentiment and the IPO underpricing. The empirical results indicate that initial returns are largely driven by investor sentiment.

並列關鍵字

China ； Stock price performance ； Price cap ； Investor sentiment ； IPO underpricing ； Share issue privatization ； Partial privatization ； State owned enterprises

參考文獻

Liu , Y. J., Wang, J. Y., Lin, Y. Z., 2006. Individual Investor Sentiment and Stock Return：Evidence from Taiwan. working paper.

Essay 1: Partial Privatization and SIP Stock Price Performance: Evidence from China

Boubakari, N., Cosset, J. C., 1998. The Financial and Operating Performance of Newly Privatized Firms: Evidence from Developing Countries. Journal of Finance 53, 1081--1110.

Brada, J. C. 1996. Privatization Is Transition- Or Is It ? Journal of Economic Perspectives 10, 67--102.

Chi, J., Padgett, C., 2005. The Performance and Long-Run Characteristics of the Chinese IPO Market. working paper (Massey University and the University of Reading).