我国新股首日回报率的实证分析

新股首日超额回报是世界范围的一种普遍现象,而在我国尤为突出,国内外对此给出了各种解释,但至今尚未形成一致性认识,文章选取1996年1月至2004年12月在我国上海证券交易所上市的616只A股为样本,进行了横截面的分析后发现:信息不对称并非我国新股折价的主要原因,我国新股折价是由二级市场投机引起。     

Influence of institutional investors' participation on flipping activity of Malaysian IPOs

This paper examines the influence of institutional investors’ participation on flipping activity of Malaysian IPOs. Measured as the percentage of trading volume on the first trading day against the total number of shares offered, flipping is the quickest way to gain huge profits from IPOs. However, excessive flipping activity has significant potential to create artificial downward pressure on the price of IPOs. One way to reduce such an adverse effect is by strategically allocating a larger proportion of new shares to institutional investors. This is because institutional investors are normally assumed to be long-term investors. As such, they are less likely to flip their allocated IPOs in the immediate aftermarket. The long-term investment argument is consistent with institutional investors’ preference for a steady income stream in the form of dividends. Drawing upon this argument, the greater participation of institutional investors during an IPO is expected to be an effective strategy to control aggressive flipping activity. The Malaysian IPO market offers an excellent opportunity to examine this hypothesis because data regarding the allocation of new shares to institutional investors can be traced conveniently through a type of IPO referred to as “private placement”. Based upon an examination of 248 IPOs listed on Bursa Malaysia between January 2000 and December 2012, this study finds a negative relationship between institutional investors’ participation and flipping activity. This result lends strong support to the argument concerning the effectiveness of institutional investors’ participation in controlling flipping activity in the Malaysian IPO market.     

Venture capitalist participation and the post-issue operating performance of IPO firms

Previous studies have identified the value-added potential of venture capitalist monitoring in the initial public offering (IPO) market. We test this proposition by comparing the post-issue operating performance of venture capitalist-backed IPOs with a matched sample of non-venture capitalist-backed IPOs. We find that venture capitalist-backed IPO firms exhibit relatively superior post-issue operating performance compared to non-venture capital-backed IPO firms. Further, the market appears to recognize the value of monitoring by venture capitalists as reflected in the higher valuations at the time of the IPO. Finally, we find that proxies for the quality of venture capitalist monitoring are positively related to post-issue operating performance.     

Managing Underpricing? The Case of Pre‐IPO Discretionary Accruals in China

Previous studies have found that companies use income‐increasing positive discretionary accruals (DAC) prior to initial public offerings (IPOs) to inflate earnings as a signal to anticipate future income and future dividends. This study, directly explores the role of DAC in prospectus information of 691 A‐shares IPOs in China during the period 1995–2002 and its relationship with market‐adjusted returns. The results suggest that in China, pre‐IPO non‐discretionary accruals (NDAC) as well as DAC have informative value in explaining first‐day returns as well as first‐year adjusted returns. However, in yearly cross‐sectional models, I find that firms use income‐decreasing accruals (conservative accounting) in prospectus financial statements. This downward manipulation or income “understatement” creates a regulatory setting that could explain initial underpricing and abnormally high IPO returns for A‐shares. In addition, the results show that as state ownership (SO) increases, cash flow also increases, exacerbating agency costs and adverse selection problems. These findings may suggest that managers might be using more conservative accounting in Prospectus financial data to offset the agency costs related to high cash flow, and high SO, by “banking income” and possibly therefore “smoothing” the effects of possible future suboptimal earnings.     

创业投资声誉、创业板IPOs初始收益和长期业绩

以我国创业板市场IPOs为样本,引入创业投资声誉对IPO折抑价理论模型进行修正,采用多元回归和两阶段回归方法,实证检验创业投资声誉与创业板IPOs初始收益和长期业绩之间的关系后发现:我国创业板市场中创业投资核证监督作用微弱;创业投资声誉对IPOs初始收益无显著影响;创业投资声誉对IPO后企业长期业绩有显著正效应。本文的研究结论对创投声誉下的创业板发行制度建设有积极作用。     

中国上市公司IPO后经营业绩变化情况的分析——来自A股公司的经验数据

本文以1999￣2000年在沪、深两市首发上市的216家A股公司为样本,以这些公司从首发前一年延伸至2003年的数据,研究了中国A股上市公司IPO前1年至后3年的收入、成本、费用及效益的变化。研究发现:与上市前相比,中国A股公司IPO后的主营业务收入、主营业务成本、期间费用等绝对数指标均显著上升,而主营业务收入营业利润率却显著下降;造成业绩下降因素很多,其中最直接的主要原因是公司上市后成本、费用的大幅度上升。     

Donating Money to Get Money: The Role of Corporate Philanthropy in Stakeholder Reactions to IPOs

This study examines how stakeholders' investment time horizons interact with information about corporate giving in initial public offering (IPO) firms. Specifically, we build a model that explains how corporate philanthropy affects IPO performance. We find that at the IPO‐preparation stage, corporate giving is negatively related to underwriter prestige, venture capital investment, and IPO financing costs. We also find that at the IPO‐issuance stage, negative media coverage of IPOs moderates the U‐shaped relationship between corporate giving and market premiums. At the IPO‐trading stage, we find that corporate giving only positively influences the market premiums for IPO firms that are the subject of negative media reports. Our findings contribute to the signalling theory by showing how various stakeholders interpret the same signals differently, and they have implications for understanding how the relationship between corporate philanthropy and corporate financial performance materializes in the IPO markets.     

The location of initial public offering headquarters: An empirical examination

We study the headquarters location of U.S. firms with an initial public offering (IPO) over the 2001–2011 period. Specifically, we examine IPO intensity, defined as IPOs in a state scaled by state population. We find that IPO intensity is positively related to various measures of education. We also find that IPO intensity is positively related to an economic climate (freedom) index, degree of urbanization, and whether a state contains a financial center. Some economists see IPOs as a driver of economic growth. Thus, our results suggest factors that government officials may consider to increase the number of IPOs headquartered in their states.     

Long-term industry performance following IPOs

While firms are more likely to go public when the corresponding industry prospects are favorable, they may also serve as formidable threats to pull market share from the industry. In addition, if IPOs are timed when industry valuations are unusually high, there may be an aftermarket correction in the industry. We find that the corresponding industry rival portfolios experience unfavorable price performance on average over the 36-month period following an IPO. The dispersion in long-term industry effects following the IPOs can be partially explained by competitive effects and the timing of the IPO. The adverse industry effects are more pronounced when the IPOs are small, and when the IPO is the first in the industry within the last 2 years. Furthermore, the adverse industry effects are more pronounced when the IPOs are in regulated industries, and when prevailing industry multiples are relatively high at the time of the IPO. Overall, these characteristics document the influence of competitive effects and timing signals on industry effects associated with IPOs.     

The impact of initial public offerings on innovations: Short-termism or initial governance force exit?

We study the impact of initial public offerings (IPOs) on corporate innovations in China. The findings suggest that going public significantly impedes corporate innovations by lowering overall innovation quality. For firms with shareholders selling or pledging less shares after IPO, the number of patents increases, but the nonself-citations per patent decrease relative to matched non-IPO firms. In contrast, for firms with shareholders selling or pledging more shares after IPOs, both the number of patents and nonself-citations per patent decrease. The magnitudes of impact in the latter are stronger than those of former, supporting the initial governance force exit hypothesis.     

Industry clustering of initial public offerings

Extant empirical evidence has documented both a temporal variation in the number of initial public offerings (IPOs) and an industry clustering effect in these offerings. This article attempts to provide insights into this phenomenon by: (i) identifying industry conditions that influence IPO clustering, (ii) analyzing differences in characteristics of clustered versus non‐clustered IPOs, and (iii) studying the impact of IPO clustering on long‐run operating performance. We find that IPO clustering is more likely to occur in high‐growth fragmented industries that are characterized by strong investment opportunities, favorable investor sentiment, and which require high levels of investments in R&D. Further, we document a negative relation between post‐IPO operating performance and whether the IPO firm goes public in its industry cluster period. We conclude that the relatively poor post‐IPO operating performance of firms that go public in industry cluster periods likely reflects industry overinvestment arising from too many firms within that industry chasing the same investment opportunities. Copyright © 2005 John Wiley & Sons, Ltd.     

Informational externalities of initial public offerings: Does venture capital backing matter?

We examine the role of venture capital backing on informational externalities generated by IPO firms. Theoretical models predict that going public firms generate positive externalities creating a spillover effect for other firms to go public. In this paper, we posit that venture backed IPOs convey positive information about industry and this information is transferred to rival firms. We also hypothesize that intra-industry information transfer varies with rivals’ characteristics and IPO price revisions generate additional information that affects rivals’ valuation. The results show that rivals have positive valuation effects in response to venture backed IPOs and no significant reaction in response to non-venture backed IPOs. We find evidence that the effect on rival firms is stronger if they operate in less concentrated industries and have high growth opportunities. The larger the IPO proceeds, the higher the magnitude of rivals ‘valuation effects. Positive (negative) information revealed in the form of upward (downward) price revisions significantly impacts rivals’ reaction in response to venture backed IPOs.     

The long-term performance following dividend initiations and resumptions revisited

Previous studies have documented that an announcement of dividend initiation and resumption is associated with an increase in stock price, while Boehme and Sorescu (J Finance 47:871–900, 2002) argue that the dividend anomaly only occurs by chance. However, their sample contains firms listed within 3 and/or 5 years of their respective initial public offering (IPO) dates, as well as regulated firms. We conjecture that the confounding effects of IPOs and regulated firms may interfere with the increase in stock prices due to dividend initiations and resumptions and bias their results. We thus reexamine the long-term stock performance following dividend initiations and resumptions by excluding newly IPO firms and regulated firms. We find no evidence that the non-robust positive price drifts for firms, which initiate or resume cash dividends, is due to the confounding effects of IPOs and regulated firms. Therefore the price drifts after dividend initiation and resumption announcements may be a sample-specific result of chance, even after controlling for possible sample selection biases.     

Earnings Management in Domestic and Foreign IPOs in the United States: Do Home Country Institutions Matter?

Using a large sample of domestic and foreign IPOs in the US, we investigate how threats of enforcement by the Securities and Exchange Commission (SEC) and private litigation influence earnings management in IPO prospectuses. We propose that perceptions of foreign institutions may influence SEC enforcement action and private litigation. We provide evidence that enforcement and litigation threats are negatively related to the strength of legal institutions in the foreign IPO’s country of origin. We find earnings management is more pronounced in foreign IPOs from countries with strong legal institutions. We further explore whether earnings management is priced in the IPO market and find no relation between IPO proceeds and earnings management. Our results are consistent with upward earnings management as in Stein (1989), the magnitude of which is reduced when the anticipated cost of enforcement and litigation is higher. Collectively, our results cast doubt on the validity of the bonding hypothesis.     

The long-run performance of initial public offerings: Stochastic dominance criteria

We examine the long-run performance of initial public offerings (IPOs) using the idea of stochastic dominance. The analysis is a first attempt using a non-event study methodology to evaluate long-horizon performance. We find that there is no first-order stochastic dominance relation between the IPO portfolio and the benchmark of a broad index or a portfolio including either small size or low book-to-market stocks. However, those benchmarks second-order stochastically dominate the IPO portfolio. When using a portfolio including both small size and low book-to-market stocks as benchmark, there is a clear dominance of the IPO portfolio over the benchmark for both orders. Our findings generally imply that the question of assessing portfolio performance between IPO firms and benchmark portfolios depends critically on the specific construction or the cumulative distribution function of the benchmark portfolios. The empirical results also potentially explain the extent of sample dependent results in the literature.     

Credit ratings and long-term IPO performance

We examine the impact of credit ratings on long-term IPO pricing. Our findings suggest that the provision of credit ratings prior to IPO reduces information asymmetry and improves market efficiency. The increase in disclosure through credit ratings can reduce information risk and price discounts. IPOs with (without) credit ratings are less (more) underpriced and more positively (negatively) perceived by outside investors. The market reactions for rated IPOs are more immediate and more complete (as the result of improved transparency), while long-term performance is insignificant when information asymmetry is reduced.     

Price support and spreads in the IPO aftermarket: An empirical microstructure study

Using the inventory components of spreads as a measure of inventory holding-risk, we test the hypothesis of Hanley et al. [Hanley, K. W., Kumar, A., & Seguin, P. J. (1993). Price stabilization in the market for new issues. Journal of Financial Economics, 34, 177–197] that price supports reduce market makers’ inventory holding-risk in the aftermarket of initial public offerings (IPOs). We find that both spreads and their inventory components are significantly smaller in the earlier periods of the IPO aftermarket than those in the later periods. More importantly, the inventory components of spreads are significantly smaller for stocks without over-allotment options (OAOs) exercised, and for stocks with lower or negative initial returns which are more likely to have price supports. The results are consistent with the price support hypothesis.     

The post-offering performance of IPOs in the health care industry

This paper investigates the post-offering performance of initial public offerings in the health care industry in a sample of 223 IPOs issued between 1985 and 1996. Statistically insignificant abnormal returns for IPOs relative to matched control firms and risk-adjusted health care index are evident for the whole sample. Thus, our empirical results support the overall information efficiency in the IPO market. However, numerical and statistical differences of the IPOs’ abnormal returns are documented in every subgroup specified according to the issuance years and sectors. We conjecture that such differences are due to the growing threat of government intervention and the significant structural changes.(JEL11, C11) The views expressed herein are our own and do not necessarily reflect the views of our colleagues.     

The day of the week effect in IPO initial returns

Monday IPOs occur infrequently and have higher mean initial returns than those issued on other days. The latter result is not a product of outliers or penny stocks and remains after controlling for factors related to IPO underpricing. The Monday effect is generally robust across time, but during 1995–2003 is present only in IPOs with their first reported trade on their offer date. Volume patterns suggest Monday IPOs come to market later in the day, which has been linked to higher initial returns. We argue that the observed patterns are consistent with the incentives of underwriters and investors.     

Underwriter reputation and IPO issuer alignment 1981–2005

We examine the long-term performance and characteristics of firms that went public from 1981 to 2005. We find that long-run returns declined and the proportion of failed and failing firms increased with underwriter reputation. The IPOs marketed by the more reputable underwriters were more likely to fail or be failing in the post-1980s period, but were still better than those of less reputable counterparts. The characteristics of the firms marketed by the more reputable underwriters did not appear to change substantially from decade to decade. We conclude that external market forces rather than conscious changes by underwriters caused the shift in the relation between failure rates and underwriter reputation from the 1980s to the subsequent period. We also find the “flip” in relationship between underwriter reputation and initial IPO return identified in the literature disappears after controlling for additional factors.