中美交叉上市与权益资本成本研究--基于美国股票交易所上市的A股公司数据北大核心CSSCISSCI

本文基于约束理论研究了中美交叉上市是否会降低A股公司的权益资本成本,通过构建包含立法水平和执法水平的投资者法律保护指数,检验赴美上市对我国A股公司权益资本成本的作用效果。结果表明,中美交叉上市部分降低了权益资本成本,以投资者法律保护指数所代表的约束理论具备一定的解释力,但是由于融资规模等因素的干扰,交叉上市对权益资本成本的降低作用受到某种程度的不利影响。尽管如此,交叉上市对改善公司治理机制具有积极的作用,AN股公司的治理结构有所优化。     

内地企业海外上市有何渠道

我国内地企业海外上市融资的方式和渠道主要有以下五种:(1)内地企业在境外直接上市(IPO)———以H股、N股及S股等形式在境外上市。中国内地的企业法人通过在香港首次发行股票(简称H股),或者在纽约首次发行股票(简称N股),或者在新加坡首次发行股票(简称S股)的方式直接在境外获得上市的方式,H股如青岛啤酒,S股如中新药业等等。(2)涉及境内权益的境外公司在境外直接上市(IPO、红筹股形式)。中国内地之外的法人公司或其他股权关联公司直接或间接享有中国内地企业的股权权益或者资产权利,并且在中国境外直接上市的方式,如裕兴电脑在香港创…     

沪港银行股的价差分析和投资策略

A股市场日渐成孰,容许更多投资者加入,而为了增加集资渠道及融资灵活性,中国内地企业也可安排在香港以H股形式上市,自从2002年,有些公司先在A股上市,之后再到H股上市,也有先H后A的,近年也流行AH股同步上市。在2013年已有82家公司同时在AH两地上市,而两地股市价格差异已是一个长时间现象,有见及此,本文以计量模型探讨两地的银行股皮板块是否存在长期协整关系,从而制订合适的投资策略。     

CAPM在上海证券市场的验证——来自奥运概念20支股票的数据

资本资产定价模型(CAPM)作为金融市场现代价格理论的脊梁,已被广泛应用于股票、基金、债券等资产定价的分析和投资决策等领域。本文以上海证券市场A股上市的20支奥运概念股作为研究对象,采用时间序列分析的方法,选取这二十家公司自成立至今的全部股票数据对资本资产定价模型在奥运板块的股票市场进行实证分析,以检验CAPM在中国股市的有效性。得出的结论是:CAPM模型在我国现存的股票市场上尚不能成立。     

H股回归及其对A股市场的影响

随着内地经济以及股市的发展,原来赴香港上市的H股企业纷纷回归A股市场上市融资。针对这一现象,本文回顾了H股企业回归A股市场的历程、原因、背景、呈现出的特点及其对A股市场的影响。H股企业的回归,为内地投资者提供了更多投资机会、将重塑价值投资理念、增强A股市场与香港股市的联动,促进内地股市发展。     

跨地上市公司具有较低的权益资本成本吗?——基于“法与金融”的视角

根据法与金融理论,严格的投资者保护制度有助于降低公司的权益资本成本,本文以赴中国香港跨地上市后返回中国大陆发行A股的公司为研究对象,检验其是否因受制于更为严格的投资者保护制度而具有较低的权益资本成本。研究结果表明,在A股市场上,赴港跨地上市公司比其他公司的权益资本成本更低,跨地上市对权益资本成本具有降低作用,且这种降低作用与香港较为严格的投资者保护制度有关。     

信息动态

会计内地在港上市公司将可采用内地会计准则香港证券交易所近日表示,将允许在港上市的内地企业采用内地会计准则来编制财务报表,即A、H股无需再编制两份报表,同时也准许在内地上市的香港注册公司采用香港会计准则。公告同时准许经中国财政部及中国证券监督管理委员会审核推荐及认可的内地会计师事务所采用内地审计准则为企业提供服务。截至2010年11月底,共有160家在内地注册的H股在香港主板及创业板上市,占上市公司总数的11.5%。新的规则方便了在港上市的内地企业,以及在内地上市的香港企业,预计可以提升市场效率,并且减轻在香港上市的内地注册公司的合规成本。     

从浙江世宝看民营企业A+H股定价方法与影响因素

我国A股和H股的市场分割造成了许多交叉上市的股票出现同股不同价的现象,而合理的价差是投资者和股票市场所能接受的。但诸如浙江世宝这样的企业,由于受到爆炒,其A股相对H股溢价率严重偏离常态,这也直接反应了我国民营企业A+H股的定价受到诸多不同因素的影响。     

H股回归A股市场交叉上市定价机制的思考

交叉上市的发行溢价现状近年来,企业在其财务动机(募集资金、降低资本成本、提高流动性)和商业动机(扩大市场、增加声誉、提高竞争力等)的驱使下大量地进入了国际资本市场,由于地缘和文化的关系,中国企业选择境外上市的市场主要是香港股票市场。目前,在香港股票交易所主板上市的公司达150余家,包括少数几家先在A     

发行预托证券对证券市场的影响

中国石化增发28亿A股标志着国内的境外上市公司内地筹集资金的开始,同时联想到B股市场已对内地投资者开放,人们有理由相信中国内地会进一步开放资本市场.中国证监会首席顾问梁定邦最近透露:中国证监会正考虑让香港红筹股及蓝酬股以中国预托证券(CHINA DEPOSITARY RECEIPT)形式在内地证券市场上市.     

Cost of capital effects and changes in growth expectations around U.S. cross-listings

This paper examines whether cross-listing in the U.S. reduces firms’ costs of capital. We estimate cost of capital effects implied by market prices and analyst forecasts, which accounts for changes in growth expectations around cross-listings. Firms with cross-listings on U.S. exchanges experience a decrease in their cost of capital between 70 and 120 basis points. These effects are sustained and exist after the Sarbanes-Oxley Act. We find smaller reductions for cross-listings in the over-the-counter market and for exchange-listings from countries with stronger legal institutions. For exchange-traded cross-listings, the cost of capital reduction accounts for over half of the increase in firm value, whereas for other types of cross-listings the valuation effects are primarily attributable to contemporaneous revisions in growth expectations.     

New estimates of the cost of capital for pharmaceutical firms

Academic researchers, as well as pharmaceutical firms themselves, often use the Capital Asset Pricing Model (CAPM) to estimate a firm's cost of capital. But the CAPM implicitly assumes that cash flows follow a random walk. This assumption is inconsistent with our finding that large U.S.-based pharmaceutical firms' cash flow growth rates display either momentum or mean-reversion. We show that growth rate momentum implies: (1) the systematic risk of a project increases monotonically with time to maturity of the cash flows; and (2) longer duration projects require a higher cost of capital. One of the practical implications of our results is that the traditional CAPM underestimates the cost of capital for some pharmaceutical firms by as much as 2.8%. These findings are quite relevant for the policy debate about the high rates of return earned by pharmaceutical companies, which some claim are pure rents and are not necessary to attract investors. Our theoretical and empirical analysis shows that high returns are often required to compensate for the higher systematic risk of long-duration pharmaceutical cash flows.     

Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India

The existing literature demonstrates that under a general equilibrium model, the performance of the Capital Asset Pricing Model (CAPM) can be improved significantly by using conditional consumption and market return volatilities as factors. This article tests the validity of these factors explaining stock return differences using a less developed country (India) as a case study. While the earlier studies used panel data to test CAPM, we use portfolios sorted by size and book-to-market equity (BE/ME) ratio. We found that conditional volatility has a limited effect on firms with large capitalization but a significant impact on small-growth and small-value firms.     

GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL

International financial markets are progressively becoming one huge, integrated, global capital market—a development that is contributing to higher stock prices in developed as well as developing economies. For companies that are large and visible enough to attract global investors, having a global shareholder base means having a lower cost of capital and hence a greater equity value for two main reasons: First, because the risks of equity are shared among more investors with different portfolio exposures and hence a different “appetite” for bearing certain risks, equity market risk premiums should fall for all companies in countries with access to global markets. Although the largest reductions in cost of capital resulting from globalization will be experienced by companies in liberalizing economies that are gaining access to the global markets for the first time, risk premiums can also be expected to fall for firms in long-integrated markets as well. Second, when firms in countries with less-developed capital markets raise capital in the public markets of countries (like the U.S.) with highly developed markets, they get more than lower-cost capital; they also import at least aspects of the corporate governance systems that prevail in those markets. For companies accustomed to less-developed markets, raising capital overseas is likely to mean that more sophisticated investors, armed with more advanced technologies, will participate in monitoring their performance and management. And, in a virtuous cycle, more effective monitoring increases investor confidence in the future performance of those companies and so improves the terms on which they raise capital. Besides reducing market risk premiums and improving corporate governance, globalization also affects the systematic risk, or “beta,” of individual companies. In global markets, the beta of a firm's equity depends on how the stock contributes to the volatility not of the home market portfolio, but of the world market portfolio. For companies with access to global capital markets whose profitability is tied more closely to the local than to the global economy, use of the traditional Capital Asset Pricing Model (CAPM) will overstate the cost of capital because risks that are not diversifiable within a national economy can be diversified by holding a global portfolio. Thus, to reflect the new reality of a globally determined cost of capital, all companies with access to global markets should consider using a global CAPM that views a company as part of the global portfolio of stocks. In making this argument, the article reviews the growing body of academic studies that provide evidence of the predictive power of the global CAPM as well as the reduction in world risk premiums.     

The cost of capital in internationally integrated markets: The case of Nestlé

This paper argues that the cost of capital for firms in small countries should be estimated using the global CAPM rather than a local CAPM. Two related formulas showing the mistake made when using a local CAPM rather than a global CAPM are presented. the global CAPM is implemented for the case of Nestlé and the results are compared to the cost of capital estimate one obtains for Nestlé using a local CAPM when the global CAPM is appropriate.     

Information and the Cost of Capital in a Mean‐Variance Efficient Market

Before information ? arrives, market observers must be uncertain whether the stock price conditioned on ? will be higher or lower than the current price. Otherwise there is an obvious arbitrage opportunity. By assuming this minimal condition of efficient markets, it is shown under the mean‐variance CAPM that information that leaves the future value of a firm more certain, in the sense that its perceived covariance with the market is reduced towards zero, can lead to a higher expected return on that asset. A further result is that it is theoretically possible that the required return on the stock will necessarily fall after observing signal ?, or (in other circumstances) that it will necessarily rise. In general, information that allows better discrimination between firms leads some firms to have higher costs of capital and other firms to have lower costs of capital. Less obviously, better discrimination between firms can induce a higher average cost of capital across the market.     

Cost of capital equations under the Australian imputation tax system

Since the introduction of the Australian imputation tax system, there have been problems both in the measurement of the market value of franking (imputation tax) credits and in their application to estimating cash flows and the cost of capital. In the present paper, we provide a convenient and robust resolution to the above problems in the context of an internally consistent set of equations for the cost of capital, asset valuation and the capital asset pricing model (CAPM). The equations apply under both classical and imputation tax systems and under differential taxation of dividends, capital gains and interest. The simple form of the CAPM presented here is shown to encompass more complex versions of the CAPM, which attempt to accommodate the effect of personal taxes. The valuation equations require an estimate of the market value of $1 of the firm's dividends, within which is embedded the market value of the imputation tax credits. Separate estimates of the value of imputation tax credits, or Officer's gamma factor, are not required.     

The Cost of Capital of Cross‐listed Firms

This paper analyses the cost of capital of firms with foreign equity listings. Our purpose is to shed light on the question whether international and domestic asset pricing models yield a different estimate of the cost of capital for cross‐listed stocks. We distinguish between (i) the multifactor ICAPM of Solnik (1979) and Sercu (1980) including both the global market portfolio and exchange rate risk premia and (ii) the single factor domestic CAPM. We test for the significance of the cost of capital differential in a sample of 336 cross‐listed stocks from nine countries in the period 1980–99. Our hypothesis is that the cost of capital differential is substantial for firms with international listings, as these are often large multinationals with a strong international orientation. We find that the asset pricing models yield a significantly different estimate of the cost of capital for only 12% of the cross‐listed companies. The size of the cost of capital differential is around 50 basis points for the US, 80 basis points for the UK and 100 basis points for France.     

CAPM for estimating the cost of equity capital: Interpreting the empirical evidence

We argue that the empirical evidence against the capital asset pricing model (CAPM) based on stock returns does not invalidate its use for estimating the cost of capital for projects in making capital budgeting decisions. Because stocks are backed not only by projects in place, but also by the options to modify current projects and undertake new ones, the expected returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our arguments by developing a method for estimating firms' project CAPM betas and project returns. Our findings justify the continued use of the CAPM by firms in spite of the mounting evidence against it based on the cross section of stock returns.     

Information asymmetry,information dissemination and the effect of regulation FD on the cost of capital

This paper considers the impact of Regulation Fair Disclosure (FD) on firms’ information environments and costs of capital. For NYSE/Amex firms we find little evidence of a change in the cost of capital attributable to Regulation FD. For Nasdaq firms we find that Regulation FD increased firms’ costs of capital by 10–19 basis points per annum though the statistical significance of this change is modest for some of our models. We also show substantial cross-sectional variation in the cost of capital changes. We find that cost of capital changes were negatively related to both pre-regulation firm size and PIN. In addition to the findings regarding Regulation FD, this research contributes to a growing literature that documents links between firms’ information environments and their costs of capital.