What Explains the High Returns to the IPOs of China's A‐Shares?

Abstract

This paper investigates the initial returns of Chinese A‐share initial public offerings (IPOs) under the split‐share structure before 2005. The split‐share structure refers to the coexistence of shareholders of tradable shares and shareholders of non‐tradable shares. The average initial return is much higher than those of other countries, even though this has been declining. We argue that the split‐share structure causes the initial returns of Chinese IPOs to be very high level in the beginning, and then to decrease slowly because of the institutional transition and the path‐dependent characteristics. With the reform of non‐tradable share offerings, the average initial return of Chinese IPOs is likely to fall.     

Possibility of an Experimental Approach to Investment Studies

Differences between male and female management style, risk aversion, investment strategies, and financial decision making can be found in economic, management, psychology, and social literature. There are no published studies, however, linking gender issues with valuation. In this article, we consider differences in pricing female- versus male-led initial public offerings. Specifically, we find no difference in firm characteristics between a female-led and a male-led IPO, and no difference in underpricing between male-led and female-led IPOs after controlling for firm-specific variables. Our evidence suggests that in a market such as IPOs, where subjects share more similar opportunity sets, wealth, and knowledge, gender bias does not exist.     

Priced on the note: the case of Japanese IPOs

ABSTRACT

This article examines the pricing of Japanese IPOs: 54.26% are priced in 1,000 Japanese yen increments (The Japanese yen (JPY) has denominations of banknotes and coins. Banknotes are in 1,000, 2,000, 5,000, and 10,000-yen. Coins are in 1, 5, 10, 50, 100, and 500-yen. One thousand banknotes are similar to US $10 dollars. Coins are considered as changes in Japan.) (note-ending IPOs), an economically large increment on a per-share basis that is equivalent to 10 US dollar increments assuming an exchange rate of 1 US dollar to 100 Japanese yen. The number of note-ending IPOs increases with price levels and pricing uncertainty, supporting the negotiation hypothesis. Note-ending IPOs are associated with higher volatility, higher underwriters’ fees, wider filing price range, smaller deal size, shorter firm age, and lower underwriter reputation. Price clustering contributes to IPO underpricing. The initial returns are 60.44% higher for note-ending relative to coin-ending IPOs. These results shed light on the pricing of Japanese IPOs due to negotiations and on investment opportunities with note-ending IPOs.     

股权集中度视角下高管团队特征对现金股利政策的影响

现金股利政策是上市公司对盈利进行分配或留存用于再投资的决策问题,在公司经营中起着至关重要的作用。探究了高管团队特征(规模、年龄、性别、学历背景)对企业现金股利政策的影响,研究发现管理团队的规模越大、平均年龄越大,企业现金股利支付率越高,表明企业管理团队人数越多,年龄越大,越容易采用较高的股利支付率,而管理团队的平均学历越高,越倾向于选择较低的现金股利分配率。说明更高学历的管理层认为,较低的现金股利支付水平才是有利于企业发展的股利支付水平。男性管理层和女性管理者对企业支付现金股利的高低并没有明显的差异。进一步研究发现,企业的股权越集中,管理者的特征对现金股利政策的影响会被弱化。也就是说,股权集中度会显著削弱管理者特征对公司现金股利政策的影响,该实证结果也印证了上市公司中代理问题的普遍存在。研究结果可为企业管理团队的合理配置提出可以借鉴的依据以及实证结果的支持。     

THE PERFORMANCE AND LONG-RUN CHARACTERISTICS OF THE CHINESE IPO MARKET

Abstract.  We study the short-run and long-run performance of 340 and 409 IPOs, respectively, listed on China's two exchanges from 1996 to 1997. We find that the average underpricing is 127.3%, and that the average market-adjusted cumulative return and buy-and-hold return over the three years after listing are 10.3% and 10.7%, respectively, which are both significantly positive at the 5% level. We then use a cross-sectional analysis to explain the long-run out-performance of Chinese IPOs, and find that firms with lower government ownership, smaller offering sizes, high-tech features and lower initial returns perform better in the long-run.     

Information content of lock-up provisions in initial public offerings

An overwhelmingly large proportion of initial public offerings (IPOs) report lock-up provisions that prohibit existing stockholders from selling their shares within a specified period after the offering date. These lock-up periods may last as long as 3 years. Because influential buyers request the lock-up, we conjecture that the length conveys credible information pertinent to the risk of the IPO. Analyzing 729 IPOs from January 1990 to December 1992, we found that the lock-up period signals the issuer's riskiness and that a 180-day lock-up period seems to be the norm. Any departure from the norm suggests more uncertainty about a firm's value and thus results in deeper IPO underpricing as well as a larger underwriter spread. We also found that thin-trading activity occurring shortly after the expiration of the lock-up period is perceived by the market as good news, while heavy trading is regarded as bad news.     

行业特征对我国上市公司现金股利分配的影响研究

根据中国证监会于2001年发布的《上市公司行业分类指引》,对我国沪深A股上市公司进行行业分类,并对我国上市公司现金股利分配的行业特征进行实证研究。研究结果表明:行业特征对中国上市公司现金股利分配具有一定影响;不同行业的上市公司的现金股利分配具有显著差异,但这种差异在行业间并非普遍存在;同一行业上市公司的现金股利分配具有稳定性;相对于行业因素,公司特征对上市公司现金股利分配的影响更为显著。     

On optimal reinsurance,dividend and reinvestment strategies

We investigate an optimal reinsurance and dividend problem of an insurance company with the presence of reinvestments, or retained earnings. We consider the general situation that the company needs to pay both fixed and proportional costs. The object of the company is to determine reinsurance, dividend and reinvestment strategies so as to maximize the difference between the expected discounted dividends minus the expected discounted reinvestment until the time of ruin. We focus on the excess-of-loss reinsurance strategy, which is shown to be optimal. The mixed classical-impulse control is then used to discuss the problem. Using inventory control theory, the value function and optimal strategy are derived.     

Dividends, safety and liquidation when liabilities are long-term and stochastic

This paper investigates the optimal management of a firm faced with a long-term liability that occurs at a random date. Three issues are analysed: The optimal dividend policy; optimal expenditure on safety to delay the occurrence of the liability; and the optimal liquidation date of the firm. An owner faced with dynamic unlimited liability never liquidates and therefore accumulates capital to the golden rule level. For long-term liabilities, dividend payments and safety expenditure are non-decreasing over time. The owner protected by limited liability may liquidate the firm in finite time in order to avoid paying the liability. If this is the case, then it accumulates less capital than the dynamic unlimited liability owner; and may decrease dividend payments and safety expenditure over time. The paper shows that a finite liquidation date is more likely to be optimal when the arrival rate of the liability occurrence increases over time.     

股利政策的因素分析：制度和技术的解释——基于公司成长性特征的实证分析

本文以763家上海证券交易所A股上市公司2003年的横截面数据为观察值，从制度和技术两个层面实证分析了现金股利政策的影响因素，分别考察了股权结构和组织特征对现金股利支付率的解释力。本文发现，股权结构（股权集中度和大股东持股）和组织特征（盈利能力、盈余水平、现金拥有量、公司规模和财务杠杆）均对现金股利政策具有一定的影响（而且大多数影响在统计上是显著的）；大股东整体上具有分配现金股利的倾向和能力。企业成长性机会能够弱化大股东集团分配现金股利的激励，并促使公司保留更多的现金用于有价值的投资机会。     

派现行为下的控股股东利益转移问题研究

本文运用深市上市公司的数据,对我国上市公司派现与控股股东利益转移行为之间的关系进行了实证分析.结果表明,控股股东将现金股利作为利益转移的方式之一,控股股东控股优势越大,公司派现意愿越强,派现水平也越高;派现意愿与公司上市年限负相关,而与上年配股情况正相关;此外,债务和股权制衡能够在一定程度上制约这种利用派现政策实施的利益转移行为.     

Detecting hot and cold cycles using a Markov regime switching model—Evidence from the Chinese A-share IPO market

This paper focuses on detecting hot and cold IPO cycles in the Chinese A-share market using a Markov regime switching model. We introduce a set of observations to measure IPO activities, which include numbers of IPOs issued, levels of underpricing, market conditions and duration time from prospectus and listing, and thus establish a model to estimate these activities' average performance in hot and cold periods respectively. It is found that a hot period is related with an abundant supply of IPOs, high levels of underpricing, positive market conditions and short waiting time to listing after prospectus issue. Further, this paper depicts the turning points of hot and cold periods across the period from 1994 to 2005 for each observation. The cycles detected by the number of IPOs per month are the benchmark and then these cycles' robustness is tested by the other observations.     

中央企业A股+H股整体上市及其对中国资本市场的影响

在分拆上市和单独境外上市对中国资本市场的不利影响日益凸显的情况下,中央企业A股+H股整体上市是兼顾企业利益和国家利益的现实选择。本文利用实证的研究方法,分析了中央企业先H股后A股、A股+H股同步和先A股后H股三种整体上市路径以及中央企业A股+H股整体上市对中国资本市场的影响,得出的结论是,三种中央企业A股+H股整体上市路径都能对我国资本市场的发展产生或多或少的积极影响;同时,中央企业A股+H股整体上市对包括中国香港在内的中国资本市场将产生多方面的积极影响。     

Third-party certification and post-IPO acquisitions

ABSTRACT

We explore the link between third-party certification (venture capital backing, analyst following and having a top underwriter), and post-IPO acquisition activity through the reduction in valuation uncertainty channel. In a sample of 2,424 U.S. IPOs, we find that third-party certification facilitates post-IPO acquisitions. The certified firms are both more likely and conduct acquisitions sooner after the IPO. Our results support the notion that third-party certification reduces post-IPO valuation uncertainty and thereby facilitates a more efficient acquisition strategy.     

Voluntary zero-dividend paying firms: characteristics and performance

We investigate the characteristics of ‘voluntary zero dividend paying’ firms and their subsequent performance. We define NDR_HP (no dividends or repurchases, with high profitability) firms as those with profits above the industry median and yet pay out zero dividends (including share repurchases). Signalling, agency, residual dividend, and life cycle theories explain firm characteristics and dividend payouts, to which we add the novel variables CEO overconfidence and market competition. We discover that growth opportunity, capital expenditure, and CEO overconfidence are positively related to NDR_HP. In addition, we find that the NDR_HP group outperforms all other groups in terms of future performance.     

IPO定价机制选择：固定价格、拍卖与累计投标

本文进一步拓展了Biais和Faugerson-Crouzet（2002）的模型。研究发现，固定价格定价机制由于不能收集投资者关于股票的真实信息，其抑价水平往往高于拍卖（统一价格拍卖）以及累计投标定价这三种定价机制，只有在投资者拥有的私人信号全部是坏信号的情况下，三者之间的抑价水平才会一致。拍卖与累计投标的抑价水平差异取决于投资者的理性约束行为。