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喜报| 我院教师万谍在SSCI期刊《Journal of Asian Economics》发表论文
发布日期:2021-07-16 阅读:675 次

    近日,我院副教授万谍博士的论文《IPO relative difficulty, M&A option and size effect》在《Journal of Asian Economics2021年总第76卷正式刊出。该论文与银华基金量化投资部杨腾先生、中国科学院数学与系统科学研究院杨晓光研究员合著。Journal of Asian Economics是美国亚洲经济研究会(American Committee on Asian Economic Studies, ACAES)旗下杂志,创刊于1990年,双月刊,影响因子2.159 2021SSCI分区中属于Q220208月起Elsevier成为该杂志的出版服务商。论文在这类国际高水平期刊上发表,有助于提升我院的科学研究和学科建设水平。

 

    文章摘要:Size effect in China’s stock market is huge from 2012 to 2017. We empirically identify a driving force behind the effect: M&A option caused by IPO and M&A policies changes. We show that the M&A frequency increases and the acquirers' market value deceases as the IPO relative difficulty rises, small firm premium is positively related to both IPO relative difficulty and M&A frequency, and among the listed firms that have stronger tendency to merge or acquire a private firm, size effect is significantly larger. These results hold when controlling reverse merger probability. In sum, we reveal a new mechanism: Comparing with a large public firm, a small one is more likely to acquire a private firm with discount since both the acquired and the acquirer benefit more, so the stock price of a small firm contains a larger part of M&A option. This option value increases as IPO relative difficulty rises.

 

    文章内容简介(中文译文):20122017年间,中国股市的小盘股溢价非常高。本文实证证实,受IPO和并购政策影响的并购期权是高溢价的主要原因。我们发现,随着IPO相对并购的难度上升,并购的频率增加且收购方的市值减少;小盘股溢价同时与IPO相对难度、并购频率正相关;且在并购非上市公司概率更高的上市公司中,小盘股溢价更高。这些发现在控制了借壳概率之后仍然成立。因此,本文揭示了一个新的机制:相比大市值的企业,因交易双方受惠更多,小盘股有更高的概率折价收购非上市企业,因此,小盘股溢价源于小市值企业的股价中蕴含更高价值的并购期权,且该期权的价值随IPO相对并购的难度上升而增加。

 

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