近日，我院副教授万谍博士的论文《IPOrelative difficulty, M&A option and size effect》在《Journal of Asian Economics》2021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 AsianEconomics是美国亚洲经济研究会（AmericanCommittee on Asian Economic Studies, ACAES）旗下杂志，创刊于1990年，双月刊，影响因子2.159， 2021年SSCI分区中属于Q2。2020年8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：Sizeeffect in China’s stock market is huge from 2012 to 2017. We empiricallyidentify a driving force behind the effect: M&A option caused by IPO andM&A policies changes. We show that the M&A frequency increases and theacquirers' market value deceases as the IPO relative difficulty rises, smallfirm premium is positively related to both IPO relative difficulty and M&Afrequency, and among the listed firms that have stronger tendency to merge oracquire a private firm, size effect is significantly larger. These results holdwhen 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 aprivate firm with discount since both the acquired and the acquirer benefitmore, so the stock price of a small firm contains a larger part of M&Aoption. This option value increases as IPO relative difficulty rises.
文章内容简介（中文译文）：2012至2017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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