壳溢价：错误定价还是管制风险？  

Shell Premium: Mispricing or Regulation Risk?

作　　者：屈源育 沈涛 吴卫星[2] QU Yuanyu;SHEN Tao;Wu Weixing(School of Economics and Management, Tsinghua Universit;School of Banking and Finance, University of International Business and Economic)

机构地区：[1]清华大学经济管理学院,北京100084 [2]对外经济贸易大学金融学院,北京100029

出　　处：《金融研究》2018年第3期155-171,共17页Journal of Financial Research

基　　金：国家自然科学基金项目(71603147,71733004)的资助

摘　　要：IPO审核制下,上市公司凭借稀缺的上市资源获得真实价值以外的壳价值。本文检验了上市公司壳价值含量(ESV/MV)与股票横截面收益的关系。在控制了规模、账面市值比、盈利、投资等特征后,我们发现壳价值含量与股票回报率显著正相关。根据ESV/MV构造的对冲组合在时间序列上存在无法被现有风险因子模型所解释的超额收益(壳溢价)。进一步检验表明,壳溢价来源于与管制政策相关的系统性风险而不是股票市场的错误定价。The strict restrictions on IPO give rise to the shell value of the listed firm besides its intrinsic value.We investigate the impact of shell value on cross-sectional stock return. We find that high ESV/MV leads to high return,after controlling a variety of firm characteristics such as size,B/M,profitability,investment. Long-Short portfolio sort on ESV/MV earns a significant risk-adjusted abnormal return,which we call the shell premium. Further evidence prove that the shell premium comes from systematic risk related to IPO regulation rather than mispricing.

关 键 词：资产定价异象 错误定价 管制风险 

分 类 号：G12[文化科学] G02