借壳预期与上市公司壳资源价值  

Back-door Listing Anticipation and Shell Resource Value

作　　者：陈选娟 安郁强 林宏妹 CHEN Xuan-juan;AN Yu-qiang;LIN Hong-mei(School of Finance,Shanghai University of Finance and Economics,Shanghai,200433,China;Guangzhou Rural Commercial Bank,Guangzhou,Guangdong,510623,China)

机构地区：[1]上海财经大学金融学院,上海200433 [2]广州农村商业银行博士后工作站,广东广州510623

出　　处：《经济管理》2019年第12期140-157,共18页Business and Management Journal ( BMJ )

摘　　要：借壳上市一直备受中国资本市场和学术界关注,但现有研究较少关注壳价值度量,并且忽略了股价中因借壳预期预先升高的部分。本文首次将借壳预期引入传统的现金流贴现模型,理论估计上市公司借壳总溢价以及股价中因借壳预期引起的溢价占比。利用手工搜集的2008—2017年A股市场借壳数据进行估计,本文发现借壳总溢价平均为64%,借壳预期引起的溢价占股价比例在0.39%~5.3%。进一步,本文利用注册制改革等四个影响借壳预期事件,实证检验借壳预期发生变化对被借壳概率不同的上市公司的影响。结果发现,当增加(减小)借壳预期的事件发生后,被借壳概率越高的公司,其股价上涨(下跌)幅度越大。本文的结果不仅揭示了借壳上市与公司估值的关系,还有利于政策制定者和投资者估计注册制实施后借壳上市对上市公司和整个资本市场的影响。Back-door listing(BDL)has been subjected to the attention of China's capital market and academia.As an alternative to IPO,BDL is favored by companies to be listed because it can avoid the long IPO queuing process.In BDL transactions,most of the shell companies are acquired at a premium and share prices of shell companies will rise sharply,which is very attractive to investors.As a result,investors are keen to invest in stocks that may be backdoored.For investors,in addition to the gains from the listed companies operating activities,they can also obtain the value of a lottery that a company may be backdoored,so the stock price necessarily reflects the value of the lottery.But unfortunately,the previous literature did not consider the value of this lottery when measuring the shell value of listed companies.In 2017,investment style in the stock market changed.The prices of small and medium-cap stocks that had been sought after in previous years slumped.At the same time,the policy opinion of security market changed,such as IPO is easier than before,IPO will be excessive to a system of registration and the requirements for BDL are more stringent and so on.And investors generally believe that these policies will reduce the shell value of listed companies and the ratio of shell value contained in the price of small-or mid-cap stocks is higher.So,how to measure the shell value of listed companies?How does the anticipation of being backdoored affect the shell value?How does the market react when BDL anticipation is impacted?In order to answer these questions,this paper introduces the market expectation of BDL into the classic cash flow discount model to calculate the stock price and estimate the proportion of the BDL anticipation premium(BDLAP).Using 2008-2017 BDL data in A-share market,we find that the average total gain from BDL is 64% and the proportion of BDLAP varies from 0.39%to 5.33% in different companies.Among the smallest listed companies,the premium caused by the anticipation of being backdoored accounted for

关 键 词：借壳预期 公司估值 壳价值度量 

分 类 号：F270.7[经济管理—企业管理]