A+H逆向交叉上市IPO定价研究——兼析“国内溢价、海外折价”现象

Research on the IPO Pricing of A+H Reverse Cross-listing

近年来，我国逆向交叉上市公司数量不断增长。但是，其境外折价、本土溢价的特殊现象导致本土投资者权益流失以及国内财富转移的问题一直存在。基于事件研究法的套利检验结果表明，跟随H股定价方法给境外投机机构提供了操纵回归上市发行价，进而利用比价效应实现高价套利的机会，导致内地投资者权益流失以及内地财富向境外市场转移等经济后果。按照本文提出的回归上市IPO定价模型，相同样本的后验结果表明，基于本模型确定的IPO价格与三十日后的股价更为接近，其累计收益率也大幅低于跟随H股定价。因此，考虑公司特质和本土市场估值水平的综合定价比跟随H股定价能够更合理地反映公司估值，减轻人为操纵对定价和A股市场的负面影响。最后，基于本文研究结论提出了改进IPO定价制度的政策建议。

The number of Chinese reverse cross-listing companies is increasing continually in recent years. But the problem of rights and interests loss of domestic investors and loss of national wealth whic h are caused by the special phenomenon of discount overseas and premium mainland. First, from the perspective of the abnormal return rate, we compared the market performance of reverse cross-listing companies at Hong Kong and mainland market and the changing of market performance after they issued A share. Than we calculated the predicted issue price which consider both firm-specific characteristics and domestic market assessment and compared the shore-term, medium-term and long-term accumulative return rates of reverse cross-listing companies with original issue price and predicted issue price.Results show that after the event of reverse corss-listing, the market performance of reverse cross-listing compa- nies are both promoted at Hong Kong and mainland market.But in the long term, the market performance of reverse cross-listing companies at mainland market are obviously better than those at Hong Kong market.And the accumulative return rates with predicted issue price are significantly less than the accumulative return rates with original issue Price.