逆向交叉上市的估值溢价与传递溢出效应——基于H股回归上市的实证研究

Valuation Premium and Spillover Effects of Reverse Cross-Listing——An Empirical Study of A-Share IPO of H-share Firms

本文从绑定效应和'声誉寻租'角度考察地理相近的市场间H-A逆向交叉上市公司的估值溢价,从收益率波动性视角分析H-A逆向交叉上市对内地市场的传递溢出效应。结果显示,H股回归上市受益于绑定效应可以获得显著的估值溢价,但与由境外上市时间反映的绑定信号质量无关;同时,累积效应不断下降,说明H股回归上市存在非优质公司的'声誉寻租'行为。H股回归上市对A股市场和同行业公司有显著的单向传递溢出效应,说明逆向交叉上市有助于改善新兴市场的结构和效率。

From the perspectives of binding effects and rented reputation,the authors of this paper research the premium of H-A reverse cross-listing firms listed in geographically close markets,and examine the spillover effects of H-A reverse cross-listing on home markets by return volatility.The results of the paper show that the A-share IPO of H-share firms benefits from the binding effect,and can obtain a significant valuation premium,which however is independent of the quality of binding signal decided by the duration of offshore cross-listing;meanwhile,the cumulative effect is declining,which indicates that'rented reputation'behaviors exist in non-excellent A-share IPO of H-share firms.The A-share IPO of Hshare firms has a significant one-way transitive spillover effect on the A-share markets and companies in the same industry,which indicates that the reverse cross-listing can improve the structure and efficiency of emerging markets.