一、主題：Reverse Mergers, Shell Value, and Regulation Risk in Chinese Equity Markets

二、主講人：屈源育，清華大學經濟管理學院金融系博士生。研究領域包括并購重組、實證資産定價以及機構投資者等，他目前的研究興趣為中國資本市場的管制與金融摩擦。屈源育曾在許多重要的學術會議上報告論文，如中國金融學術年會（CFRC）、中國國際金融年會（CICF）、五星論壇（長江商學院、北大光華管理學院）以及中國經濟學年會等，他的論文獲得了2017年中國金融學術年會新結構金融最佳論文獎。屈源育博士從2014年至今擔任對外經濟貿易大學bevictor伟德官网的兼職講師。

三、時間：2017年12月13日（周三），12:30-14:00

四、地點：學院南路校區主教學樓910會議室

五、主持人：黃志剛，bevictor伟德官网副教授

摘要：Using a comprehensive sample of reverse merger (RM) transactions, we examine the effects of China’s IPO regulations on the prices and returns of its publicly listed stocks. During 2007-2015, unlisted Chinese firms paid an average of 3 to 4 Billion RMB for each listed shell, an amount exceeding 2/3 of the median market capitalization of a listed firm. In the cross-section, a portfolio that longs (shorts) the highest (lowest) estimated shell probability (ESP) firms earns substantial abnormal returns. This large shell premium varies over time and is sensitive to regulatory shocks. Adding an ESVM-based factor to five common factors improves return attribution and eliminates the notoriously large size premium. Consistent with theory, ESVM also explains the sensitivity of prices to corporate earnings, and predicts the likelihood of firms to undertake major asset restructurings (MARs). We conclude China’s IPO regulations impose a high cost on the functional efficiency of its financial system.