CAJ | 학술논문

国有股权对IPO抑价和长期收益率具有重要的影响。然而,已有研究关于国有股权对IPO抑价和长期收益率的影响并没有取得一致的结论。运用1990—2011年的中国A股IPO公司数据,使用首日超额收益率和首日收益率来衡量IPO抑价,运用买入并持有的两年期超常收益率和两年期累计超额回报来衡量IPO长期收益率,构建国有股权对IPO抑价和IPO长期收益率的影响的Cluster和Bootstrap回归模型进行分析。研究结果表明,国有股权比例越高,IPO抑价率越高;国有股权比例越高,IPO长期收益率越低。这一分析有助于认识国有股权对IPO抑价和长期收益率的影响,也有助于认识国有企业私有化过程中的政府行为及其影响,可以为国有企业改革提供一定的借鉴作用。
국유고권대IPO억개화장기수익솔구유중요적영향。연이,이유연구관우국유고권대IPO억개화장기수익솔적영향병몰유취득일치적결론。운용1990—2011년적중국A고IPO공사수거,사용수일초액수익솔화수일수익솔래형량IPO억개,운용매입병지유적량년기초상수익솔화량년기루계초액회보래형량IPO장기수익솔,구건국유고권대IPO억개화IPO장기수익솔적영향적Cluster화Bootstrap회귀모형진행분석。연구결과표명,국유고권비례월고,IPO억개솔월고;국유고권비례월고,IPO장기수익솔월저。저일분석유조우인식국유고권대IPO억개화장기수익솔적영향,야유조우인식국유기업사유화과정중적정부행위급기영향,가이위국유기업개혁제공일정적차감작용。
State ownership has important influence on IPO underpricing and long -run performance. Extant lit- erature examined how state ownership affected IPO underpricing and long - run performance, but it hasn＇ t got a conclusion that is widely accepted. This paper uses 1990 to 2011 of China＇ s A -share IPO company data, mean- while, it uses first - day excess returns and first - day returns to measure IPO underpricing, and uses the buy and holds A two -year supernormal returns and two -year cumulative excess return to measure IPO long -run perform- ance, and then builds the Cluster and Bootstrap regression model to study the effects of state ownership on IPO un- derpricing and long -run performance. It shows that IPO underpricing increases with state ownership and IPO long -run performance decreases with state ownership. This analysis helps us to know more about the effects of state ownership on IPO underpricing and longrun performance, and understand the government behavior and its influ- ence in the process of state - owned enterprise privatization ; it can provide certain reference for the reform of state - owned enterprises.