券商声誉与公司IPO市场表现——来自中国上市公司IPO造假的新证据
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| Title | Underwriter Reputation and Post-IPO Performance:New Evidence from IPO Fraud of Chinese Listed Companies
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| 作者 | 张学勇 张秋月 |
| Author | Zhang Xueyong and Zhang Qiuyue |
| 作者单位 | 中央财经大学金融学院 |
| Organization | School of Finance, Central University of Finance and Economics |
| 作者Email | zxy_616@163.com; 604525909@qq.com |
| 中文关键词 | 上市造假 券商声誉 IPO表现 双重差分模型 |
| Key Words | IPO Fraud; Underwriter reputation; IPO performance; DID |
| 内容提要 | 已有的研究表明券商声誉好坏对于其所承销证券的公司IPO表现有显著影响，但是对于如何来衡量券商声誉的好坏存在一定的分歧。与国外文献中普遍采用的券商市场份额、排名等间接指标不同，本论文以中国券商所承销的公司IPO过程违规造假为新的研究视角，将券商分为声誉好与声誉坏的两类进行对比分析。实证研究表明：从同一时期来看，相较于那些没有被披露承销过IPO违规造假公司的券商，承销过IPO违规造假公司的券商再次承销的公司IPO发行抑价率较高，股票长期回报率较低。对于同一券商，相对于在IPO违规造假披露之前，在披露之后（声誉受损）券商所承销的公司IPO表现为显著较高的发行抑价率和显著较低的股票长期回报率。基于双重差分模型的结果依然支持上述结论，表明相对于传统的券商声誉指标，基于IPO造假构建的声誉指标更加有效。本文的研究为理解券商声誉对于公司IPO的影响提供了新的更为直接的证据。 |
| Abstract | Existing literature has shown that underwriter reputation has a significant impact on the IPO performance of listed companies, but there always has been controversy about the measurement of underwriter reputation. Different from the general use of ranking, market share or other indirect proxies, this paper examines the underwriter reputation from a new perspective by using IPO fraud of Chinese listed companies. We divided the underwriters into two types, the good reputation ones and the bad reputation ones using two methods. Firstly, we refer underwriters with clients reporting IPO fraud to the bad reputation ones, comparing to the good reputation ones without IPO clients reporting fraud in the same period. Secondly, underwriters own bad reputation after their corporate clients was caught IPO fraud while the same underwriters enjoy good reputation before their clients reporting fraud. Using cross-sectional method and difference-in-difference (DID) approach, we find that (1) firms going public hiring bad reputation underwriter exhibited higher underpricing levels and a lower long-term return compared to the firms that hired the good reputation underwriter; (2) compared with traditional reputation proxies, the new proxy constructed by IPO fraud is more effective. This paper is of great significance for the mechanism of underwriter reputation. |
| 文章编号 | WP1130 |
| 登载时间 | 2016-11-15 |
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