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

二、主讲人：屈源育，清华大学经济管理学院金融系博士生。研究领域包括并购重组、实证资产定价以及机构投资者等，他目前的研究兴趣为中国资本市场的管制与金融摩擦。屈源育曾在许多重要的学术会议上报告论文，如中国金融学术年会（CFRC）、中国国际金融年会（CICF）、五星论坛（长江商学院、北大光华管理学院）以及中国经济学年会等，他的论文获得了2017年中国金融学术年会新结构金融最佳论文奖。屈源育博士从2014年至今担任对外经济贸易大学金融学院的兼职讲师。

三、时间：2017年12月13日（周三），12:30-14:00

四、地点：学院南路校区主教学楼910会议室

五、主持人：黄志刚，中央财经大学金融学院副教授

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.