上海对外经贸大学思源金融讲坛
——学术报告第46期
题目：Pricing Inversion and Post Lock-in Period Returns in Private Equity Placements in China
报告人：安云碧 （加）温莎大学Odette商学院
时间：2017年9月29日下午1: 30 -3: 30
地点：博萃楼4楼阳光房
This paper investigates the mechanism that drives the price dynamics for privately placed stocks with price inversion on the unlock date. Using a sample of Chinese companies that placed equity privately with lock-in periods ending between 2007 and 2015, we find that stocks with price inversion generate higher short-term returns after the lock-in period than those without price inversion, and the greater the degree of price inversion, the better the short-term returns post the lock-in period. This anomaly cannot be explained by the price reversal effect, investors’ under-reaction to the companies’ prospects,or the improved governance after private placements. Rather, with price inversion, firmsthat make private placements are pressured to boost their share prices temporarilyafter the unlock dateto transfer interest to participating investors. Interests transferto local investorsis particularly pronounced if local investors are involved in the private placements. Additionally, the better the corporate governance – the lower the ownership of major shareholders, or the larger the board of directors – the lower the degree of interests transfer.
报告人简介
安云碧，现为加拿大温莎大学Odette商学院金融系教授，主要研究领域包括金融衍生品、资产组合管理、风险管理、公司金融等。
代表性论文
1.“Star analysts, overreaction, and synchronicity: Evidence from China and the U.S.” (with Mingshan Zhou and Jing Lin), forthcoming inFinancial Management.
2.“Bribe payments under regulatory decentralization: Evidence from rights offering regulations in China” (with Ye Liu and Jinqing Zhang), 2016,Journal of Banking and Finance, Vol. 63, 61-75.
3.“International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective” (with Chonghui Jiang and Yongkai Ma), 2013,Journal of Banking and Finance, Vol. 37, No. 2, 648-659.
4. “Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets” (with Qingfu Liu), 2011,Journal of International Money and Finance, Vol. 30, No. 5, 778-795.
5. “An analysis of portfolio selection with background risk” (with Chonghui Jiang and Yongkai Ma), 2010,Journal of Banking and Finance, Vol. 34, No. 12, 3055-3060.
6.“An empirical comparison of option pricing models in hedging exotic options” (with Wulin Suo), 2009,Financial Management, Vol. 38, No. 4, 889-914.
7.“The practical compatibility of one-factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance” (with Wulin Suo), 2008,Journal of Futures Markets, Vol. 28; No. 2, 109-130.
