本文以我国10年来实施公开增发的A股上市公司为样本，考察不同市场环境下增发市场反应的差异及其原因。研究发现， “牛市”、“盘整市”与“熊市”三种市场环境下，增发公告的负效应依次递增。鉴于市场环境与投资者情绪之间有较强的联动性,随后，我们实证检验了投资者情绪与增发市场反应之间的关系，结果表明，两者显著正相关，即不同市场环境下公开增发市场反应的差异源于投资者情绪。

本文结合国有企业改制与产业结构调整的转型期背景，对国有 上市公司并购的产业路径及绩效进行理论分析，并以我国沪深股市 2003年-2007年国有控股上市公司股权收购为样本进行了实证检验。 研究发现，在相关并购路径下，相比于劳动密集型和技术密集型行业， 发生在资本密集型行业的并购提高国有上市公司绩效的同时，也提升 了产业集中度；在非相关并购路径下，产业创新型并购比非产业创新 型并购具有更高的产业效应,并且并购绩效显著优于非产业创新型并 购。这些发现凸现了国企并购的市场结构效应与产业结构效应，也揭 示了国企进退的效率路径。其政策含义在于，国有企业应遵循经济结 构演进优化的产业路径有进有退，坚持市场化导向和产业创新导向。

目前，学术界对公司高管发动并购事件的动因及并购毁损股东价值的解释尚未形成一致的观点。本文基于主并公司管理者的两个不同视角——理性管理者的道德风险行为视角及非理性管理者的过度自信心理偏差对公司并购动因展开深入探讨，试图重新检验管理者过度自信对并购动因的影响，并甄别两个理论在解释并购动因问题上的相对解释作用。并且，本文不仅关注了公司管理者的并购决策，还进一步研究了连续并购这一我国公司并购的普遍现象。出于上述研究目的，本文以2000－2007年全部A股上市公司作为样本，采用离散型因变量的面板数据Logit回归和负二项回归方法，得到了一些重要结论。实证结果表明，公司管理者的过度自信心理偏差并不能解释主并公司管理者并购与否的决策，也不能解释连续并购为何频繁发生的现象；当对管理者过度自信、代理成本在解释并购动因问题中的相对解释力进行研究时，本文发现支持代理理论的证据充分，但管理者过度自信的测度对管理者的并购决策或公司并购频率和次序都没有表现出任何显著的解释作用，从而确立了代理理论在管理者视角并购理论中的主导地位。除此以外，本文还发现在管理者机会主义的自利动机一定的情况下，管理者的经验对公司并购动因的作用是积极的，即能够降低管理者发起公司并购的可能性。

Various studies have been done on wealth effects and financial performance of firms in different countries but have yielded mixed results. Data on completed deals of Cross-border Mergers and Acquisitions (CBMAs) comprising public listed firms with more than ten percent of share acquisition in five East Asian countries were analysed using event study and key financial ratios. Although the results for average abnormal returns in Indonesia and Korea were inconclusive, the results for Malaysia, Thailand and the Philippines suggest that the market had reacted positively adding value to the target firms at merger announcements. There was a significant improvement in targets’ free cash flow after CBMAs when compared to both before CBMAs and also control firms after CBMAs. The results also reveal that that these five East Asian countries have moved towards more efficient markets.

We examine the impact of cross-border mergers and acquisitions on a target firm’s risk and return based on a sample of partially acquired target firms in 18 emerging countries between 1990 and 2007. We find that cross-border acquisitions significantly reduce both the total and downside risk of the target firms and that this reduction is more significant in acquisitions undertaken by bidders from countries that have better protection of investor rights. We also show that this risk reduction improves the risk adjusted performance of these firms. Thus, we conclude that cross-border partial acquisitions benefit an emerging market investors’ risk-return trade off by reducing investment risk and increasing investment returns; policy makers in emerging markets may be well advised to open their markets for partial cross-border acquisitions.

In this paper, we empirically examine the relationship between government ownership, synchronicity and M&A performance in Chinese market. We found strong evidence to support “Helping Hand Hypothesis” that bidders with high government ownership yield better performance in both the short run and the long run. We also document a negative relationship between synchronicity measure and M&A performance. Various explanations have been offered to explain this phenomenon. In addition, we find both political influence and stock market valuation play an important role to forecast M&A outcome in China market. Within hot political period, government-related bidders yield better performance in the short run, while in high valuation period, public bidders receive higher premium.

In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger a market collapse.

If liquidity or illiquidity shocks reduce returns, then such risks need to be priced. The goal of this paper is to examine whether liquidity or illiquidity shocks increase or decrease returns on the Shanghai and Shenzhen stock exchanges. Our measure of illiquidity is the widely used Amihud’s (2002) ILLQ measure, and we proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period 1993 to 2003, we find weak evidence of the illiquidity shock having a negative effect on returns on both exchanges, and while greater cases of a positive effect of liquidity factors on returns is documented, very few of these are statistically significant. Hence, contrary to the extant literature, we find weak evidence in favour of pricing liquidity on the Chinese stock market.

Using block trades data on the Shanghai Stock Exchange (SSE) from 2003 – 2009, we study the pricing mechanisms of block buys and sells. We show that block trades are priced at discount (premium) for sells (buys). The discount/ premium varies depending on the characteristics of the stocks traded, the complexity of the trades, and also on whether the trades are internalized. We also study permanent and temporary price impact of the trades. As expected, seller-initiated trades do not seem to be information related as there is no significant information content. On the contrary, the prices decline after buyer-initiated trades, suggesting that buyers do not possess private information which leads to a permanent shift in prices. Temporary price impacts of all trades are large in magnitude and statistically significant, reflecting compensation for locating counterparties and the cost of negotiating terms. This suggests that the information platform on SSE for locating counterparties is yet to be fully developed to help reduce the transaction cost of block trades.

We hypothesize and test an inverse relationship between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: thickness and noisiness. As represented by expected volume (thickness) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with ex post and ex ante price volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between volatility and noisiness is amplified in times of market crisis. The overall results demonstrate that volatility increases as noise trading declines. All findings retain statistical significance and materiality after controlling for a number of specifications. This inverse liquidity-volatility relationship reflects a microstructure interpretation of the liquidity risk premium documented in the asset pricing literature.