20230209-国盛证券-量化分析报告_注册制与大小盘轮动_全球主要市场案例与经验_11页_1mb (1).pdf

|2023 02 09 2023 2 1 IPO Lee,Qu&Shen(2017)IPO IPO IPO IPO IPO IPO A A 2018 2019 IPO IPO A S0680518100004 S0680518030007 1 2023-02-07 2 2023-02-06 3 2023-02-05 4 2023-02-04 5 500 1000 50 2023-01-29 2023 02 09 P.2 IPO.3 A.5 IPO.7 3.1 IPO.7 1933:IPO.7 1956 1996 IPO.7 2002 SOX.7 3.2 1997.8 1947.8 1997 IPO.8 3.3+.9 1968.9 2006.9.10.10 1 ESVM(%).3 2 A IPO.4 3 IPO.4 4 IPO 3 SMB(%).5 5 A.5 6 A.6 7 A.6 8.6 9.7 10.8 11.9 12.10 2023 02 09 P.3 1933 90 A 90 A A IPO IPO Lee,Qu&Shen(2017)IPO IPO IPO ESVM(Expected Shell Value to Market)A IPO A 6 1 IPO ESVM 1 ESVM(%)Lee,Qu&Shen(2017)2023 02 09 P.4 2 A IPO 2011 5()2013 12 IPO IPO 2016 6()IPO 2014 5 IPO 2016 3 IPO Lee,Qu&Shen(2017)90 IPO IPO 3 4 IPO 3 IPO IPO 3 SMB 10.1%IPO IPO 3 SMB 19.6%3 IPO SMB(%)3 IPO 1956-9.3 5.7 3.6 1996-10.6 5.7-16.3 1997-30.6 0.8-31.4 2006-1.3-1.3 2.6 A 2019-4.2 1.4-5.6 IPO-6.9 2.5-9.4 IPO 1933-33.4 5.7 27.7 2002-SOX 17.3 5.7 11.6 IPO 25.3 5.7 19.6 Kenneth R.French Wind Bloomberg SMB French 20%20%1927 2022 SMB A 2006 30 1990 1996 2023 02 09 P.5 4 IPO 3 SMB(%)Kenneth R.French Wind Bloomberg A A IPO A 2018 5 A 2023 02 09 P.6 6 A Wind 2018 11 5 2019 7 2021 11 A IPO IPO 2019 2020 2021 IPO 80%2020 IPO 7 A 8 Wind Wind+2023 02 09 P.7 9 Wind IPO 3.1 IPO 1933:IPO 5 90%1933 1934 IPO 1956 1996 IPO 1933 1956 40 1996 2002 SOX 21 SOX IPO SOX 2023 02 09 P.8 4 1933 2002 SOX IPO 1956 1996 IPO 10 1927 SMB 3 10 Kenneth R.French 3.2 1997 1947 1947 1933 1948 IPO 1997 IPO 20 70 20 80 1997 20 80 IPO 2006 1997 2023 02 09 P.9 1997 30 11 1997-1999 30 11 Bloomberg 3.3+20 50 1962 1968 1968 1983 2006 2006 1 11 22 2006 12 2006 2007 2023 02 09 P.10 12 Bloomberg Lee C,Qu Y,Shen T.Reverse Mergers,Shell Value,and Regulation Risk in Chinese Equity MarketsJ.Ssrn Electronic Journal,2017.2023 02 09 P.11,6 A 300 500 15%5%15%-5%+5%5%10%-10%+10%10%26 3 100032 010-57671718 868 One56 1 10 200120 021-38124100 1115 330038 0791-86281485 100 24 518033