1、 滬市公司IPO的績效分析 摘要通過對1999年和2000年間上市滬A股公司實證研究，發現這兩年間上市的滬A股存在業績下滑現象。結合中國持有制度背景，討論公司IPO業績下滑影響因素。 關鍵詞 IPO 業績效應 上市公司一，IPO業績效應的一般理論首次公開發行股票（Initially Public Offerings簡稱IPO）的公司，其經營業績在上市前后會有怎樣變化，是什么原因造成這些變化的發生，是長期以來財務界，金融界十分關注的問題。從理論上來說，公司往往在進入快速成長階段上市，上市時獲得了一筆可觀的股權資本，提高資信等級，改善了資本結構，上市后還可以在資本市場上持續融資，增強了競爭環境下抵

2、御支付風險的財務能力；同時從上市前的資本約束，投資不足狀態中解脫出來，在把握戰略投資機會和起因戰略資源方面處于有利的競爭地位。所以公司在上市后的三至四年內，應該實現與資產規模擴張速度一致甚至更高的經營業績目標。但是國外學者的研究表明，公司上市當年經營業績顯著低于上市前一年，即公司上市后難以維持其上市前的業績水平，上市后經營業績顯著下降。關于公司上市前后業績變化的理論預期與實證結果的背離，稱之為“IPO業績效應”。對其原因，國外學者一般認為有以下幾方面原因：（一）代理成本假說。主要是管理層與外部鼓動的利益沖突和代理成本的增加，出現將自由現金流投資與不利于股東價值最大化的投資行為，導致企業業績下降

3、。（二）報表粉飾假說。企業管理層為了更多的融資和上市成功，美化或高估其上市前的會計利潤，使上市后的實際經營業績難以超過上市前。（三）“機會之窗“假說。管理層利用信息不對稱選擇在公司業績最好的時機上市。（四）內部控制失效假說。由于公司內部控制系統失效，使產業內各企業過度投資，形成能力嚴重過剩，引起價格戰，從而導致經營業績下滑。我國股市字創立以來，發展迅速。大量數據表明，盡管大部分上市公司都是各地篩選好的企業，但整體經營業績財務指標仍呈現下降趨勢，陷入“一年績優，二年績平，三年虧損，四年重組”的怪圈。借國內外的研究方法，我們想對上市公司業績表現及其原因進行研究。二，滬市公司IPO業績效應的表現1樣

4、本的選擇我們選取的是1999年和2000年的只首發滬A股的公司作樣本。并且樣本要滿足以下這個條件：1998年到2004年間，各年的總資產收益率（凈利潤/總資產）必須在（-30%，70%）這個區間范圍內。這樣選擇的原因是既可以排除大虧一次式贏余管理的干擾，又可以消除異樣值的影響。而且保證了有足夠的樣本進行統計檢驗。最終我們選擇的90個樣本，其中99年樣本49個，00年樣本41個。2研究方法構造了一個變量Y來衡量一家公司上市后的業績變化幅度。Y=上市前兩年（即-2年）與前一年（即-1年）的總資產收益率的均值-上市后第二年（即2年）與上市后第三年（即3年）的總資產收益率的均值。考慮到總資產收益率代表

5、企業經營業績，籌集資金投資效益可能滯后，所以采用上市后第二年和第三年的均值。3數據來源上市前后的數據來源均從巨潮信息網獲得。4結果顯示通過得到的數據表明，所有樣本的Y值都大于0，即上市后的業績與上市前相比都下滑了。當然可能存在一些宏觀因素的影響。不同年份上市的公司在上市前后的經營業績的變化會受到不同年份宏觀經濟變遷的影響。所以我們采用的比較均值法，盡管還不能完全剔除宏觀因素的影響，但足以說明我國上市公司確實也存在上市后業績下滑的問題。三，IPO前后公司業績顯著下滑的影響 1建立模型 EMBED Equation.3 （-2年與-1年總資產收益率均值）-（2年與3年的相應均值）上市時募集資金/上

6、市前一年末凈資產上市后三年內有配股為1，否為0上市當年第一大股東持股比例大于50%為1，否為0用于償還上市前債務的募集資金/總募集資金上市前年末的總資產大于50億為大規模取1，否為0 2研究假設及其相關解釋 （1）上市是募集資金額對企業上市前后業績變化的影響 ）提出的原因：首先許多企業為了用足上市發行額度，在募集資金使用計劃中回采用多種手段，虛構投資項目，夸大投資需求，從而夸大投資項目的資金需求量，以盡可能多地募集資金。導致募集資金超過了公司運營資金的能力，資金嚴重過剩。其次有些企業在上市前有很多債務沒有償還。上市后用大量募集資金來償還債務，再將剩余部分用來投資，造成投資金額不充足等現象發生。

7、另外募集的資金會延遲產生經濟效益。這幾方面都會導致經營業績下降。）提出假設H1：企業募集資金與首發前一年末凈資產比值越大，業績下降的幅度越大 。 假設H2：用于償還上市前債務的募集資金占總募集資金比例越大，業績下降的幅度越大。 （2）配股對首次發行公司上市前后業績變化的影響 ）提出的原因：如果公司獲取了在三年內的配股資格，在發行時就有可能對各年業績進行平滑，而不會將利潤全部集中在首發當年或之前。 ）提出假設H3：公司股票首次發行后三年內如果配股，則公司業績下降幅度的要小于無配股的公司。 （3）第一大股東持股比例對首發公司上市前后業績變化的影響 ）提出的原因：由于我國特有的非流通股股東控股現象，

8、大股東處于自身利益考慮而進行上市前的贏余管理，可能導致業績下滑。上市時第一大股東持股比例越高，老股東達到籌資目的且犧牲較小控制權的動機越高。大股東有可能利于控股地位從上市公司抽區利潤和資金。 ）提出假設H4：企業上市時的股權越集中，經營業績下滑的幅度越大。 （4）公司規模大小對其上市前后業績變化的影響 ）提出的原因：公司規模不同，在抗風險和靈活性方面則不同。規模大的上市公司一般處于行業領先地位，其收益較穩定，相比而言，規模小的公司則處于不利地位。 ）提出假設H5：上市時總資產規模與上市前后業績下降幅度有關。3回歸結果Dependent Variable: YMethod: Least Squa

9、resDate: 06/06/03 Time: 11:01Sample: 1 90Included observations: 89Excluded observations: 1VariableCoefficientStd. Errort-StatisticProb. X10.0251320.0046625.3911180.0000X2-0.0155150.011590-1.3387410.1893X30.0111780.0065781.6994560.0981X40.0194210.0083722.3197400.0263X50.0136790.0092971.4713370.1501R-

10、squared0.325583 Mean dependent var0.022380Adjusted R-squared0.248507 S.D. dependent var0.025141S.E. of regression0.021794 Akaike info criterion-4.697862Sum squared resid0.016625 Schwarz criterion-4.486752Log likelihood98.95723 Durbin-Watson stat2.062486Dependent Variable: YMethod: Least SquaresDate:

11、 06/06/03 Time: 11:12Sample: 1 90Included observations: 89Excluded observations: 1VariableCoefficientStd. Errort-StatisticProb. X10.0233300.0109992.1211240.0413X2-0.0157440.011820-1.3319370.1917X30.0107310.0071101.5092290.1405X40.0202490.0096382.1009070.0431X50.0128510.0104731.2270820.2282C0.0025100

12、.0138300.1815090.8570R-squared0.326236 Mean dependent var0.022380Adjusted R-squared0.227153 S.D. dependent var0.025141S.E. of regression0.022102 Akaike info criterion-4.648830Sum squared resid0.016609 Schwarz criterion-4.395498Log likelihood98.97661 F-statistic3.292554Durbin-Watson stat2.036391 Prob

13、(F-statistic)0.015680總體上看，實證結果部分支持我們提出的假設：（一） 公司上市后業績下降幅度，與上市時募資總額與上市前一年凈資產的比值成正比。原因：籌資金的滯后性，即是上市后的二，三年都仍未帶來足夠利潤。（二） 公司上市后業績下降幅度，與用于償債籌資金與總籌資金的比值成正比?；I資金用于償還上市前的債務，而不是用于經營，會導致公司在上市后的業績下滑。（三） 三年內有配股公司的業績下降幅度小于無配股公司。說明公司在能獲得首發的前提下，在發行時就會對各年業績進行平滑。（四） 第一大股東持股數與公司規模大小對公司業績下滑的影響不顯著。（五） 回歸的顯著系數不高，原因：有很多未考慮

14、的變量。比如公司上市前的評估增值率對其業績的影響，公司管理層把籌得的部分資金用于消費而沒有用來投資等。以上回歸均通過了各項檢驗。1多重共線性的檢驗X1X2X3X4X5X1 1.000000 0.071047-0.178757-0.428682-0.362140X2 0.071047 1.000000 2.89E-17-0.032236-0.060239X3-0.178757 2.89E-17 1.000000 0.070067 0.149215X4-0.428682-0.032236 0.070067 1.000000 0.046749X5-0.362140-0.060239 0.149215

15、 0.046749 1.000000通過以上的簡單相關系數矩陣看出，各解釋變量之間的相關性不大，則模型不存在多重共線性的影響。2異方差的檢驗White Heteroskedasticity Test:F-statistic0.739836 Probability0.640165Obs*R-squared5.571826 Probability0.590535Test Equation:Dependent Variable: RESID2Method: Least SquaresDate: 06/06/03 Time: 12:48Sample: 1 90Included observations

16、: 89Excluded observations: 1VariableCoefficientStd. Errort-StatisticProb. C0.0004970.0006090.8156160.4207X1-0.0004020.001110-0.3623110.7195X120.0004340.0005650.7676030.4484X2-0.0001010.000403-0.2517570.8028X30.0001160.0002540.4545590.6525X4-0.0008890.000807-1.1020120.2787X420.0003690.0005130.7191210

17、.4773X60.0001600.0003760.4239920.6744R-squared0.139296 Mean dependent var0.000415Adjusted R-squared-0.048983 S.D. dependent var0.000719S.E. of regression0.000737 Akaike info criterion-11.41227Sum squared resid1.74E-05 Schwarz criterion-11.07449Log likelihood236.2453 F-statistic0.739836Durbin-Watson

18、stat1.317367 Prob(F-statistic)0.640165從WHITE檢驗的結果來看，Obs*R-squared=5.571826<(0.05)=14.0671,說明模型不存在異方差的問題。3自相關性的檢驗Durbin-Watson stat=2.036391，極為接近2，可以據此判斷模型不存在隨機干擾項自相關的問題。參考文獻：1. 李常青，劉清昌。影響IPO公司業績效應分析。南開管理評論，2005B卷（1），P96-100。2. 洪劍峭，陳朝暉。中國股市IPO效應實證研究。中國會計與財務研究，2002。（1）。3. 李志斌。銀行結構與中小企業融資。經濟研究，2002，

19、（6）。4. 米什金。貨幣金融學。中國人民大學出版社，1998，P237-242。5. （日）青木昌彥。比較制度分析。上海遠東出版社，2001，P321-324。6. Jain,B.A.&Kini,O.The Post-issue Operating Performance of IPO Firms.Journal of Finance,1994,(49).7. Mikkelson,Waync H.M.Partch&K.Shah.ownership and Operating Performance of Companies that Go Public.Journal of

20、Financial Economics,1997,(44),P281-307.計量經濟學課程論文 滬市公司IPO績效分析 02級金融工程 組 長：黎 梅（40221035） 組 員：張 益（40221024） 馮小鹿（40221023） 指導老師：史代敏教授完成時間：2005年46月附表1 ：原始數據20002001凈利潤總資產凈利潤總資產60052337,219,413.65807,790,574.7919,103,223.52108,827,022.2560050627,345,145.43319,400,533.9129,716,025.17611,926,094.77600548339

21、,223,834.005,931,176,373.00401,936,897.006,995,999,210.0060033136,571,048.71521,446,977.9222,238,564.541,145,447,720.326005671,806.7133,755.622,303.5066,627.6760039130,176,032.48376,744,837.8735,124,542.66663,312,716.836000112,644,226,94742,411,333,8513,636,064,24447,229,708,71860036131,542,327.3943

22、2,276,371.7345,817,353.871,540,299,162.0460032264,404,291.082,563,699,215.9166,301,936.103,059,129,286.0260059623,035,858.52597,899,710.7620,482,849.16930,993,924.2660044833,600,876.37818,451,764.6722,816,122.621,289,880,042.71600508113,575,647.971,005,586,498.85165,454,534.371,902,588,812.406005991

23、1854714.03131947190.47 17790096.31350247095.82 600519251,103,580.631,268,856,244.90328,290,723.143,463,388,734.9860053930,730,021.67511,255,387.6437,227,836.981,050,270,596.5360041881,654,875.03651,413,668.8788,962,410.671,371,371,007.72600498111,071,404.101,409,682,790.15167,435,299.443,026,427,577

24、.9760056614,546,817.04223,382,952.9117,701,866.29582,650,722.58600569492262987.45 5089480677.66 470730259.54 6068533586.00 60034613,805,052.62334,537,103.1715,952,621.88530,270,936.8360002816,154,000,000340,918,000,000.0014,018,000,000.00360,294,000,000.0060055610,133,219.69267,843,584.1615,180,753.

25、47788,877,537.946003859,359,488.14422,462,769.564,754,302.01440,133,073.7860037290,754,752.722,071,888,942.8986,529,340.033,287,764,438.2260053050,615,855.64448,112,095.8254,640,914.531,174,748,264.5760041912,629,669.25248,633,462.9313,569,777.31403,397,127.3760031144,042,432.17399,055,346.4764,777,

26、145.371,244,658,168.8560048865,583,454.97502,776,628.7575,362,245.231,134,021,405.5560050122,163,321.83413,606,412.3833,009,067.82792,746,435.6760046816750877.31366510527.85950581.01561425046.360058926,423,951.85269,563,223.4335,227,474.65688,375,246.37600380155,999,285.85739,794,877.87200,618,059.9

27、02,327,350,377.6360032986,474,0002,512,656,00064,441,0002,719,735,00060039549,440,139.36730,289,182.3168,594,330.311,391,446,321.47600528169,930,075.782,020,279,822.36164,151,937.383,471,109,479.5760032161,371,680.00281,021,660.0061,904,180.001,295,455,710.006005682,367,684.79124,129,131.8613,867,13

28、4.12460,314,776.9260038113,949,326.33295,016,625.8619,468,512.38598,919,728.52600295206,399,1893,401,631,873230,683,8933,911,307,69260035636,539,757.32663,750,882.3845,694,782.87656,006,785.5760038384,163,013.701,132,508,511.25120,277,004.322,269,934,364.2860036317,110,000.00700,600,000.0017,030,000

29、.00701,300,000.0020032004總資產凈利潤總資產凈利潤1,005,367,182.204,415,964.171,051,179,898.501,684,585.38712,468,006.5616,150,216.93669,789,690.72804,797.857,105,308,870.56852,037,109.317,518,609,524.83484,564,032.972,255,667,983.1646,428,499.412,792,464,188.9396,739,019.611,203,213,100.0048,595,600.001,727,036

30、,700.0048,015,700.00657,312,704.4425,971,643.78676,427,941.1820,702,912.1953,276,965,016.005,457,142,551.0071,324,978,078.005,389,057,047.002,210,856,307.9064,572,895.242,277,146,858.0197,249,562.293,178,469,898.9820,880,374.793,550,169,182.7115,718,668.601,136,126,682.0435,115,702.901,454,760,882.4

31、6137,280,629.051,306,040,651.082,270,566.261,028,780,648.98-103,110,677.912,723,636,352.25173,731,456.673,439,490,507.84363,575,031.31544,795,700.001,008,300.00546,711,000.002,126,000.004,956,365,810.85586,747,838.276,373,652,963.57820,553,997.191,122,815,682.8723,626,285.281,204,286,895.9824,712,19

32、9.562,505,332,100.00207,370,900.003,765,438,500.00321,438,300.003,683,626,432.5725,651,514.393,632,581,244.0535,160,727.82650,391,551.557,402,611.24697,903,884.807,427,604.167,468,795,189.23824,392,203.308,939,752,864.41732,018,142.38563,445,176.644,628,465.39565,787,963.864,830,637.37390,213,000,00

33、0.0019,011,000,000.00460,081,000,000.0032,275,000,000.001,420,126,044.2157,321,856.061,752,042,824.7478,228,815.89240,811,998.03-76,431,576.02232,053,117.773,024,626.473,885,578,271.3150,722,320.633,633,666,685.30-48,008,147.561,604,701,789.5457,022,956.691,506,015,781.3431,075,131.26513,619,346.101

34、0,255,142.90546,851,379.60-13,232,125.701,431,256,488.0256,588,442.211,468,626,949.8750,159,143.421,604,898,191.9290,075,722.981,528,578,144.08100,858,183.011,058,399,661.198,250,867.141,469,888,841.4034,866,653.93788,606,250.8010,179,193.39793,977,981.1316,360,371.70830,924,769.3553,062,784.481,072

35、,077,752.3754,448,037.164,415,827,026.70140,275,065.494,413,648,169.3197,263,412.273,797,116,000.0086,459,000.003,913,234,000.0064,023,000.001,523,470,093.4774,134,923.631,838,859,491.8077,717,369.094,242,059,242.2670,898,942.415,706,443,578.1570,133,105.161,224,989,692.8532,833,857.591,561,970,678.

36、0129,400,439.38567,921,190.7711,090,705.37771,638,014.178,756,158.201,181,490,109.2527,557,871.581,713,444,081.3118,861,585.505,184,099,551.00175,232,381.006,824,403,838.00162,947,858.00947,092,663.6569,706,110.491,156,894,903.1874,581,921.024,819,133,278.32165,550,077.895,860,637,249.07246,254,839.

37、981,546,786,900.0047,920,300.001,725,559,700.0038,309,000.00上市募集資金支付債務現金籌資總額 327554200273,008,379.26620,666,678.6023141290055,400,000.00344,938,503.68587140000540,000,4261,269,739,404446801500126,330,000.00706,385,694.6140000000119,000,000.00452,482,882.7924523000027466800004,859,764,7025,472,932,33

38、53783200006,291,624.441,550,254,330.81588550000155,433,605.71705,209,896.96310982000271,900,000.00534,705,603.30531794000871,576,355.88963575000234,400,000.001,003,236,857.5720997800019,037,700.00238,622,955.802202179475129,000,000.002,014,522,206.52594626300107,740,000.00662,872,164.14841191500266,

39、020,000.00967,118,447.701797342000164,052,000.002,116,559,102.2533000000037,210,000.001829250000619,584,257.991,739,550,737.98197210000169,160,000.00364,356,907.784,500,000,000.0042132200090,304,024.72644,066,826.2746020000776441000448,525,125.001,120,245,921.00665250000227,000,000.001,025,042,820.2

40、616633500082,600,000.00254,605,103.97667700000492147900245,029,545.55871,576,355.88304290000478,000,000.00791,595,349.36186200000110,000,000.00327,489,862.82384000000142,835,870.08534,456,921.871701503300384100000248,256,000395,801,000.006980649000.00747,109,565.9510167550000.001,079,671,290.8484055

41、000083,000,000.001,059,564,964.5288792440032472090030,000,000.00353,805,491.7618780000062,020,000.00257,744,246.8713005183521,006,953,1002,007,897,806.00270800000114,300,000.0073,985,084.7799年凈利潤99年總資產98年凈利潤98年總資產60038813,553,523.54359,316,671.886,694,750.80248,166,639.9760039998,945,303.382,051,625

42、,852.7766,938,134.231,830,690,097.4160033639,008,475.75381,417,303.4535,721,146.91322,631,736.1760039826182735.32177,353,222.202132298.2728,265,620.3960033852,289,599.28621,893,119.1543,814,120.80564,034,664.7930030618,425,724.26321,853,120.7017,535,032.87425,114,944.1260033931,427,108.03293,303,950

43、.1529,177,102.18210,678,436.3260032323,683,439.36464,239,665.7019,529,661.97454,699,897.9860034525,076,071.22595,636,545.7654,616,923.68701,510,656.3160032832,011,320.51549,469,565.8925,040,859.82549,478,905.0660036892,328,788.38848,848,028.4492,593,848.70849,159,864.11600307142,554,558.501,870,468,

44、696.07184,144,756.041,735,777,815.76600016234,724,938.0036,596,251,512.001981269302535214566360003821,016,971.31224,897,842.6620,692,620.01224,573,491.3660031630,056,359.47253,082,270.4027,443,014.06210,446,707.8660030224,732,386.11426,213,877.1516,282,508.42390,469,378.046000192,274,926,309.4135,90

45、0,699,408.151,237,832,928.8937,308,781,189.6860033331,045,119.55474,677,415.7919,205,580.57545,583,943.7460031841,847,315.67508,966,893.2325,026,881.63426,075,182.9860042222,109,573.40435,116,628.8222,705,337.63405,437,035.7060025231,009,075.39329,385,214.0925,320,377.46350,739,009.6960028829,307,79

46、9.39682,809,768.3619,364,816326,989512,054.25291,836,406.1829,284,913.12269,639,012.6460033728,955,726.56177,528,717.4524,076,311.31173,050,099.9360024717,159,548.19281,630,072.9119,881,004.35228,018,833.5660023415,884,803.75420,861,463.8713,966,551.88400,403,141.4260029717,249,983.8137

47、0,635,760,69 12,251,945.27375,241,322.3760028138,319,256.881,095,393,553.9839,020,241.76937,112,762.896002901,544,749.67220,067,373.942,685,304.40228,548,983.4860029269,213,251.86607,097,428.1958,240,864.90718,395,657.4060036639,008,475.75381,417,303.4535,721,146.91322,631,736.1760027651,332,467.704

48、63,707,546.1743,229,968.32365,524,357.7760028521,764,951.64175,023,127.7423,954,742.35125,632,628.4960028361,656,399.95560,916,864.9556,201,407.49481,335,329.8660030870,408,879.08971,365,716.8663,593,692.76736,239,578.0660028028,023,852.15506,949,806.776,339,689.95690,862,081.4860035820,298,867.3330

49、9,829,037.2524334364.61270167225.8600282147,682,263.811,821,735,818.82137,013,610.341,556,142,096.2860029346,892,181.69695,892,724.2942,806,298.83709,386,753.4960028770,772,704.16864,680,964.6548,626,117.11685,113,699.4460026521,135,094.31287,562,906.8917,897,437.01238,155,658.1960029836,012,258.012

50、18,375,822.7930,778,602.00205,721,760.2760027557,318,749.31322,412,632.5347,509,337.22258,270,590.4060029120,891,175.31422,728,166.6813,585,737.30359,932,748.5960027932,015,002.68214,328,631.9118,730,110.99121,701,664.4160026352,598,087.821,379,531,917.8952,537,396.631,378,306,535.9360026749,456,631

51、.01672,120,215.6047,303,715.14483,698,076.5860026122,788,130.66291,771,381.6618046860.1242391883.903年凈利潤03年總資產02年凈利潤02年總資產40,272,146.601,612,044,813.4025,582,848.231,109,994,131.9115,819,747.754,550,798,683.4397,794,284.224,228,286,530.8951,197,844.971,532,304,495.9755,380,785.461,109,425,689.4587,399,352.171,257,003,665.9385,835,473.841,015,016,745.10-429,030,946.28436,448,943.48-164,547,715.11999,067,180.4219,650,505.491,062,743,140.