我国上市公司定向增发折价和公告效应的实证研究

发布时间：2018-04-14 21:56

本文选题：定向增发 + 发行折价　；参考：《东北财经大学》2013年硕士论文

【摘要】：随着股权分置改革的成功实施,证券市场的融资功能获得了迅速发展。2006年证监会颁布了《上市公司证券发行管理办法》,使得定向增发具备了发行门槛低,发行过程简单的特点,因而使其作为一种新型的再融资方式进入了各上市公司的视野,也由此拉开了定向增发在我国快速发展的序幕,。在定向增发研究的问题中,首要面对的便是定向增发股票的定价问题。通过对国内外相关文献的研究我们发现,大多数国家存在着定向增发的折价现象,即定向增发的发行价格比增发时的市场价格要低。国外对发行折价的研究基本上可以分为监控假说、信息不对称假说、管理层机会主义假说、限售期假说和投资者过度乐观假说等五类观点。由于国外上市公司主要存在的是股东和管理层之间的代理问题,因此国外学者对于定向增发折价现象的研究视角也是建立在股权分散的基础之上的。我国上市公司则存在着股权集中度高,一股独大的现象,大股东和中小股东的利益冲突是我国上市公司的现状,因此部分理论在我国的解释力度不大。从国内学者的研究结果看,对折价现象的研究主要建立在大股东和中小股东的利益冲突上,大部分观点认为由于大股东在对非公开发行股票的定价权上存在着操控可能,因此大股东参与认购的定向增发发行折价率要高于非大股东参与认购的情形。大股东通过较低的价格认购上市公司的股票可以达到转移上市公司财富,侵害中小股东利益的目的。本文关于发行折价率的模型结果显示,在全样本情况下,发行对象,公司规模以及发行规模与定向增发发行折价率存在着显著相关关系。在大股东参与认购的情况下,认购比例与持股比例之差以及大股东认购方式对发行折价率存在着显著影响。关于定向增发的另一个问题是定向增发的公告效应。本文首先通过事件研究法对选取样本的平均累计超额收益率进行计算,得出了我国资本市场同样存在着定向增发公告效应。其次,本文对国内外关于公告效应的研究成果进行了总结和评价,在相关理论基础之上,结合我国资本市场的实际情况,提出了符合我国资本市场特点的假设,选取了相应的自变量,并建立了多元回归模型。模型结果显示,发行对象,发行折价率,公司规模,财务困境以及托宾-Q值是定向增发公告效应重要影响因素。本文的研究内容共分为以下六部分,各部分内容如下：第一章为绪论,主要介绍本文的研究背景、研究意义、国内外文献综述、研究局限与创新。股权分置改革以后,我国上市公司在资本市场再融资的时候更多地倾向于定向增发,然而笔者发现定向增发时上市公司制定的价格普遍很低,并且在短期内存在着明显的正的公告效应。因此,通过研究可能影响定向增发定价折扣率和公告效应的相关因素,可以为保护广大中小投资者的合法经济利益以及杜绝上市公司控股股东的非法行为提供切实可行的理论依据。国外关于定向增发的研究主要建立在股权分散基础之上,股东与管理层之间的利益冲突是最主要的问题。国外学者主要从监控假说、信息不对称假说、管理层机会主义假说、限售期假说等方面来综合分析理论的发展历程。国内的研究则是建立在大股东与中小股东的利益冲突基础之上的,主要从大股东利益输送动机、财富转移效应、信息不对称等角度进行研究。第二章对公告效应所用的事件研究法进行了说明,并阐述了平均超额收益率和平均累计超额收益率的计算。第三章是研究设计。首先从众多定向增发案例中筛选出符合条件的样本,通过总结以往文献的研究成果,确定我国定向增发是否存在高折价现象,并找到影响定向增发折价的主要因素。其次,用经典的事件研究法分析计算事件期的平均超额报酬率和平均累计超额报酬率,确定我国是否存在公告效应,分析定向增发公告效应的影响因素,并分别设计得出定向增发折价率和公告效应的回归模型。第四章是为实证结果与分析。通过对折价率模型和公告效应模型进行相关的实证检验,判断所得出的实证结果是否与本文之前所做的假设一致,本文实证结果表明前文所做的假设大部分得到了统计学上的印证。最后,通过多元回归模型分析折价率与公告效应的影响因素。第五章在对前文进行理论总结和实证分析以后,得到本文的研究结论、政策建议以及研究展望。最后,本文在事件日的选择上与以往学者所使用的事件日不同。通过对国内学者相关文献的研究,我们发现大部分学者选择董事会决议公告日即预案公告日作为定向增发的事件日,很少有将增发公告日定为事件日进行研究,这就造成了我国在定向增发的研究领域存在着事件日选取单一和发行折价计算不准确的问题。因此,本文选取定向增发公告日作为事件日进行研究,补充和完善了国内相关研究的不足,并为广大投资者在定向增发公告日前后这段事件期内的投资决策提供了理论依据。
[Abstract]:With the successful implementation of the reform of the equity division , the financing function of the securities market has been developed rapidly . In 2006 , the Securities Regulatory Commission promulgated the Measures for the Issuance and Management of Securities issued by the Securities Regulatory Commission , which has the characteristics of low issuance threshold and simple distribution process . Therefore , it has entered the field of view of each listed company as a new way of refinancing , and thus opened the prelude to the rapid development of China .

On the basis of the research of domestic scholars , the research on discount rate is mainly based on shareholder and management .

In this paper , according to the actual situation of China ' s capital market , the author puts forward some assumptions about the characteristics of China ' s capital market , and sets up the multiple regression model . The results show that the distribution object , the distribution discount rate , the company size , financial distress and the Tobin - Q value are the important influencing factors of the orientation increase announcement effect .

The content of this paper is divided into the following six parts , each of which is as follows :

The first chapter is introduction , mainly introduces the research background , the research significance , the domestic and foreign literature review , the research limitation and the innovation .

The second chapter explains the event research method used for announcement effect , and expounds the calculation of the average excess return rate and the average cumulative excess return rate .

The third chapter is the research design . First of all , we have screened out the eligible samples from many cases of directional augmentation . By summarizing the previous literatures , we find out whether there is a high discount rate in our country ' s directional growth and find out the main factors that affect the discount price . Secondly , we analyze the influencing factors of average excess return rate and average cumulative excess return rate in the event period by the classic event research method , and design the regression model of the discount rate and announcement effect .

The fourth chapter is the empirical result and the analysis . By the empirical test of the discount rate model and the announcement effect model , it is concluded that the empirical results are consistent with the assumptions made before this paper . The empirical results show that most of the assumptions made in the previous paper are statistically printed . Finally , the factors influencing the discount rate and announcement effect are analyzed by multiple regression models .

In the fifth chapter , after theoretical summing up and positive analysis of the former , we get the research conclusion , policy suggestion and research prospect of this paper .

In the end , this paper is different from the date of events used by scholars in the past . Through the study of the relevant literatures of domestic scholars , we find that most scholars have chosen the announcement day of the resolution of the board of directors as the event day of the orientation increase , and seldom have the issue date set as the event date . Therefore , the thesis chooses the date of the oriented increase and issuance as the event day to study , supplement and perfect the deficiency of the domestic relevant research , and provide the theoretical basis for the investment decision of the general investors during the period before and after the announcement date .

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42

【参考文献】