机构投资者对于定向增发股票的选股策略研究

发布时间：2018-03-16 22:51

本文选题：定向增发　切入点：外部投资者　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：定向增发作为一种新的上市公司融资方式在近几年得到了长足的发展和广泛的关注。在2006年至2011年间,参与定向增发的机构投资者获得了较高的收益,研究学者对于进行定向增发的动机,可能涉及的利益输送问题,对公司治理的改善以及折价率形成机制等都有不少的探讨。本文立足于消极机构投资者角度,尝试通过市场可直接观察到的信息来判断是否参与具体的定向增发,以获得更高和更稳定的收益。通过相关性分析以及回归分析2006年至2011年的定向增发个股数据,从几个角度检验了面向机构投资者以及其他特定对象投资者的定向增发股票投资收益的影响因素：从增发基本情况看,市场估值水平、增发规模以及增发比例会对投资收益有比较显著的影响；从增发预案公告日的公告效应看,发现超额收益率对于增发折价率显著正相关,而增发前超额收益则与大股东认购比例有较强的相关性,但增发前相对换手率却没有体现出很强的相关性,说明增发前的利益输送在总体上并没有很明显的反应在股价上。由上面的分析得出机构投资者投资定向增发项目的选股策略,首先要在市场低估值的时候参与定向增发,其次要选择增发规模小,但增发比例较高的项目,也可以选择新兴行业的公司,能够获得比较高的增发折扣,从而确保投资收益。
[Abstract]:Private placement as a new mode of financing of Listed Companies in recent years has been rapid development and wide attention. From 2006 to 2011, the agencies involved in the issuance of directional investors get a higher income, researcher of the motivation of the private placement may involve transfer of benefits, on corporate governance the improvement as well as the discount rate formation mechanism has a lot of discussion. This paper is based on the negative perspective of institutional investors through the market, try to be directly observed information to determine whether participating in the private placement, in order to obtain a higher and more stable income.
By correlation analysis and regression analysis from 2006 to 2011 the issuance of directional stock data from several angles to test for institutional investors and the influencing factors of other specific object investors private placement of stock investment income from the issuance of the basic situation, the level of market valuation, additional scale and additional proportion will have a significant impact on investment income; from the announcement date of the issuance of the announcement effect, found that the excess rate of return for the additional discount rate was significantly positively correlated, and before the issuance of excess returns and the proportion of shareholders to subscribe a strong correlation, but before the issuance of the relative exchange rate did not reflect the strong correlation, that before the issuance of the transfer of benefits in general and there is no obvious reaction in the stock price.
From the above analysis that institutional investors to invest in private placement project stock picking strategy, first of all to participate in the private placement market underestimate the value of the time, secondly to select additional small scale, but the issuance of a higher proportion of the project, can also choose to emerging companies in the industry, to get the additional discount, so as to ensure the return on investment.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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