上市公司募资投向变更的市场反应研究

发布时间：2018-03-23 09:54

本文选题：上市公司　切入点：募资投向变更　出处：《西北农林科技大学》2012年硕士论文

【摘要】：近年来，上市公司变更募资投向成为一种普遍的现象。募资投向既关系到投资资本的保值增值，又关系到整个公司的后续发展。因此，关于募资投向的变更信息备受关注。对于上市公司募资投向变更行为，现阶段有两种不同的看法:一种是善意的变更，即变更是为了适应客观条件变化、保护投资者利益。另一种是恶意的变更，即募资的目的在于圈钱，原项目在资金到位后被主动放弃。我国目前实行的是项目型股票融资制度，在该制度下，通过发行股票进行融资时，公司会选择最有可能通过政府审批的投资项目。资金到位后，政府对资金的控制和引导减弱，而市场和企业对资金的导向作用加强。在市场机制作用下，公司为了顺应企业发展要求和市场变化，对原投资项目做出调整是必要的。而投资者能否正确看待上市公司募资投向变更行为、并根据变更公告做出理性的投资决策，是论文研究的核心问题。对该问题的回答可以加强对我国证券市场现阶段募资投向变更行为的认识。这对于保护投资者利益、提高投资决策水平、完善证券市场的监管重要的现实意义。论文从理论和实证两方面展开对该问题的研究。首先，在分析募资投向变更行为的现状的基础上，归纳了变更行为总体特征及改投方向、总结了募资投向变更内外因、并利用相关会计指标变动率检验变更行为对业绩的影响。然后，运用委托代理理论、信息不对称和逆向选择、信号传递理论、有效市场假说的相关理论，对上市公司募资投向变更的市场反应进行理论分析。其次，以变更募资投向的110家沪市A股上市公司为样本，采用事件研究方法，通过计算平均超额收益率AAR(Average Abnormal Return)和累计平均超额收益率CAR（Cumulative Average Return），量化市场对变更公告的反应。最后，通过对比变更公告对股票市场的影响和变更后上市公司经营业绩变化，，考察我国证券市场的有效性以及投资者的投资行为是否理性。理论分析的结果表明，上市公司发出的募资投向变更公告会对证券市场产生影响，但影响的方向，取决于市场是否有效及信息不对称的程度。实证研究结果显示，在募资投向变更公告的[-15，15]事件窗口内，累计平均超额收益CAR显著异于0，说明募资投向变更行为通过公告传递信息并引起市场反应，符合理论分析的结果。同时，累计超额收益CAR为正，说明变更行为使股票价格上升，即投资者并没有逆向选择。而股票价格走式和变更后业绩变化的一致性，证明我国资本市场符合半强式有效，投资者的投资行为趋于理性。论文最后分别从企业、投资者、政府三个角度，提出关于提高项目投资决策水平、强化投资者投资意识、完善中国证券市场的监管制度的政策建议。
[Abstract]:In recent years, it has become a common phenomenon for listed companies to change their investment investment, which is not only related to the preservation and appreciation of investment capital, but also to the subsequent development of the whole company. There are two different views on the change in investment of listed companies at this stage: one is that the change is in good faith, that is, the change is to adapt to the change of objective conditions. Protect the interests of investors. The other is malicious change, that is, the purpose of raising funds is to circle money, the original project is voluntarily abandoned after the funds are put in place. At present, China is implementing a project-based stock financing system, under which, When raising funds by issuing shares, the company will choose the investment projects that are most likely to be approved by the government. When the funds are in place, the government's control and guidance to the funds will be weakened. And the market and the enterprise's guiding role to the capital is strengthened. Under the market mechanism, in order to comply with the requirements of the enterprise development and the market changes, It is necessary to make adjustments to the original investment projects. However, whether the investors can correctly view the behavior of the listed companies in raising funds for the change of investment, and make rational investment decisions according to the announcement of the changes, The answer to this question can enhance the understanding of the changing behavior of raising funds in China's securities market at the present stage, which can protect the interests of investors and improve the level of investment decision-making. Improving the supervision of the securities market is of great practical significance. First of all, on the basis of analyzing the current situation of the changing investment behavior, this paper sums up the general characteristics of the change behavior and the direction of the change of investment, and summarizes the internal and external causes of the change of investment. Then, using the principal-agent theory, information asymmetry and adverse selection, signal transmission theory, efficient market hypothesis related theory. Secondly, taking 110 A-share listed companies listed in Shanghai stock market as samples, using the event research method, the paper makes a theoretical analysis of the market response of the listed companies. By calculating the average excess return (AAR(Average Abnormal return) and the cumulative average excess return (CAR(Cumulative Average return), the paper quantifies the response of the market to the change announcement. Finally, by comparing the influence of the change announcement on the stock market and the changes in the operating performance of the listed company after the change, To investigate the validity of China's securities market and whether investors' investment behavior is rational. The results of theoretical analysis show that the announcement of the change of capitalization by listed companies will have an impact on the securities market, but the direction of the impact depends on whether the market is effective and the degree of information asymmetry. In the event window of [-15F15] event window, the cumulative average excess income (CAR) is significantly different from zero, which indicates that the behavior of the change of capital-raising investment transfers information through the announcement and causes market reaction, which is in line with the results of theoretical analysis, at the same time, The cumulative excess return (CAR) is positive, which means that the changing behavior causes the stock price to rise, that is, the investor has no adverse selection. The consistency between the stock price walking pattern and the change of the performance after the change proves that the capital market of our country accords with the semi-strong type of efficiency. The investment behavior of investors tends to be rational. Finally, from three angles of enterprise, investor and government, the paper puts forward some suggestions on how to improve the level of project investment decision and strengthen the investor's investment consciousness. Policy recommendations for improving the regulatory system of China's securities market.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

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