不同事件日及不同市场状态下定向增发公告效应的研究

发布时间：2018-01-06 08:04

本文关键词：不同事件日及不同市场状态下定向增发公告效应的研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国股权分置改革的完成以及《上市公司证券发行管理办法》、《上市公司非公开发行股票实施细则》的相继出台,为我国证券市场引入定向增发这一股权再融资方式创造了一个良好的制度氛围。在此之后,定向增发由于其发行门槛低、操作简单等优点,逐步取代公开增发成为近年来我国股票市场最主要的股权再融资方式。定向增发方式不仅受到了监管层、上市公司的重视,也受到了广大投资者的青睐。我国上市公司定向增发的公告及实施不仅影响着公司股票价格的走势,也影响着证券市场的资源配置和财富的再分配,这不仅受到了监管层和投资者的重视,也吸引了众多学者对定向增发制度进行研究。对于定向增发,国内外学者的研究主要集中定向增发公告的短期股价效应及其影响因素、增发定价、定向增发后长期业绩表现等方面。国内外学者在对定向增发进行研究时,大多将整个定向增发实施过程看作一个整体,并在此基础上展开相应的研究,即使少有对定向增发过程中董事会预案公告日与股东大会公告日的股价效应进行对比分析,也仅仅是简单的比较其是否存在显著性差异,现有的研究较少从增发的制度层面以及增发过程中不同环节所代表的意义进行研究,也较少对上市公司在定向增发过程中所扮演的角色进行分析。那么上市公司定向增发实施过程中哪些公告信息会对公司股价造成影响?这些信息对股价会造成怎么样的影响,是正向还是负向?在这些信息公告前后,上市公司、投资者扮演了什么样的角色,是他们的决策影响了股价变动还是股价变动影响了他们的决策?而在牛市和熊市不同的市场环境下,上述各方面的影响是否一致,如果不一致那么其原因是什么?针对上述种种疑问,本文展开了深入的研究。本文用超额收益率来衡量公告信息对股价的影响,即公告的股价效应。超额收益率等于该股票的实际收益率减去该股票的期望收益率,期望收益率采取市场调整收益模型进行估算。在此基础上,用事件研究法对我国上市公司实施定向增发过程中预案公告日和增发公告日的股价效应进行研究,以验证不同公告日前后是否存在显著的超额收益,并对两不同公告的股价效应进行对比分析。不同市场状态下公告效应的研究则是将同一类公告的样本区分为牛市和熊市状态样本,并分别检验其是否存在显著的超额收益,并对不同市场状态下的差异进行比对分析。本文首先介绍了研究的背景和研究的问题,并对我国增发的相关制度变迁以及现行定向增发的实施流程作了简要的介绍,然后对国内外关于增发的股价效应的研究文献进行了总结。在借鉴国内外关于定向增发的研究方法上,以我国2009年1月1日至2011年12月31日3年间进行增发公告的381个样本,并配比每次增发公告所对应的预案公告。本文选取预案公告日和增发公告日作为事件日,并在此基础上选取公告前第20个交易日至公告后第20个交易日共计41个交易日,研究每个交易日的超额收益率和累计超额收益率。本文还研究三类时间窗口,包括扩大时间窗口：T[-1,1]、T[-3,3]、T[-5,5]、T[-10,10]、T[-15,15]、T[-20,20]；前移时间窗口：T[-20,-10]、T[-15,-5]、T[-20,0]、T[-15,0]、T[-10,0]、T[-5,0]、T[-3,0],后移时间窗口：T[0,3]、T[0,5]、T[0,10]、T[0,15]、T[0,20]、T[5,15]、T[10,20]各自的累计超额收益率。在此基础上,本文首先研究预案公告的股价效应,并分析不同市场状态下有何差异,然后研究增发公告的股价效应,同样分析不同市场状态下的差异,最后将预案公告和增发公告的股价效应进行对比分析。本文的研究主要得出以下结论： 1.预案公告日和增发公告日当天均存在显著的正股价效应。其中在牛市和熊市不同市场状态下,预案公告日当天的平均超额收益率分别是1.1997%、0.9353%,而相对应的增发公告日当天的平均超额收益分别是0.8531%、0.7190%,且均在1%的置信水平上显著为正,无论在何种市场环境下,预案公告日的平均超额收益率均高于增发公告日。 2.预案公告和增发公告前,累计超额收益率曲线均呈上升趋势,这既有上市公司择机选择定价窗口以及维护其股价的原因,也有消息提前走漏的原因。在增发公告日前后,累计超额收益率出现巨大的波动,这主要是部分提前获得消息的投资者短期内炒作以及将增发公告视作利空消息的结果,而在预案公告前后没有该现象。预案公告之后,熊市状态下累计超额收益率继续上升,主要是上市公司需维护其股价走势以保持对潜在投资者的吸引力；而牛市状态下,预案公告作为利好消息被市场所接受,投资者情绪的带动即可维持公司股票具有一定的超额收益,公司则不需要花太大的成本来维持股价。增发公告作为一个利空消息,在牛市下受市场乐观情绪的影响,累计超额收益率在波动中保持上行；而熊市状态下,增发公告作为一个利空消息,在无市场情绪支撑的情况下,出现了持续性的下跌。 3.在扩大的时间窗口研究中。以预案公告日为基准的时间窗口[-1,1]、[-3,3]、[-5,5]、[-10,10]、[-15,15]、[-20,20],无论是整体样本还是牛、熊市的样本中均在1%的置信水平上存在显著的正累计平均超额收益；各时间窗口中,牛市环境下[-20,20]能达到最大的7.8053%的累计超额收益,而熊市环境下[-20,20]能达到最大的9.0467%的累计超额收益。而以增发公告日为基准的时间窗口无论是显著性还是累计超额收益率均比不上同等环境下以预案公告为基准的时间窗口,牛市环境下仅[-1,1]、[-20,20]在5%、10%置信水平上存在显著超额收益,熊市环境下[-1,1]、[-20,20]在5%置信水平下,[-3,3]、[-5,5]、[-15,15]在10%置信水平下存在显著的超额收益。 4.在前移的时间窗口研究中。以预案公告为基准的时间窗口[-20,0]、[-15,0]、[-10,0]、[-5,0]、[-3,0]无论是整体样本还是区分为牛、熊市的样本均在1%置信水平上显著为正;[-20,-10]在牛市下显著,在熊市下不显著；[-15,-5]在不同市场环境下具有不同程度的显著性；各时间窗口中,牛市下[-20,0]能达到最大超额收益7.0428%,熊市下也是[-20,0]能达到最大超额收益5.2427%。以增发公告为基准的时间窗口[-20,0]、[-15,0]、[-10,0]、[-5,0]、[-3,0]无论在整体样本还是牛、熊市样本均在1%置信水平下显著为正；[-20,-10]、[-15,-5]在牛市下不显著,在熊市下显著；牛市下[-20,0]能达到最大超额收益4.1437%,熊市下[-20,0]能达到最大超额收益3.4317%。 5.在后移的时间窗口研究中。以预案公告为基准的时间窗口中,牛市样本和熊市样本存在较大的差异,牛市中仅[0,3]、[0,5]在5%置信水平下存在显著的正效应,而熊市中[0,3]、[0,5]、[0,10]、[0,15]、[0,20]、[5,15]均在1%置信水平下存在显著的正效应,并且[0,20]达到最大值4.8120%。以增发公告为基准的时间窗口中,无论是总体还是牛市或者熊市样本均不存在显著的超额收益。根据上述研究结果,本文给出了3点政策建议：第一,政府及监管机构应积极支持上市公司实施定向增发；第二,进一步完善内部知情人登记制度和信息披露制度,严惩泄露内幕消息以及内幕交易者,切实保护广大中小投资者的利益；第三,投资者应清楚认识不同公告的意义,谨慎作出投资决策,避免盲目跟风。本文的主要创新点在于： 1.更为全面的研究定向增发的股价效应,以往的研究大多选择董事会预案公告日作为事件日,而对其他公告日的研究较少,特别是对增发公告日的研究更少。本文同时对预案公告日和增发公告日的股价效应进行对比分析,这在以往的研究中是没有的。 2.从定向增发过程中上市公司利益诉求的角度解释不同事件日及不同市场状态下超额收益的差异,这在以前的研究中是没有的。 3.将同一事件样本区分为牛市状态和熊市状态样本,更为细致而全面的对股价效应进行分析,并且从市场投资者情绪的对超额收益进行解释。本文的不足之处在于 1.定向增发中不同公告的股价效应影响因素较多,本文主要是从发行机制、上市公司的利益诉求以及市场投资者情绪的角度进行解释,所得结论难免有失偏颇。 2.碍于篇幅有限,未对各种关于定向增发股价效应的假说进行检验。
[Abstract]:China's share reform and the completion of the issuance of securities of listed companies "management measures", "rules for the implementation of the non-public offering of shares of listed companies have been introduced, to create a good atmosphere for the system of China's securities market to introduce the private placement of equity refinancing. After this, the private placement due to the threshold issue a low, simple operation and other advantages, gradually replaced the public issuance of China's stock market in recent years become the main way of equity refinancing. Private placement not only by the regulators, listed companies' attention, but also by the majority of investors.
The announcement and implementation of the private placement of listed companies not only affects the company's stock price movements, but also affect the stock market resource allocation and redistribution of wealth, not only by the regulators and investors attention, also attracted many scholars to research on private placement system. For private placement, factors, short-term stock price study on the effect of domestic and foreign scholars mainly focused on the private placement announcement and issuance of private placement pricing, long-term performance and so on. Domestic and foreign scholars on the private placement of the whole set, mostly to the issuance of the implementation process as a whole, the research on this basis, even if there is little to the board of directors in the process of the private placement price effect plan announcement and general meeting announcement were analyzed, it is just a simple comparison of the presence of significant difference In contrast, the existing research is seldom studied from the aspect of the system of issuance and the significance of different links in the process of issuance, and the role played by Listed Companies in the process of private placement is also analyzed.
So the private placement of listed companies which in the process of implementing the announcement information will affect the company's share price? This information will cause what kind of impact on the stock price, is positive or negative? Listed companies in the information before and after the announcement, investors play what role, their decisions affect the stock price or price changes affect their decision? In the bull market and bear market in different market environment, affecting all aspects of the above is consistent, if not then what is the reason? In view of the above questions, this paper carried out in-depth research.
The excess rate of return to measure the impact of information on the stock price announcement, announcement that the stock price effect. The excess rate of return is equal to the actual stock returns minus the expected stock return rate, the expected rate of return to market adjusted return model is estimated. Based on the study of the process of private placement announcement and issuance the announcement of the stock price effect of China's listed companies with the implementation of the event study method, the existence of a significant excess returns before and after the announcement of different verification, and the stock price effect of two different announcements were analyzed. Research on the announcement effect of different market conditions is the same announcement of the sample is classified into bull and bear the state of the sample, and were tested for the presence of significant excess returns, and for different market conditions were analyzed.
This paper first introduces the research background and research issues, and the related institution of our country and the current issuance of private placement in the implementation process are briefly introduced, then the research literature at home and abroad on the issuance of the stock price effect are summarized. At home and abroad about the private placement research method, 381 a sample of the issuance of notice to China from January 1, 2009 to December 31, 2011 3 years, and the proportion of each corresponding to the SEO announcement announcement. This paper selects the plan announcement and issuance of notice as the event date, and based on the selection of the twentieth trading days before the announcement to the announcement of the twentieth trading days after a total of 41 trading days, research each day abnormal return and cumulative abnormal return. This paper also studies three kinds of time window, including the expansion of the time window: T[-1,1], T[-3,3], T[-5,5], T[-10,10, T[-15, 15], T[-20,20]; T[-20, -10]: forward time window, T[-15, -5], T[-20,0], T[-15,0], T[-10,0], T[-5,0], T[-3,0], after the shift time window: T[0,3], T[0,5], T[0,10], T[0,15], T[0,20], T[5,15], T[10,20] cumulative abnormal return respectively. On this basis, this paper firstly studies the stock price effect of the announcement. What is the difference and analysis of different market conditions, and then study the stock price effect of SEO announcement, also the differences of different market conditions, finally compares stock price effect announcement and issuance of notice.
The main conclusions of this paper are as follows:
The 1. announcement date and the issuance announcement day is positively significant price effect. In the bull market and bear market in different market conditions, the average excess earnings announcement day rates were 1.1997%, 0.9353%, while the average excess returns the corresponding issuance announcement day respectively is 0.8531%, 0.7190%, and in confidence the 1% level is significantly positive, regardless of the market environment, the average excess earnings announcement rates are higher than the issuance of the announcement date.
2. and the issuance announcement before the announcement, the cumulative abnormal return curve showed an upward trend, which is why listed companies choose the options pricing window and maintenance of its share price, there are reasons for news leaked in advance. In the days before issuing the announcement, the cumulative abnormal return of huge fluctuations, this is the main part of the advance investors get the message in the short term speculation and results will be regarded as additional notice of bad news, but not the phenomenon in the plan. The plan before and after the announcement after the announcement, the bear market under the condition of the cumulative excess return rate continues to rise, mainly listed companies need to maintain the stock price in order to maintain the attractiveness to potential investors; but the bull market condition, the announcement of plans the good news is accepted by the market, investor sentiment can be driven to maintain the company's stock has a certain excess profits, companies do not need to spend too much cost. Maintain the price. SEO announcement as a bad news, affected by the market optimism in the bull market, the cumulative excess return rate to maintain upward in fluctuation; but the bear market condition, issuing the announcement as a bad news, the market sentiment to support, has fallen continuously.
3. in the time window. To study the expansion of the plan announcement as the benchmark time window [-1,1], [-3,3], [-5,5], [-10,10], [-15,15], [-20,20], either the whole sample or samples of cattle, bear a significant positive cumulative average abnormal returns in 1% confidence level; each time window, the cumulative the excess return bull market [-20,20] can achieve a maximum of 7.8053%, the cumulative excess return and bear market under the environment of [-20,20] can reach the maximum of 9.0467%. While in issuing the announcement date for the reference time window whether significant or cumulative abnormal returns are not the same environment to plan announcement as the base of the time window, the bull market only under the environment of [-1,1], [-20,20] in 5%, there were significant excess returns of 10% confidence level, the bear market under the environment of [-1,1], [-20,20] in the 5% confidence level, [-3,3], [-5,5], in the presence of a confidence level of 10% [-15,15] Significant excess returns.
4. in the time window to study forward. With the announcement of plans for the benchmark time window [-20,0], [-15,0], [-10,0], [-5,0], [-3,0] whether the overall samples are divided into cow, bear samples in 1% confidence level is significantly positive; [-20, -10] were not significant in the bull market, bear market; [-15, -5] was significant in different market environment; the time window, the bull market [-20,0] can reach the maximum excess return is [-20,0] 7.0428%, bear maximum excess return 5.2427%. in issuing the announcement as the benchmark time window [-20,0], [-15,0], [-10,0], [-5,0], [-3,0] in the whole sample or cow, bear the samples at the 1% confidence level is significantly positive; [-20, -10], [-15, -5] were not significant in the bull market, bear market significantly in the bull market; [-20,0] can reach the maximum excess return of 4.1437%, under the [-20,0] can reach the maximum bear Excess return 3.4317%.
In 5. after the shift time window in the study. With the announcement of plans for the benchmark time window, there is a big difference between bull market and bear market bull market in the sample sample, only [0,3], there is a significant impact of [0,5] under 5% confidence level, and the bear market in [0,3], [0,5], [0,10], [0,15], [0,20, [5,15] are significant positive effect at the 1% confidence level, and the maximum value of [0,20] 4.8120%. in issuing the announcement as a benchmark in a time window, either in whole or in a bull or bear market samples have no significant excess returns.
According to the research results, this paper gives 3 suggestions: first, the government and regulators should actively support the implementation of the private placement of listed companies; second, to further improve the insider registration system and information disclosure system, punish insider information and insider trading, to protect the interests of small investors; third, investors should a clear understanding of the significance of different announcement, prudent investment decisions, to avoid blindly follow the trend.
The main innovations of this paper are as follows:
1. more stock price effect on directional overall placement. Most of the previous studies on the selection of the board of directors plans as the event date, and on the other the announcement date of the study less, especially for the issuance of the announcement. Less research at the same time on the announcement date and the issuance of stock price effect announcement were analyzed in this in the previous study is not.
2., from the perspective of interest demand of Listed Companies in the process of private placement, we explain the difference of excess returns in different event days and different market states, which is not in previous studies.
3., we divide the sample of the same event into bull market and bear market sample, analyze the stock price effect more meticulously and comprehensively, and explain the abnormal return from market investor sentiment.
The inadequacies of this article are
1., there are many factors that influence the stock price effect of different announcements in private placement. This paper explains mainly from the perspective of issuing mechanism, interest demands of listed companies and market investor sentiment, and the conclusion is inevitably biased.
The 2. is limited to the limited space, and the hypothesis is not tested on the hypothesis of the stock price effect.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】