财务融资型定向增发公告效应实证研究

发布时间：2018-03-25 13:10

本文选题：定向增发　切入点：公告效应　出处：《复旦大学》2012年硕士论文

【摘要】：2006年《上市公司证券发行管理办法》出台后,定向增发作为一种新型的股权融资模式,并凭借着简单的审核程序、较低的筹资成本、较高的发行成功率受到了我国上市公司的青睐,取得了非常快速的发展。由于中国股票市场仍存在一些不规范的地方,在定向增发公告日前后,上市公司股价往往出现异常波动现象,给人直观感觉：中国股票市场存在明显的定向增发公告效应。结合国内外的相关研究,本文期待解决如下四个问题：我国股票市场是否存在明显的定向增发公告效应?公告效应的幅度有多大?在时间上如何分布?影响我国定向增发公告效应的因素主要有哪些?基于这些问题,本文对我国证券市场上市公司定向增发公告效应及公告效应的影响因素进行了理论探讨和实证检验。在先回顾了我国定向增发的发展历程、法律规定、增发流程、模式等基本情况后,本文采用事件研究法,从2006年2月1日到2011年6月30日期间665家进行定向增发的上市公司中,选取了财务融资模式下仅对机构投资者增发的这一类别,共计250个样本。首先利用日平均异常收益率和累积异常收益率指标研究样本在定向增发预案公告日前后是否存在正的公告效应；然后提出可能影响公告效应的因素并对它们建立模型,进行实证检验。得出了如下结论： A股市场中针对机构投资者的财务融资型定向增发存在明显的公告日效应。从实证研究结果看,累积异常收益率峰值出现在0日和8日,其数值分别为2.62%、2.83%。日平均异常收益率从-5日开始转正,-2日、0日正值最为明显,其数值分别为0.33%、1.18%；1日、2日,日平均异常收益率显著为负,其数值分别为-0.76%、-0.35%；之后该值又开始转正。在实证分析了对公告效应影响的7个因素后,得出股票净资产收益率、股票定向增发期间大盘走势两个指标与个股公告效应相关性最高,即资产净收益率高、在大盘下跌环境中,个股日累积异常收益率越高。这在投资上有一定的指导意义。最后,针对研究结论,提出了两点建议：一是上市公司在定向增发过程中信息披露制度必须规范,以减少内幕交易的发生；二基于目前国内上市公司定向增发的公告效应最显著的时点是公告日前第2个交易日,这对中小投资者而言无法把握的。建议中小投资者放弃基于定向增发公告效应的套利交易。
[Abstract]:After the introduction of the "regulations on Securities issuance of listed companies" in 2006, as a new type of equity financing mode, directional additional issuance, with the help of simple audit procedures, has lower financing costs. The relatively high success rate of issuance has been favored by listed companies in our country, and it has made very rapid development. As there are still some irregularities in the Chinese stock market, before and after the announcement of directional additional issuance, The stock price of listed companies often appears abnormal fluctuation phenomenon, giving people the intuitive feeling: the Chinese stock market has the obvious effect of public announcement of directional additional issuance, combined with the relevant research at home and abroad, This paper looks forward to solving the following four problems: is there an obvious effect of directional placement announcement in China's stock market? What is the extent of the announcement effect? How does it distribute in time? What are the main factors that affect the announcement effect of directional issuance in China? Based on these problems, this paper makes a theoretical discussion and empirical test on the effect of directional additional issuance and the influencing factors of announcement effect of listed companies in China's securities market. After reviewing the development course, the legal regulation, the process and the mode of directional placement in China, this paper adopts the event research method. From February 1, 2006 to June 30, 2011, among the 665 listed companies with additional directional offerings, they have chosen the category of financial financing that only increases the issuance of institutional investors. A total of 250 samples. First, using the daily average abnormal rate of return and cumulative abnormal rate of return index to study whether there is a positive announcement effect before and after the day of announcement of the plan of directional additional issuance. Then the factors that may affect the effect of announcement are put forward, and the models are established, and the empirical tests are carried out. The conclusions are as follows:. In A-share market, there is an obvious diurnal effect of financial financing directional placement for institutional investors. From the results of empirical research, the peak of cumulative abnormal return appears on 0 and 8 days. The average daily abnormal rate of return turns from -5 to -2, and the value of 0-day positive value is the most obvious, which is 0.330.18; on the 1st and 2nd day, the average daily abnormal yield is significantly negative, and its value is -0.76 ~ -0.35, and then it begins to turn positive again. After an empirical analysis of the seven factors that affect the announcement effect, it is concluded that the return on equity net assets, the two indexes of stock market trend and the announcement effect of individual stocks are the highest, that is, the high net return on assets. In the market down environment, the higher the daily cumulative abnormal yield of individual stocks, which has certain guiding significance in investment. Finally, according to the conclusions of the study, two suggestions are put forward: first, the information disclosure system of listed companies must be standardized in order to reduce the occurrence of insider trading; Second, based on the fact that at present the announcement effect of targeted additional issuance by domestic listed companies is the most significant, the second trading day before the announcement date, This is impossible for small and medium-sized investors. It is recommended that small and medium-sized investors abandon the arbitrage trade based on the effect of directional placement announcement.
【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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