我国上市公司增发股票的公告效应和传递效应研究

发布时间：2018-05-02 06:28

本文选题：公开增发 + 定向增发　；参考：《西南财经大学》2012年硕士论文

【摘要】：2006年至2011年间,我国多家上市公司利用公开增发和定向增发的方式进行股权再融资。特别是2006年《上市公司证券发行管理办法》颁布以来,审核程序简单、融资成本较低的定向增发获得了市场的青睐,实施定向增发的上市公司数量和募集资金规模都大幅上升。上市公司增发股票需要发布公告对增发信息进行披露。由于股票的价格取决于股票给投资者带来的预期收益,而市场信息又会影响投资者对未来的预期。因此,上市公司增发公告所包含的信息可能会对股票价格产生一定的影响。具体来看,上市公司增发信息对自身股票价格和相关股票价格都可能产生一定的影响。青松建化(600425)在2007年公开增发决议公告日前2个交易日至后2个交易日股票价格累计下跌达30%。天山纺织(000813)在2011年定向增发预案公告日前5个交易日至预案公告日后3个交易日股票价格累计上涨30%。但厦门钨业(600549)在2006年定向增发预案公告日期间股票价格持续下跌,其在定向增发预案公告日及其后3个交易日内,股票价格分别下跌4.51%,9.98%,5.19%和9.75%。新中基(000972)在2006年定向增发预案公告日前3个交易日股票价格分别上涨6.00%,5.66%和1.59%,而与新中基(000972)行业相同、规模相当的国投中鲁(600962)在同一时间段内股票价格则出现持续下跌的情况。那么,上公司增发信息究竟会对其自身股票价格和相关股票价格产生怎样的影响呢?增发信息对股票价格是产生正面影响还是负面影响呢?如果增发信息会对股票价格产生正面影响,那么增发信息是否会提前泄露,成为少数投资者牟利的工具呢?投资者在获知增发信息时,又应该做出怎样的投资决策呢?针对这些问题,本文进行了深入的研究。本文用股票的异常收益率来衡量增发信息对股票价格的影响程度。股票的异常收益率等于股票的实际收益率减去预期正常收益率。在此基础上,采用事件研究法,本文对上市公司增发股票的公告效应和传递效应进行了研究。本文研究的上市公司增发股票的公告效应,是指发布增发公告信息的上市公司,其股票在增发公告信息发布前后是否有显著的异常收益率。本文研究的上市公司增发股票的传递效应,是指与发布增发公告公司行业相同、规模相当的上市公司,其股票在增发公告信息发布前后是否有显著的异常收益率。具体来看,本文首先介绍了论文题目的研究背景及意义,并对国内外相关研究文献进行了回顾总结。然后分析了我国上市公司公开增发与定向增发的发展现状。在此基础上,本文构建了公开增发和定向增发公告效应的实证研究模型。本文选取2006年1月1日至2011年12月31日发布增发公告的上市公司数据,首先筛选出满足研究条件的573家样本公司和配对公司。然后,根据事件研究法的处理程序,本文对事件研究法中相关参数进行了设定。本文选取董事会预案公告日和股东大会决议公告日两个事件日,以(-130,-6)为估计窗口,以(-5,5)为事件窗口。在此基础上,本文分别研究了公开增发与定向增发的总体公告效应,不同市场行情中公开增发与定向增发的公告效应,以及公开增发与定向增发公告的传递效应三方面的问题。与以往研究相比,本文的贡献主要在以下三方面。一是充实了公开增发公告效应的研究。国内以往文献主要研究了定向增发的公告效应,而对公开增发公告效应的研究极少,对不同公告日和不同市场行情公开增发公告效应的对比研究更是没有。二是本文对上市公司增发公告效应的研究更为细致。本文研究了上市公司股票在不同发行方式(公开增发和定向增发),不同市场行情(上涨行情,下跌行情和调整行情)以及不同事件日(董事会预案公告日和股东大会决议公告日)中是否具有显著的异常收益率。三是本文首次对增发公告的传递效应进行了研究,即研究了与发布增发信息同行业规模相当的配对公司股票在增发公告信息发布前后是否有显著的异常收益率,使增发信息对股票市场的影响研究更为全面。通过实证研究,本文得出如下主要结论： (1)公开增发董事会预案公告没有显著的公告效应,股东大会决议公告有显著的负公告效应。在(-5,5)的事件窗口内,发布公开增发决议的上市公司,其股票的累积平均异常收益率为-4.59%。 (2)定向增发董事会预案公告有显著的正公告效应,股东大会决议公告的公告效应没有董事会预案公告明显。这表明投资者普遍认为“定向增发”信息是“好消息”。由于定向增发面对不超过10个的特定投资者,且不少定向增发的投资人包括发行人股东或其关联方,定向增发的认购者中还有不少机构投资者,这些投资者通常比普通投资者掌握了更充分的信息,他们认购定向增发的股票表明他们看好公司的未来发展,这就形成了一种“宣示效应”。因此,投资者普遍认为“定向增发”信息会给股市带来正面影响。另一方面,股东大会决议公告的公告效应没有董事会预案公告明显,说明随着时间的推移,定向增发的公告效应逐渐减弱。 (3)定向增发董事会预案公告的正公告效应主要集中在预案公告日之前的交易日和预案公告日当天。在临近预案公告日时,股票的平均异常收益率和累积平均异常收益率出现加速上升的情形。发布定向增发预案的公司,在预案公告日前5个交易日内的平均异常收益率分别为0.28%,0.51%,0.56%,0.72%和2.43%,在预案公告日当天的平均异常收益率为0.82%。在预案公告日之后,股票的异常收益率消失。尽管股票的累积平均异常收盗率在预案公告日前后都显著为正,但其主要是在预案公告日之前的交易日形成的,预案公告日之后累积异常收益率变动不大。这表明定向增发这一“利好信息”在预案公告日之前就已经提前泄露。 (4)在不同的市场行情中,公开增发董事会预案公告均没有显著的公告效应。在上涨行情和调整行情中,公开增发股东大会决议公告有显著的负公告效应。在下跌行情中,公开增发股东大会决议公告没有显著的公告效应。这一现象可根据股权融资逆向选择理论和投资者对股市的参与度来解释。 (5)在不同的市场行情中,定向增发的公告效应有一定差异。就董事会预案公告的公告效应而言,在上涨行情和下跌行情中,发布定向增发预案的公司,其股票在董事会预案公告日前后的累积平均异常收益率高于调整行情中股票的累积平均异常收益率。这可能是由于在不同的市场中,投资者对股市的参与程度不同,对定向增发信息的看法也不同引起的。就股东大会决议公告的公告效应而言,在上涨行情和下跌行情中,股东大会决议公告没有显著的公告效应。在调整行情中,定向增发股东大会决议公告日前后股票的累积平均异常收益率不一致。在(-5,-3)的事件窗口内,股票的累积平均异常收益率为0.76%,在(-5,4)的事件窗口内,股票的累积平均异常收益率为-1.42%。这可能是由于投资者对股票市场未来走势看法变动较大引起的。 (6)公开增发公告没有显著的传递效应。在董事会预案公告日和股东大会决议公告日前后,与发布公开增发公告公司行业相同、规模相当的配对公司股票不能获得显著的平均异常收益率和累积平均异常收益率。 (7)定向增发公告有显著的传递效应。与发布定向增发预案或发布定向增发决议公司行业相同、规模相当的配对公司股票均能获得显著为负的累积平均异常收益率。特别地,在董事会预案公告日前后,样本公司与配对公司股票累积平均异常收益率走势表现出“此消彼长”的态势。根据上面的研究结论,本文在完善证券市场和投资者的投资决策方面提出了一定的建议。一方面,本文提出要通过加强对信息披露行为的监管以及加大对内幕交易行为的处罚力度两项措施来保证证券市场的健康和谐发展。另一方面,本文认为投资者应该理性看待上市公司的增发信息,投资者应综合考虑增发股票的发行方式,并结合投资组合的具体情况以及是否提前获知增发信息等因素做出投资决策,减少盲目投资。
[Abstract]:During the period from 2006 to 2011 , more than one listed company of our country has reinvested the stock right through the means of open and direct increase . Especially since the issuance of the securities issuance management method of the listed company in 2006 , the audit procedure is simple , the financing cost is lower , the market preference is obtained , and the number of listed companies and the scale of the raised capital increase greatly .

The stock price depends on the expected return of the stock to the investor , and the market information will affect the investors ' expectations for the future . Therefore , the information contained in the announcement of the listed company may have a certain impact on the stock price .

In particular , the share price of listed companies has a certain impact on the stock price and the related share price of the listed companies . The stock price of the new medium base ( 000813 ) decreased by 4.51 % , 9.98 % , 5.19 % and 9.75 % respectively before the announcement date of the year of 2011 . However , in the same period of the new medium base ( 000972 ) , the stock price of the new medium base ( 000972 ) increased by 6.00 % , 5.66 % and 1.59 % respectively before the announcement date of the orientation increase plan in 2006 .

So how can the information on the stock price of the company affect its own stock price and the price of the relevant stock ? The increase in the information will have a positive impact on the stock price or the negative impact ? If the increase information will have a positive impact on the stock price , how should the additional information be leaked in advance and become a profit - making tool for a small number of investors ? In the light of these issues , the paper makes an in - depth study .

This paper uses the abnormal rate of return of stock to measure the influence degree of the increment information on the stock price . The abnormal return rate of stock equals the actual yield of stock minus the expected normal yield . On the basis of this , the paper studies the announcement effect and the transfer effect of the listed company ' s additional shares .

This paper deals with the announcement effect of the listed company ' s issuance of the announcement information of listed companies . It refers to whether there is a significant abnormal return rate before and after the announcement of the announcement information . The transfer effect of the listed company ' s increasing stock is the same as that of the company with the same size , and the stock of the listed company has obvious abnormal rate of return before and after the announcement of the announcement information .

This paper first introduces the background and significance of the research on the subject of the thesis , and summarizes the related research literatures at home and abroad . On the basis of this , we have set up 573 sample companies and matching companies that meet the research conditions . In this paper , we have selected 573 sample companies and matching companies that meet the research conditions .

Compared with previous studies , the contribution of this paper is mainly discussed in the following three aspects . First , the research on the effect of public announcement announcement is enriched .

Through the empirical study , the main conclusions are as follows :

( 1 ) There is no significant announcement effect of the announcement of the plan announcement of the board of directors , and the announcement of the resolution announcement of the shareholders ' meeting has obvious negative announcement effect . In the event window of ( - 5 , 5 ) , the listed company of the public additional resolution is issued , and the cumulative average abnormal return rate of its shares is - 4.59 % .

( 2 ) There are significant positive publicity effects in the announcement of the plan announcement of the board of directors . The announcement effect of the resolution announcement of the shareholders ' meeting has no obvious effect on the plan of the board of directors . This indicates that the investors generally believe that the information of " directional increase " is " good news . " These investors usually have more information than ordinary investors . The announcement effect of the announcement of the resolution of the shareholders ' meeting has no obvious effect on the stock market . On the other hand , the announcement effect of the announcement of the resolution of the shareholders ' meeting has no obvious effect on the stock market .

( 3 ) The positive announcement effect of the announcement of the plan announcement of the director of the plan is mainly concentrated on the day before the public announcement of the plan and the day of the announcement of the contingency plan . The average abnormal rate of return on the stock is 0.28 % , 0.51 % , 0.56 % , 0.72 % and 2.43 % , respectively , and the average abnormal rate of return on the day of the pre - plan announcement is 0.82 % .

( 4 ) In different market conditions , there is no significant announcement effect on the announcement of the announcement of the board of directors . In the rising market and the adjustment , there is a significant negative announcement effect in the announcement of the announcement of the resolution of the shareholders ' general meeting . In the falling market , there is no significant announcement effect on the announcement of the announcement of the resolution of the shareholders ' meeting . This phenomenon can be explained according to the theory of adverse selection of equity financing and the participation of investors in the stock market .

In the event window of ( -5 , -3 ) , the cumulative average abnormal rate of return of shares is - 1.42 % in the event window of ( -5 , -3 ) . This may be due to the greater changes in the stock market ' s future trend .

( 6 ) There is no obvious transfer effect of the public announcement announcement . Before and after the announcement date of the board of directors and the announcement date of the resolution of the shareholders ' meeting , the shares of the matching company with the same size as the public announcement of the public announcement of the public announcement of the public announcement shall not have obvious average abnormal return rate and cumulative average abnormal return rate .

( 7 ) There is a significant transfer effect in the announcement of the directional increment announcement . The stock of the matching company with the same scale can obtain a significantly negative cumulative average abnormal rate of return . In particular , the average abnormal rate of return of the sample company and the partner company before and after the announcement date of the board of directors shows the trend of " this " .

According to the above research conclusion , this paper puts forward some suggestions on improving the investment decision - making of the securities market and investors . On the one hand , this paper puts forward two measures to strengthen the supervision of the information disclosure and to strengthen the penalties for insider trading . On the other hand , the author believes that the investors should take a rational view on the issuance of listed companies , and make investment decisions in combination with the specific circumstances of the portfolio and whether to obtain the additional information in advance , so as to reduce the blindness investment .

【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

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