募资投向变更对股价影响的实证研究

发布时间：2018-05-20 05:47

本文选题：募资投向变更 + IPO融资　；参考：《江西财经大学》2013年硕士论文

【摘要】：随着我国资本市场的繁荣发展，股票市场在企业融资过程中发挥着越来越重要的作用。自1990年我国A股市场开始运行以来，已经为我国企业融入大量资金，有效地解决了上市公司股权融资问题。从股票市场开始运行以来，我国公司上市采用的是核准制的形式。公司能否利用融资、再融资等形式从股票市场融入发展所需要的资金最终取决于股票市场监管层的批准与否，而不是市场的供需状况。这是行政手段介入市场运行的表现之一。在我国现行制度下，企业发行股票融资必须以项目的形式，因此企业在上市融资的过程中必然以项目为导向，募集资金的目的也是为了项目投产。但是现实中，往往因为各种原因需要变更企业的募资投向。那么上市公司在变更募资投向之后，公司股价的变化有哪些影响因素呢？这是值得我们研究的问题。目前，我国学术界，对于募资投向变更的研究并不多，主要集中在IPO募资投向变更方面，也有学者针对H股进行过相关研究。本文的研究在以前文献的基础上增加了对于再融资募资投向变更的研究，并将其与IPO募资投向变更做了对比分析。在方法上，本文采用了理论与实证相结合的方式进行探讨，二者相互支持，相互印证。本文在实证上主要采取了事件研究法和多元回归相结合的研究方法。我们利用事件研究法研究股价走势对于募资投向变更行为的反应，计算出事件窗口内的累计超额收益率，再用多元回归将股价走势与各影响因素结合起来研究。用上市公司的各个影响因素解释市场反应，本文采用公司总资产的自然对数（lnSize）、股东权益增长率（Equity）、净资产收益率（ROE）、资产负债率（Debt）、大股东持股比例（Share）、现金流量指标（Cash）等6个指标作为解释变量描述募资投向变更的影响因素。本文共分5个部分，第一部分为绪论，主要讲述本选题的研究背景和研究意义、研究思路和框架、创新与不足。本章将讨论本论文选题的必要性、实践价值和学术价值，，并提出本论文的研究创新与不足点。第二部分为基础理论，主要介绍公司价值理论；市场有效性理论；股权融资理论。本部分将详细地讲述国内外对募资投向变更问题的最新研究成果，并对相关文献进行梳理和评述。第三部分为募资投向变更现象综述，本部分将介绍我国股票市场募资投向变更现象的起源、现状及其成因。本章还将系统性介绍对募资投向变更行为有着重大影响的政策与制度发展，并对其具体内容进行解读。第四部分为实证部分，主要介绍发生募资投向变更的事件窗内累计超额收益率及其影响因素的实证研究。本章首先将界定本论文的假设条件、研究范围、研究对象，为下面的研究做出相应的铺垫。本文的研究时间从2000至2010年，在此时间范围内，我们将挑选出所有发生融资、再融资募资投向变更的公司，并分别对其做描述性统计分析。我们将对融资、再融资募资投向变更公司的股价走势与相关影响因素做实证研究。实证研究部分将采用事件分析法，将募资投向变更的公告定义为事件。然后计算事件窗口期内发生募资变更股票的累计超额收益。我们将采用多元回归模型对市场反应、公司规模、权益增长率、ROE、资产负债率、现金流量指标、大股东持股比例等指标做回归分析，并对实证分析结果做出评价。第五部分为结论与展望，说明本论文的主要研究结论，并根据相关结论做出政策建议，以突出论文的实践意义。本文的主要创新点在于：（1）将研究视野拓展到IPO融资，再融资。在文章中，我们分别对这两种不同的融资状况做了实证分析，并得出相关结论。（2）系统性地梳理了自2000年以来我国股票市场监管层关于募资投向变更的各种制度规则。由于本人能力所限，本文的研究还有相当的不足，主要体现在：（1）实证模型的变量选取考虑不够周到。在做多元回归的过程中，有些变量虽然呈现出回归关系，但是并不显著。（2）由于本文的所有数据都必须根据上市公司年报手工整理所得，2000年-2010年我国上市公司年报格式变化较大，整理过程中难免有疏漏。在今后的研究中，本人将更加谨慎地完善数据。
[Abstract]:With the prosperity and development of China's capital market, the stock market plays a more and more important role in the process of enterprise financing. Since the beginning of the operation of the A stock market in China in 1990, a large amount of capital has been incorporated into the enterprises of our country, which has effectively solved the problem of equity financing of listed companies. Since the start of the stock market, the company's listed companies have been listed. It is the form of approval system. Whether the company can use financing, refinancing and other forms to be integrated into the stock market depends on the approval of the stock market, not the supply and demand of the market. This is one of the manifestations of the administrative means involved in the market operation. Under the current system of China, the enterprises issue stock melting. The investment must be in the form of project, so the enterprise must be guided by the project in the process of listing and financing, and the purpose of raising funds is also for the project to be put into production. But in reality, it often needs to change the fund raising of the enterprise because of various reasons. This is a question worth studying.
At present, there are not many studies on the change of fund-raising in Chinese academia, mainly focused on the change of IPO fund-raising and investment change, and some scholars have carried out a relative study on H shares. The research in this paper has increased the study on the change of refinancing and fund-raising on the basis of previous literature, and makes a comparative analysis on the change of raising money from IPO to the change. In terms of method, this paper adopts a combination of theory and practice, and the two support each other and confirm each other.
In this paper, we mainly adopt the method of combining the event study method with the multiple regression. We use the event study method to study the response of the stock price trend to the change behavior, calculate the cumulative excess rate of return in the event window, and combine the multiple regression to combine the stock price trend with the influence factors. The influence factors of the city company explain the market reaction. In this paper, 6 indexes, such as the natural logarithm (lnSize) of the total assets of the company, the growth rate of stockholders' equity (Equity), the net assets yield (ROE), the asset liability ratio (Debt), the large stockholder's shareholding ratio (Share), and the cash flow index (Cash), are used as explanatory variables to describe the influence factors of the capital raising and investment change.
This article is divided into 5 parts. The first part is the introduction, which is mainly about the background and significance of the research, the thinking and frame of the research, the innovation and the deficiency. This chapter will discuss the necessity, the practical value and the academic value of this thesis, and put forward the research innovation and deficiency in this thesis. The second part is the basic theory, mainly introducing the company. Value theory, market effectiveness theory, equity financing theory. This part will elaborate the latest research results on the issue of capital raising and investment change at home and abroad, and review and comment on the related literature. The third part is a summary of the phenomenon of capital raising and investment change, and this part will introduce the origin of the phenomenon of change in the stock raising and investment in the stock market of China. This chapter will also systematically introduce the development of policy and system which has a significant impact on the change of capital raising and its specific content. The fourth part is an empirical part, which mainly introduces the empirical study on the cumulative excess rate of return and its influencing factors in the event window of raising capital for change. Define the hypothesis, the scope and the object of this paper, and make the corresponding paving for the following research. The research time from 2000 to 2010, we will select all the companies that are financing, refinancing and fundraising, and make a descriptive statistical analysis. The empirical research part will adopt the event analysis method to define the change of the fund raising as an event. Then we will calculate the cumulative excess returns of the stock raising change during the event window period. We will use the multiple regression model to respond to the market, the company Scale, interest growth rate, ROE, asset liability rate, cash flow index, large shareholder shareholding ratio and other indicators to do regression analysis, and evaluate the results of the empirical analysis. The fifth part is the conclusion and prospect, explaining the main conclusions of this paper, and making policy recommendations according to the relevant conclusions, to highlight the practical significance of the paper.
The main innovation points of this article are as follows: (1) the research field of vision is extended to IPO financing and refinancing. In this article, we have made an empirical analysis of the two different financing conditions and obtained the relevant conclusions. (2) systematically combed the various institutional rules on the change of fund raising in the stock market of China since 2000. The study of my ability is limited, and the research of this paper is quite inadequate, which is mainly reflected in: (1) the selection of variables in the empirical model is not thoughtful enough. In the process of multiple regression, some variables are not significant although they show a regression relationship. (2) because all the data in this paper must be manually arranged according to the annual report of the listed company, 2000 In the year of -2010, the format of annual reports of Listed Companies in China changed greatly, and there were unavoidable omissions in the process of consolidation. In the future research, I would be more careful to improve the data.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】