我国A股市场定向增发股价效应的影响因素研究

发布时间：2018-06-20 05:23

本文选题：定向增发 + 增发股价效应　；参考：《南京师范大学》2012年硕士论文

【摘要】：定向增发作为我国自《证券发行管理办法》发布以来最早恢复的再融资方式,与公开增发、配股等股权再融资方式相比,由于其具有审核程序简单、筹资成本低、发行成功率高等特点深受上市公司的青睐,因此,就定向增发的有关问题进行深入研究具有很重要的理论和实践意义。国内已有不少学者对定向增发引起的股票异常收益率即股价效应进行过研究,但对股价效应影响因素的实证研究却很少,本文试图通过理论和实证分析相结合的方法较全面地分析我国A股市场定向增发股价效应的影响因素。首先,本文运用有效资本市场假说以及国内外主流效应假说对定向增发股价效应进行相关理论分析,重点讨论了市场态势、认购对象、增发动机以及投资者情绪对股价效应的影响。然后,以我国A股市场2006年5月～2010年12月期间实施定向增发的494家上市公司为样本,采用事件研究法验证了实施定向增发的上市公司的股价效应为正,接着在前人研究的基础之上,根据相关理论和假说分析了可能影响我国A股上市公司非公开增发股价效应的因素,选取上市公司规模、资产负债率、股权集中度、增发对象、增发动机以及投资者情绪作为解释变量,以平均累计异常收益率作为因变量建立了多元线性回归模型,通过研究得出实施定向增发公司的规模和资产负债率对股价效应具有显著为负的影响,股权集中度、增发对象以及增发动机对股价效应具有显著为正的影响,同时,投资者情绪对股价效应的影响也获得了预期的符号和显著性,从而表明,监督效应假说、股权结构效应假说、信息不对称假说以及投资者情绪理论能很好地解释我国A股市场实施定向增发的上市公司的股价效应。最后,根据文章的研究分析结果,提出了相应的政策建议。
[Abstract]:As one of the earliest refinancing methods recovered since the issuance of the measures for the Administration of Securities issuance in China, directional additional issuance is compared with other equity refinancing methods, such as public issuance and rights issue, because of its simple audit procedure and low financing costs. The characteristics of high success rate of issuance are favored by listed companies. Therefore, it is of great theoretical and practical significance to deeply study the related problems of directional additional issuance. There are many scholars in China who have studied the abnormal return rate that is the stock price effect caused by the directional placement, but the empirical research on the influencing factors of the stock price effect is rare. This paper attempts to analyze the influencing factors of the price effect of directional placement in China's A-share market by means of theoretical and empirical analysis. Firstly, using the efficient capital market hypothesis and the mainstream effect hypothesis at home and abroad, this paper makes a theoretical analysis of the price effect of directional placement, and discusses the market situation and the target of subscription. The effect of engine and investor sentiment on stock price effect. Then, with the sample of 494 listed companies in China's A share market from May 2006 to December 2010, the stock price effect of the listed companies with additional directional offerings is verified by the event study method. Then on the basis of previous studies, according to relevant theories and hypotheses, this paper analyzes the factors that may affect the effect of non-public additional share price of A-share listed companies, and selects the scale of listed companies, the ratio of assets and liabilities, the degree of concentration of equity, the object of additional issuance. The increasing engine and investor sentiment are taken as the explanatory variables, and the multiple linear regression model is established with the average cumulative abnormal return rate as the dependent variable. Through the research, it is concluded that the scale and the asset-liability ratio of the directional placement company have a significant negative impact on the stock price effect, and the equity concentration, the additional issue object and the increasing engine have a significant positive impact on the stock price effect, at the same time, The influence of investor sentiment on the stock price effect has also obtained the expected symbol and significance, which shows that the supervision effect hypothesis, the equity structure effect hypothesis, The information asymmetry hypothesis and investor sentiment theory can explain the stock price effect of the listed companies in China's A-share market. Finally, according to the research and analysis results of the article, the corresponding policy recommendations are put forward.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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