A股市场定向增发超额收益分析
发布时间：2018-08-02 09:19
【摘要】：自2006年5月8日颁布实施的《上市公司证券发行管理办法》首次明确给出了非公开发行股票（即定向增发）的条件和程序，由于定向增发具有不增加即期扩容压力、门槛低、发行周期短等独特优势，很快成为中国上市公司再融资最重要方式。截至2012年12月31日，全体A股上市公司已成功实施定向增发907例，融资规模达到18018.94亿元。 因为定增价格一般较市场价格存在一定折扣，且参与起点很高，法律规定参与对象不得超过10人，因此定向增发在一级市场上的颇受机构投资者青睐。 历史上一级市场参与定向增发的超额收益显著，从2006年1月至2012年底（剔除尚未解禁或无法查询解禁日期的284只定增股），以沪深300为基准，一级市场定向增发超额收益平均达到77%，获得正向收益的概率达到76.6%，绝对收益上，，平均收益达到82.5%，获得正向收益的概率超过64.%。其中允许机构投资者参与的定增项目同样收益颇丰，据笔者统计，相对于沪深300超额收益上，平均收益达到52.7%，获得正向收益的概率达到74%。 然而，定向增发项目依旧难逃打经济大势的影响。随着市场走弱，定增破发率越来越为人所关注。好买基金研究中心统计1，定增项目的收益率与破发率基本呈反比的走势。在2006年，整个定向增发的市场回报了投资者300%以上的回报，在随后的2007年-2010年，市场每年的回报在50%以上。但2011年开始单边下行的市场，给定增市场带来了重创。2011年定增市场整体的收益为13.03%，破发率高达64.25%。 那么，究竟是什么因素影响了定向增发在一级市场上的超额收益表现，二级市场的投资者是否同样有机会在定向增发中获益？定增一级和二级市场交易收益在2011年下半年以来出现的较大回撤是否意味着定增优势已成历史？ 综合上述现象，本文回顾国内外关于定向增发的主要研究文献；梳理了A股市场定向增发的历程、基本流程和现象；随后选取2006年1月1日至2012年12月31日之间的623只已解禁定增个股作为统计样本，通过市场情绪、财务股本、定增方案、定增供求四大维度的量化指标，剖析影响定向增发一级市场与二级市场超额收益的关键变量，建立定增公告日折溢价模型和定增公告日后超额收益模型，进而探讨在定增市场中寻找超额收益的机会。
[Abstract]:Since May 8, 2006, the "measures for the Administration of Securities issuance of listed companies" has for the first time clearly given the conditions and procedures for the non-public issuance of shares (i.e., directional additional issuance). Due to the fact that additional directional issuance does not increase the pressure of immediate expansion, the threshold is low. Short issuance cycle and other unique advantages soon become the most important way of refinancing listed companies in China. As of December 31, 2012, all A-share listed companies have successfully implemented 907 additional targeted offerings, with a financing scale of 1.801894 trillion yuan. Because the fixed increase price generally has a certain discount than the market price, and the starting point of participation is very high, the law stipulates that the object of participation must not exceed 10 people, so directional additional issuance in the primary market is favored by institutional investors. From January 2006 to the end of 2012 (excluding 284 listed shares that have not yet been lifted or unable to inquire about the date of lifting the ban), the first-level market participation in the placement of additional shares has been remarkable, taking the CSI 300 as a benchmark. In the first order market, the average excess income of directional issuance is 77, the probability of obtaining positive income is 76.66.The absolute income is 82.5, and the probability of obtaining positive income is more than 64.00. According to the author's statistics, compared with the Shanghai and Shenzhen 300 excess returns, the average income is 52.7, and the probability of obtaining positive income is 74. However, the targeted issuance project is still difficult to escape the impact of the economic trend. As the market weakens, will increase break rate more and more people pay attention to. Good buy fund research center statistics 1, the yield of fixed increase project and break rate basically show the trend of inverse proportion. In 2006, the overall market returned more than 300 percent of investors' returns, followed by an annual return of more than 50 percent from 2007 to 2010. But the markets that started falling unilaterally in 2011 were hit hard by a given increase. Overall earnings for 2011 were 13.03, with a break rate of 64.25. So, what factors affect the performance of additional placement in the primary market, whether investors in the secondary market also have the opportunity to benefit from targeted placement? Does the large pullback of trading earnings in the primary and secondary markets since the second half of 2011 mean that the fixed growth advantage has become a thing of the past? Synthesizing the above phenomena, this paper reviews the main research literature on the placement of the A share market at home and abroad, combing the course, basic process and phenomenon of the A share market. Then, 623 stocks that have been released from January 1, 2006 to December 31, 2012, are selected as statistical samples. Through market sentiment, financial equity, fixed increase scheme and quantitative index of four dimensions of increasing supply and demand, This paper analyzes the key variables that affect the excess returns in the primary and secondary markets, establishes the models of the daily discount premium of the fixed increase announcement and the excess return after the fixed increase announcement, and then probes into the opportunities of looking for the excess returns in the fixed increase market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
本文编号：2158974
[Abstract]:Since May 8, 2006, the "measures for the Administration of Securities issuance of listed companies" has for the first time clearly given the conditions and procedures for the non-public issuance of shares (i.e., directional additional issuance). Due to the fact that additional directional issuance does not increase the pressure of immediate expansion, the threshold is low. Short issuance cycle and other unique advantages soon become the most important way of refinancing listed companies in China. As of December 31, 2012, all A-share listed companies have successfully implemented 907 additional targeted offerings, with a financing scale of 1.801894 trillion yuan. Because the fixed increase price generally has a certain discount than the market price, and the starting point of participation is very high, the law stipulates that the object of participation must not exceed 10 people, so directional additional issuance in the primary market is favored by institutional investors. From January 2006 to the end of 2012 (excluding 284 listed shares that have not yet been lifted or unable to inquire about the date of lifting the ban), the first-level market participation in the placement of additional shares has been remarkable, taking the CSI 300 as a benchmark. In the first order market, the average excess income of directional issuance is 77, the probability of obtaining positive income is 76.66.The absolute income is 82.5, and the probability of obtaining positive income is more than 64.00. According to the author's statistics, compared with the Shanghai and Shenzhen 300 excess returns, the average income is 52.7, and the probability of obtaining positive income is 74. However, the targeted issuance project is still difficult to escape the impact of the economic trend. As the market weakens, will increase break rate more and more people pay attention to. Good buy fund research center statistics 1, the yield of fixed increase project and break rate basically show the trend of inverse proportion. In 2006, the overall market returned more than 300 percent of investors' returns, followed by an annual return of more than 50 percent from 2007 to 2010. But the markets that started falling unilaterally in 2011 were hit hard by a given increase. Overall earnings for 2011 were 13.03, with a break rate of 64.25. So, what factors affect the performance of additional placement in the primary market, whether investors in the secondary market also have the opportunity to benefit from targeted placement? Does the large pullback of trading earnings in the primary and secondary markets since the second half of 2011 mean that the fixed growth advantage has become a thing of the past? Synthesizing the above phenomena, this paper reviews the main research literature on the placement of the A share market at home and abroad, combing the course, basic process and phenomenon of the A share market. Then, 623 stocks that have been released from January 1, 2006 to December 31, 2012, are selected as statistical samples. Through market sentiment, financial equity, fixed increase scheme and quantitative index of four dimensions of increasing supply and demand, This paper analyzes the key variables that affect the excess returns in the primary and secondary markets, establishes the models of the daily discount premium of the fixed increase announcement and the excess return after the fixed increase announcement, and then probes into the opportunities of looking for the excess returns in the fixed increase market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
【参考文献】
相关期刊论文 前3条
1 章卫东;;定向增发新股与盈余管理——来自中国证券市场的经验证据[J];管理世界;2010年01期
2 汪超;;从定向增发中寻找超额收益[J];股市动态分析;2011年27期
3 周勤业,刘宇;上市公司股权再融资创新的比较与分析[J];证券市场导报;2005年09期
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