政府管制背景下权益融资的市场择时行为
发布时间：2018-11-17 07:38
【摘要】：国内外学者研究都表明市场择时现象普遍存在。所谓市场择时是指公司在股价被高估的时候发行权益进行融资,股价被低估的时候则回购权益或者通过负债进行融资。中国资本市场上存在融资管制。不同时期,针对首次公丌发行股票和股权再融资制定了不同的发行上市制度。因此引入政府管制背景研究我国资本市场的择时行为十分重要。它有可能会更好的解释中国资本市场上,公司管理层融资决策的现象及本质。其次,本文还结合中国股票发行上市制度,研究上市公司融资决策在市场择时程度上的不同表现,探讨市场时时理论在我国资本市场上的适用性。 本文以1996-2010年在我国沪深两市进行股权融资的上市公司为样本,首先检验了我国上市公司进行股权融资时是否存在择时行为,然后,结合我国融资管制的制度背景,分析研究了不同融资类型(IPO、再融资)市场择时的程度的差异以及不同股票发行制度下市场择时程度的异同,并进一步检验了产权性质对公司市场择时程度的影响。本文借鉴Pagano、Panetta和Zingales (1998)以及Alti(2006)的方法,以行业超常市值账面比(行业市值账面比的均值、中位数减去行业历年平均水平)衡量公司的择时时机,研究发现：公司会选择市场时机较好的时候进行股权融资,并且行业市值账面比较高时(市场行情好时),公司股权融资规模更大,会筹集更多的资金。鉴于管制程度的差异,我国上市公司再融资(SEO、配股)市场择时程度高于IPO的择时程度；并且对于IPO而言,核准制下公司股权融资市场择时程度更高；保荐制实施之后,公司股权融资的市场择时程度高于保荐制实施之前。进一步检验发现,产权性质也会对公司的市场择时程度产生影响：民营企业的择时程度高于国有企业；国有企业样本中,再融资的择时程度高于IPO时的择时程度；民营企业样本中,再融资的择时程度和IPO时择时程度没有显著差异。本文按照融资类型对总样本进行了分组,发现：首次公丌发行(IPO)时,民营企业择时程度高于国有企业；再融资时,民营企业的市场择时程度高于国有企业。在区分现金持有量的分组样本中,现金充裕的民营企业IPO时的市场时机和市场择时程度更高；现金紧缺的民营企业再融资时的市场时机和市场择时程度更高；现金充裕和现金紧缺的国有企业再融资时的市场时机和市场择时程度均更高。IPO核准制下,民营企业的择时程度更高；保荐制实施之后相比于实施之前,民营企业的市场择时程度更高。
[Abstract]:Scholars at home and abroad have shown that market timing phenomenon exists widely. The so-called market timing is when the company issues equity financing when the stock price is overvalued, and when the stock price is undervalued, it repurchase the equity or finance through the debt. There are financing regulations in China's capital market. In different periods, different systems of IPO and equity refinancing are established. Therefore, it is very important to introduce the background of government regulation to study the timing behavior of China's capital market. It may better explain the phenomenon and essence of financing decision in Chinese capital market. Secondly, this paper also studies the different performance of the financing decision of listed companies in the market timing degree, and discusses the applicability of the market time theory in China's capital market. Based on the sample of listed companies in Shanghai and Shenzhen stock markets from 1996 to 2010, this paper first examines whether there is timing behavior in equity financing of listed companies in China, and then combines with the institutional background of financing control in China. This paper analyzes and studies the different degree of market timing in different financing types (IPO, refinancing) and the similarities and differences of market timing degree under different stock issuance systems, and further tests the influence of property rights on the market timing degree of companies. Based on the methods of Pagano,Panetta, Zingales (1998) and Alti (2006), this paper measures the timing of a company by the book value ratio (the average value of the industry market to book ratio, the median minus the average of the industry average in the past years). The study found that companies choose better times for equity financing, and when the market capitalisation is higher (market conditions are good), companies raise more equity financing on a larger scale. In view of the difference of regulatory level, the market timing degree of refinancing (SEO,) of listed companies in China is higher than that of IPO, and for IPO, the timing degree of corporate equity financing market is higher under the system of approval. After the implementation of the sponsorship system, the market timing of corporate equity financing is higher than that before the recommendation system. It is found that the property right nature also affects the market timing degree of the company: the degree of timing of private enterprises is higher than that of state-owned enterprises, and the timing degree of refinancing is higher than that of IPO in the sample of state-owned enterprises; In the sample of private enterprises, there is no significant difference between the timing degree of refinancing and that of IPO. This paper classifies the total sample according to the type of financing, and finds that the degree of timing of private enterprises is higher than that of state-owned enterprises at the first time of public opening and issuing (IPO), and the market timing degree of private enterprises is higher than that of state-owned enterprises in refinancing. In the grouping samples of distinguishing cash holdings, the market timing and market timing of cash-rich private enterprises are higher when they are IPO, and the market timing and market timing of cash-scarce private enterprises are higher when they refinance. The market timing and market timing degree of state-owned enterprises with abundant cash and cash shortage are higher. Under IPO approval system, private enterprises have higher timing; After the implementation of the sponsorship system, private enterprises have a higher market timing than before.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F275
本文编号：2336989
[Abstract]:Scholars at home and abroad have shown that market timing phenomenon exists widely. The so-called market timing is when the company issues equity financing when the stock price is overvalued, and when the stock price is undervalued, it repurchase the equity or finance through the debt. There are financing regulations in China's capital market. In different periods, different systems of IPO and equity refinancing are established. Therefore, it is very important to introduce the background of government regulation to study the timing behavior of China's capital market. It may better explain the phenomenon and essence of financing decision in Chinese capital market. Secondly, this paper also studies the different performance of the financing decision of listed companies in the market timing degree, and discusses the applicability of the market time theory in China's capital market. Based on the sample of listed companies in Shanghai and Shenzhen stock markets from 1996 to 2010, this paper first examines whether there is timing behavior in equity financing of listed companies in China, and then combines with the institutional background of financing control in China. This paper analyzes and studies the different degree of market timing in different financing types (IPO, refinancing) and the similarities and differences of market timing degree under different stock issuance systems, and further tests the influence of property rights on the market timing degree of companies. Based on the methods of Pagano,Panetta, Zingales (1998) and Alti (2006), this paper measures the timing of a company by the book value ratio (the average value of the industry market to book ratio, the median minus the average of the industry average in the past years). The study found that companies choose better times for equity financing, and when the market capitalisation is higher (market conditions are good), companies raise more equity financing on a larger scale. In view of the difference of regulatory level, the market timing degree of refinancing (SEO,) of listed companies in China is higher than that of IPO, and for IPO, the timing degree of corporate equity financing market is higher under the system of approval. After the implementation of the sponsorship system, the market timing of corporate equity financing is higher than that before the recommendation system. It is found that the property right nature also affects the market timing degree of the company: the degree of timing of private enterprises is higher than that of state-owned enterprises, and the timing degree of refinancing is higher than that of IPO in the sample of state-owned enterprises; In the sample of private enterprises, there is no significant difference between the timing degree of refinancing and that of IPO. This paper classifies the total sample according to the type of financing, and finds that the degree of timing of private enterprises is higher than that of state-owned enterprises at the first time of public opening and issuing (IPO), and the market timing degree of private enterprises is higher than that of state-owned enterprises in refinancing. In the grouping samples of distinguishing cash holdings, the market timing and market timing of cash-rich private enterprises are higher when they are IPO, and the market timing and market timing of cash-scarce private enterprises are higher when they refinance. The market timing and market timing degree of state-owned enterprises with abundant cash and cash shortage are higher. Under IPO approval system, private enterprises have higher timing; After the implementation of the sponsorship system, private enterprises have a higher market timing than before.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F275
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