做市转让下新三板股权质押率研究

发布时间：2018-03-14 01:25

本文选题：新三板　切入点：做市商制度　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：新三板股权质押违约情况日渐增多,本文分析了新三板股权质押存在的问题,主要集中在质押率确定、监管不足、缺乏有效风险控制和信息披露等问题上。本文主要研究质押的质押率,通过对做市转让股票的研究建立起股权质押质押率分析的框架。本文将定性方法与定量方法相结合,分析了股权质押率的影响因素,作为基于相关指标的定性参考依据,利用VAR方法研究个股的股权质押率,作为定量分析的依据。最后将该分析框架应用于股权质押案例中,一方面对该分析框架进行检验,另一方面通过案例分析股权质押不违约与违约的原因,为各方开展股权质押业务提供参考。股权质押率的影响因素分析中,重点分析公司盈利能力、现金流量、偿债能力、运营能力(公司基本面),股价波动性(交易行情),行业指数变化率(行业因素)对股权质押率的影响。研究发现偿债能力、现金流、股价波动下对股权质押率有比较显著的影响,本文从股权质押的违约风险和平仓风险分析了回归结果的合理性。VAR方法研究个股的股权质押率中,本文构建了 VAR模型之后,选取流动性较好的新三板做市股票,先确定其公允价值,再通过VAR方法确定股票的无风险价值,用无风险价值与股票公允价值之比作为VAR方法下的股权质押率。实际应用中将定性的财务指标分析和定量的VaR方法分析结合起来,作为判断股权质押率的分析框架。作为对该框架的应用和检验,本文重点分析了点点客和枫盛阳的股权质押案例。点点客的股权质押比较成功,公司相关财务指标非常好,VAR方法计算得到的股权质押率与点点客实际的股权质押率比较接近。而在枫盛阳股权质押违约的案例中,枫盛阳的相关指标持续走低,且实际的质押率明显高于用VAR方法计算得出的质押率。通过分析枫盛阳股权质押违约事件的来龙去脉,发现了大股东在公司经营和股权质押中的风险点,如果事前参考VAR方法下的股权质押率,可以有效地识别和降低质押风险。在开展新三板股权质押业务的过程中,可以根据企业偿债能力、现金流和交易行情等作出初步地分析,再参照VAR模型定量得出的企业的股权质押率,作出综合地判断,确定一个比较合理的股权质押率。本文正是通过这一研究过程希望能为新三板股权质押业务提供实务中的参考。
[Abstract]:The default of the new third board equity pledge is increasing day by day. This paper analyzes the existing problems of the new third board equity pledge, mainly focusing on the determination of the pledge rate and insufficient supervision. On the lack of effective risk control and information disclosure, this paper mainly studies the pledge rate of pledge, and establishes a framework for analyzing the pledge rate of equity pledge through the study of market-making transfer stock. This paper combines qualitative method with quantitative method. This paper analyzes the influencing factors of equity pledge rate, as a qualitative reference based on relevant indicators, and uses VAR method to study the equity pledge rate of individual stock as the basis of quantitative analysis. Finally, the framework is applied to the case of equity pledge. On the one hand, the analysis framework is tested, on the other hand, the reasons of non-default and default of equity pledge are analyzed by case study, which provides a reference for all parties to carry out the business of equity pledge. Focus on the analysis of profitability, cash flow, solvency, operating capacity (company fundamentals, stock price volatility (trading market, industry index change rate (industry factors)) on the impact of equity pledge. Cash flow and stock price fluctuation have significant influence on the pledge rate of stock. This paper analyzes the rationality of the regression result from the default risk and unwinding risk of equity pledge. The method of VAR is used to study the equity pledge rate of individual stock. After the VAR model is constructed, the new three boards with good liquidity are selected to make the stock market. The fair value of the stock is determined first, then the risk-free value of the stock is determined by the VAR method. Using the ratio of risk-free value to fair value of stock as the pledge ratio of equity under VAR method, the qualitative financial index analysis and the quantitative VaR method analysis are combined in practical application. As an analytical framework for judging the rate of equity pledge. As the application and test of this framework, this paper focuses on the analysis of the case of equity pledge of spot spot and Fengsheng Yang. The relative financial indicators of the company are very good. The equity pledge rate calculated by the VAR method is quite close to the actual equity pledge rate of the spot customer. In the case of the default of the equity pledge of Fengsheng Yang, the relevant index of Fengsheng Yang continues to decline. And the actual pledge rate is obviously higher than the pledge rate calculated by VAR method. By analyzing the origin of the default event of Fengsheng Yang equity pledge, we find out the risk point of the major shareholders in the company operation and equity pledge. If we refer to the equity pledge rate under the VAR method in advance, we can effectively identify and reduce the pledge risk. In the process of developing the new third board equity pledge business, we can make a preliminary analysis according to the enterprise's solvency, cash flow and trading price, etc. Referring to the VAR model, the paper makes a comprehensive judgment to determine a reasonable equity pledge rate. This paper hopes to provide a practical reference for the new third board equity pledge business through this research process.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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