“外部人”一级市场参与定向增发的超额收益研究
发布时间：2018-07-13 07:28
【摘要】：2013年以来,我国A股市场经历了较为漫长的IPO暂停期,该期间内,再融资成为我国A股市场发挥股权融资功能的最重要方式。自2006年以来,定向增发募资规模持续增长,2006-2013年间,A股上市公司共计成功实施1076例定向增发,总融资规模约达到21000亿元,定向增发的募资总额己超过同期其他再融资方式(如配股、公开增发和权证行权等)的募资总额。 定向增发的快速发展,使得围绕定向增发的投资理念开始兴盛,不仅仅有二级市场上基于定向增发公告效应的投资策略,一级市场更是参与定向增发的关键环节。伴随基金、保险公司等机构投资者的快速发展,机构投资者成为定向增发的重要认购者。当然,机构投资者相比较公司的大股东群体(公司大股东、大股东关联方等)、以及战略投资者(未来有可能进驻公司管理层)在信息获取以及投资目的方面存在差异。近年来,机构投资者对于一级市场定向增发的参与热情较高,且已有研究表明获取了显著的超额收益。另一方面,信托、私募基金、券商集合理财计划的发展带动下,使得个人投资者可以通过投资集合理财产品等,间接在一级市场投资于定向增发所发行的新股。 为了能够更好的对参与定向增发的超额收益率情况进行研究,定义参与定向增发的“内部人”为大股东群体和战略投资者,而“外部人”为机构投资者,考虑“内部人”拥有信息优势的可能以及投资目的的复杂化,并且考虑定向增发的可参与性,笔者决定本文的研究只着眼“外部人”可以参与的定向增发案例,剔除只有公司“内部人”可以参与的定向增发。所研究的“外部人”可以参与认购的定向增发案例既包括有：(1)只对“外部人”发行的定向增发,(2)对混合对象(“外部人”和“内部人”共同参与)发行的定向增发。从2006-2013年1076次成功发行的定向增发来看,只大股东群体参与的有268例,仅有机构投资者参与认购的有431例,既有大股东又有机构投资者参与的有280例,可以看出,机构投资者可参与的案例占总数比例为75.05%。从趋势的角度可以看出,大股东的平均认购比例近年来呈现出明显的逐步下滑的趋势。整体从2006至2013年间的定向增发看,“外部人”通过一级市场参与定向增发,获得了较好的收益状况,2010年以后,机构投资者参与定向增发的意愿整体较强,但与此同时,定向增发的相对显著的步入了低位。研究学者对于进行定向增发的动机,可能涉及的利益输送问题,对公司治理的改善以及折价率形成机制等都有不少的探讨。而本文将聚焦于研究“外部人”一级市场参与定向增发获取超额收益率的影响因素。 基于文献及理论的回顾整理,从三个角度对定向增发收益的影响因素进行逻辑分析：发行阶段的成本(信息不对称程度、发行比例、增发规模)、进行定向增发的动因(是否存在利益输送、募资资金的用途、大股东群体的参与情况)、市场景气程度与估值偏好(市场估值的阶段性特点、发行方的时机选择)。提出四个假设：(1)信息不对称越严重的公司,其折价率较高,即将折价率看成是给予投资者的信息补偿。(2)定向增发中内幕交易可能存在。(3)募资规模较大的公司,需要支付更多的信息补偿,可能给予的折价率更高。(4)假定市场景气程度、估值的阶段特点会影响投资者参与定向增发的热情,对发行折价造成影响。 通过对定向增发的综合收益率进行阶段分解,设定折价收益率、禁售期股价收益率、综合收益率以及超额收益率为被解释变量。基于逻辑分析与前人研究经验,设定解释变量：发行阶段(定向增发募资规模的大小、定向增发所发新股比重、大股东参与定向增发的比例),公司基本面(资产大小、杠杆率)、市场景气程度和估值特点(市场整体市净率、行业市净率)、描述内幕交易可能的(大股东定向增发前的持股比例、设定模拟窗口的超额累计收益率及平均日换手率)、虚拟变量(发行对象、行业分类、定向增发频繁程度)等,建立多元回归模型,进行相关及显著性检验,进一步回归分析及样本内检验。 基于Wind数据库“股权融资统计”中对历史定向增发案例的披露,所运用的统计软件为Eviews6.0,对于基础资料进行如下的挑选：由于研究主体为外部人,排除只针对大股东群体发行的股票(大股东群体包括公司大股东及其关联方),以及排除只对境外投资者和境内非机构人士发行的股票(数量极少),由于战略投资者很有可能成为公司未来的股东,且有望在未来进驻公司的管理层,战略投资者参与定向增发的情况给予排除。在样本挑选的规则限定下,整体定向增发禁售期基本为一年期。样本统计的股票为2006年后成功实施定向增发,且在2013年末之前已经解禁(参与认购的机构投资者解禁即可)的样本,符合条件的样本数达647个。 通过相关性检验以及回归分析647个定向增发样本数据,检验了只面向机构投资者以及混合对象发行的定向增发股票的超额收益影响因素。根据回归结果,重要变量的影响情况为： (1)定向增发所发新股占原股本的比重：与定向增发超额收益率显著正相关,主要体现在折价收益率上,笔者认为原因为,定向增发的比例越大,意味着公司扩张诉求较大,以公司现有体量来看,定向增发所投入的项目的驾驭难度以及不确定性的提高下,公司需要给予更高的折价来作为大规模扩张的风险补偿。 (2)定向增发募资规模的大小(scale):与超额收益率存在显著的负相关,分解看,折价收益率与定向增发募资规模的大小并无显著的关系,笔者认为原因为：第一点,定向增发规模较大的公司一般为对资金拥有较大话语权的大型国资企业,较好信用平台的支持可使其以较低折价率进行定向增发。第二点,定向增发规模较大的公司往往是大盘股,市场对其投资热情较低,炒作动力不足。第三点,发行规模较大意味着未来的不确定性及风险较大,投资者对其未来看淡。 (3)大股东参与定向增发的比例(ratio):大股东定增的比例(ratio)与超额收益率并没有显著的相关关系。而且从分解看,与折价收益率也没有显著的相关关系。可见,在我国A股市场上,机构投资者可以参与的定向增发中,整体上不存在大股东利用其控制力,有意抬高折扣率获取利益、损害其他原股东利益的行为。 (4)市场市净率：市场市净率与超额收益率存在显著的负相关关系,分解看,主要体现在二级市场反应体现的禁售期收益率,在市场已趋势性向上的情况下,参与定向增发获取超额收益的情况并非拥有大概率支持,如果只考虑历史的相关情况,在较为稳定的市场环境中参与定向增发为较为良好的选择。 (5)行业分类：新型行业的公司通常会拥有较高的定向增发发行折价率,原因为：第一、新型行业信息不对称程度高,第二、信用平台较弱。可看出,行业类别作为虚拟变量与超额收益率、禁售期收益率没有显著的相关性,源于样本时间跨度大,市场经历了完全的投资风格转换。 (6)关于内幕交易存在可能的变量(CAR与TR)：选取相关性最为显著的变量进行回归,CAR(-15,1)仅对分解来看的折价收益率存在显著的正相关关系,而与二级市场所反映的禁售期收益率并无显著的相关关系,可见内幕交易的是否存在并不影响中长期的股价走势。也可以看出,平均相对换手率TR(-1,1)对于折价收益率与禁售期收益都存在显著的正相关关系,不过回归的斜率值较小,具体到绝对值看,变量的实际影响有限,对超额收益率的存在不具备较好的解释力。 经过分析得出“外部人”考虑一级市场参与投资定向增发的股票时一些可供参考的决策,首先要在相对短期历史情况下,市场整体估值水平低的情况参与定向增发,其次要选择增发规模小,但增发比例较高的股票。也可以选择新兴行业的公司,能够获得比较高的增发折扣,从而确保投资收益。假设前期市场经验可以有适当的参考价值,对于投资者在一级市场参与定向增发的选择意见有：宏观层面上,优先在整体市场估值水平较为稳定的环境中参与。行业层面上,优先选择处于新型行业的公司,不过历史经验看,其超额收益情况主要取决于发行时的折价水平。公司层面上,优先选择小规模公司,募资规模较小,但是定向增发发行新股数占总股本总数较高的定向增发的情况。
[Abstract]:Since 2006 , China ' s A - share market has experienced a lengthy IPO moratorium . Since 2006 , it has been the most important way for China ' s A - share market to exert its equity financing function . Since 2006 , total financing has been increasing . In 2006 - 2013 , the total financing size of A - share listed company has reached 210 billion yuan , and the total financing amount has exceeded the total amount of funds raised by other re - financing methods in the same period ( such as allotment , public issuance and warrants rights , etc . ) .
In recent years , institutional investors have been interested in the development of the primary market oriented increase , and some researches have shown that there are significant excess returns . In recent years , institutional investors have been involved in the development of the first - level market oriented increase , and have already made research shows that there are significant excess returns . On the other hand , the investors can invest in the new shares issued by the targeted increase in the first - level market indirectly through the investment collection , financial products and so on .
In order to be able to study the excess yield of the targeted increase , the author defines the " inner person " participating in the targeted increase as the major shareholder group and strategic investor , while the " external person " is the institutional investor , considering the possibility of the information advantage of " insider " and the complexity of the investment purpose .
Based on the review and arrangement of the literature and theory , the influence factors of the revenue from three angles are analyzed logically : the cost of the issuing phase ( information asymmetry degree , distribution proportion , increasing size ) , the reason for the oriented increase ( whether there is interest transfer , the use of raised funds , the participation of large shareholder groups ) , the market prosperity degree and the valuation preference ( the phase characteristics of market valuation , the timing of the issuing party ) . Four assumptions are put forward : ( 1 ) the more serious information asymmetry , the higher the discount rate , the discount rate is regarded as the information compensation to the investor . ( 2 ) The company with larger capital scale may exist . ( 3 ) If the company with large capital scale needs to pay more information compensation , the discount rate may be given higher .
Based on the logic analysis and the previous research experience , the author sets out the explanatory variables : the distribution stage ( the proportion of the new share , the proportion of the large shareholder participating in the targeted increase ) , the basic surface ( asset size , leverage ratio ) , the market depression degree and the valuation characteristics ( the proportion of the shareholder ' s participation in the targeted increase ) , the virtual variable ( the issue object , the industry classification , the degree of directional increase ) , and the like , establishes the multiple regression model , carries out the correlation and significance test , and further returns the analysis and the intra - sample inspection .
The statistical software used is Eviews6.0 based on the disclosure of historical oriented increase cases in the Wind database ' Equity Financing Statistics ' . As the subject of the study is an external person , the stock issued only for large shareholder groups ( large shareholder groups including large shareholders and related parties ) is excluded . As the strategic investors are likely to become the future shareholders of the Company , and the strategic investors are expected to participate in the orientation increase in the future .
According to the regression results , the influence of important variables is as follows :
( 1 ) The proportion of the original share capital of the new share issued by the director is positively correlated with the excess return on the directional increase , which is mainly reflected on the discount rate of return , which means that the larger the expansion of the company , the greater the management difficulty and the uncertainty of the project invested by the targeted increase in the existing mass of the company , the company needs to give higher trade discount as the risk compensation for the large - scale expansion .
( 2 ) The scale of the scale of the scale of the orientation increase and increase the size of the scale : There is a significant negative correlation with the excess yield . The reason is : First , the company with large scale of orientation increases the size of the large - sized state - owned enterprise with relatively large discourse power . The second point is that the company with larger scale is often the big stock market , and the market has low investment enthusiasm and underpower . At the third point , the large scale of the distribution means the uncertainty and the risk of the future , and the investors are indifferent to their future .
( 3 ) There is no significant correlation between the ratio of the shareholder ' s participation in the targeted increase and the ratio between the proportion of the large shareholder and the excess return .
( 4 ) Market rate of market : There is a significant negative correlation between market net rate and excess yield , which mainly embodies the rate of return in the second - stage market reaction . In the case of the upward trend of the market , the situation of participating in the targeted increase and increase of excess earnings is not a big probability support . If only the relevant circumstances of history are taken into account , it is a good choice to participate in the targeted increase in the more stable market environment .
( 5 ) Industry classification : Companies in the new industry usually have higher distribution and distribution discount rate , the reason is : First , new industry information asymmetry degree is high , second , credit platform is weak . It can be seen that industry category as virtual variable and excess return rate have no significant correlation , resulting from the large sample time span , the market experienced full investment style conversion .
( 6 ) With respect to the possible variables ( CAR and TR ) in the insider trading , the most prominent variables are selected for regression , CAR ( -15 , 1 ) has significant positive correlation with the discount rate of discount , but the average relative turnover TR ( -1 , 1 ) does not affect the long - term stock price trend . It can also be seen that the average relative turnover TR ( -1 , 1 ) has a significant positive correlation to the yield of discount and the benefit of the selling period , but the actual effect of the variable is limited , and the existence of the excess yield is not better explained .
Based on the analysis , it is concluded that the " external person " takes into account the decision of the first - level market to participate in the investment - oriented increase . First , in the case of relatively short - term history , the overall valuation level of the market participates in the targeted increase . However , it is also possible to select the companies in the emerging industry to take part in the relatively stable environment . However , the historical experience shows that the excess returns are mainly dependent on the discount level at the time of the issuance . However , in the company level , it is preferable to select small - scale companies , but the private placement is smaller , but the new share of the targeted increase issue accounts for a higher proportion of the total capital stock .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224
本文编号：2118621
[Abstract]:Since 2006 , China ' s A - share market has experienced a lengthy IPO moratorium . Since 2006 , it has been the most important way for China ' s A - share market to exert its equity financing function . Since 2006 , total financing has been increasing . In 2006 - 2013 , the total financing size of A - share listed company has reached 210 billion yuan , and the total financing amount has exceeded the total amount of funds raised by other re - financing methods in the same period ( such as allotment , public issuance and warrants rights , etc . ) .
In recent years , institutional investors have been interested in the development of the primary market oriented increase , and some researches have shown that there are significant excess returns . In recent years , institutional investors have been involved in the development of the first - level market oriented increase , and have already made research shows that there are significant excess returns . On the other hand , the investors can invest in the new shares issued by the targeted increase in the first - level market indirectly through the investment collection , financial products and so on .
In order to be able to study the excess yield of the targeted increase , the author defines the " inner person " participating in the targeted increase as the major shareholder group and strategic investor , while the " external person " is the institutional investor , considering the possibility of the information advantage of " insider " and the complexity of the investment purpose .
Based on the review and arrangement of the literature and theory , the influence factors of the revenue from three angles are analyzed logically : the cost of the issuing phase ( information asymmetry degree , distribution proportion , increasing size ) , the reason for the oriented increase ( whether there is interest transfer , the use of raised funds , the participation of large shareholder groups ) , the market prosperity degree and the valuation preference ( the phase characteristics of market valuation , the timing of the issuing party ) . Four assumptions are put forward : ( 1 ) the more serious information asymmetry , the higher the discount rate , the discount rate is regarded as the information compensation to the investor . ( 2 ) The company with larger capital scale may exist . ( 3 ) If the company with large capital scale needs to pay more information compensation , the discount rate may be given higher .
Based on the logic analysis and the previous research experience , the author sets out the explanatory variables : the distribution stage ( the proportion of the new share , the proportion of the large shareholder participating in the targeted increase ) , the basic surface ( asset size , leverage ratio ) , the market depression degree and the valuation characteristics ( the proportion of the shareholder ' s participation in the targeted increase ) , the virtual variable ( the issue object , the industry classification , the degree of directional increase ) , and the like , establishes the multiple regression model , carries out the correlation and significance test , and further returns the analysis and the intra - sample inspection .
The statistical software used is Eviews6.0 based on the disclosure of historical oriented increase cases in the Wind database ' Equity Financing Statistics ' . As the subject of the study is an external person , the stock issued only for large shareholder groups ( large shareholder groups including large shareholders and related parties ) is excluded . As the strategic investors are likely to become the future shareholders of the Company , and the strategic investors are expected to participate in the orientation increase in the future .
According to the regression results , the influence of important variables is as follows :
( 1 ) The proportion of the original share capital of the new share issued by the director is positively correlated with the excess return on the directional increase , which is mainly reflected on the discount rate of return , which means that the larger the expansion of the company , the greater the management difficulty and the uncertainty of the project invested by the targeted increase in the existing mass of the company , the company needs to give higher trade discount as the risk compensation for the large - scale expansion .
( 2 ) The scale of the scale of the scale of the orientation increase and increase the size of the scale : There is a significant negative correlation with the excess yield . The reason is : First , the company with large scale of orientation increases the size of the large - sized state - owned enterprise with relatively large discourse power . The second point is that the company with larger scale is often the big stock market , and the market has low investment enthusiasm and underpower . At the third point , the large scale of the distribution means the uncertainty and the risk of the future , and the investors are indifferent to their future .
( 3 ) There is no significant correlation between the ratio of the shareholder ' s participation in the targeted increase and the ratio between the proportion of the large shareholder and the excess return .
( 4 ) Market rate of market : There is a significant negative correlation between market net rate and excess yield , which mainly embodies the rate of return in the second - stage market reaction . In the case of the upward trend of the market , the situation of participating in the targeted increase and increase of excess earnings is not a big probability support . If only the relevant circumstances of history are taken into account , it is a good choice to participate in the targeted increase in the more stable market environment .
( 5 ) Industry classification : Companies in the new industry usually have higher distribution and distribution discount rate , the reason is : First , new industry information asymmetry degree is high , second , credit platform is weak . It can be seen that industry category as virtual variable and excess return rate have no significant correlation , resulting from the large sample time span , the market experienced full investment style conversion .
( 6 ) With respect to the possible variables ( CAR and TR ) in the insider trading , the most prominent variables are selected for regression , CAR ( -15 , 1 ) has significant positive correlation with the discount rate of discount , but the average relative turnover TR ( -1 , 1 ) does not affect the long - term stock price trend . It can also be seen that the average relative turnover TR ( -1 , 1 ) has a significant positive correlation to the yield of discount and the benefit of the selling period , but the actual effect of the variable is limited , and the existence of the excess yield is not better explained .
Based on the analysis , it is concluded that the " external person " takes into account the decision of the first - level market to participate in the investment - oriented increase . First , in the case of relatively short - term history , the overall valuation level of the market participates in the targeted increase . However , it is also possible to select the companies in the emerging industry to take part in the relatively stable environment . However , the historical experience shows that the excess returns are mainly dependent on the discount level at the time of the issuance . However , in the company level , it is preferable to select small - scale companies , but the private placement is smaller , but the new share of the targeted increase issue accounts for a higher proportion of the total capital stock .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224
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