牛熊背景下上市公司定增终止对股票价格的影响

发布时间：2018-01-02 03:08

本文关键词：牛熊背景下上市公司定增终止对股票价格的影响　出处：《北京外国语大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国上市公司存在较大的再融资需求,增发、配股和可转换债券等是目前我国上市公司进行再融资时采取的主要方式,其中定向增发由于门槛较低、流程相对简单,成为很多公司再融资时的首选方案。上市公司定增的原因有很多,比如流动资金短缺、项目实施资金配套等,在不同的市场行情下,定增对公司股价造成的影响是不一样的。近几年上市公司的定增价格与二级市场交易价格存在一定的差异,通常会有一定的折价,这样的折价会对原有股东的利益造成一定的损害,在不同阶段这些损害会有不同程度的放大,从而造成二级市场股价的大幅波动。近年来由于中国IPO燕塞湖的现状,再融资规模远远超过了首发规模,上市公司得以利用再融资政策及时为自身输血,使业务扩张相对迅速,资本市场俨然成为上市公司获取资金最为便利的渠道,由此造成的上市公司与非上市公司差距越来越大。正是由于上市公司有如此众多的优势,排队上市的企业不见减少,而壳价也水涨船高,成为中国资本市场的一大现象。为了规范上市公司再融资行为,2017年2月17日证监会发布再融资新政,加之已经加速的IPO审核,资本市场的融资格局有望迎来新的改变。随着资本市场的成熟以及监管的变严,上市公司定增受阻的压力越来越大,再融资新政发布的一个月时间内就已经有半数的融资申请开始主动撤回,其实随着上市公司数量的增多,定增规模会越来越大,其中定增半途终止的案例将会越来越多。此前专家学者们关于定增的研究,大多数是针对定增成功实施的公司而言的,这其中很大一部分原因是由于定增在中国出现的时间比较晚,且定增终止的案例在以前是比较少的,由于样本数量的缺陷,很难进行大规模定量研究。本文认为目前中国的资本市场已经相对成熟,且近年来定增融资规模的迅速膨胀,定增终止的公司数量已经足够进行针对性的研究,因此本文将对象锁定为定增终止的那部分公司,通过事件研究和计量经济学的方法来研究定增终止对二级市场的影响,其研究结果既可以弥补国内这些方面的不足,同时也可以为社会各界提供定增终止对股价影响的相关素材。首先本文进行了事件研究,由于最近五年中国股市经历了震荡市、熊市、牛市、崩盘等较为复杂的行情局面,单一的来研究定增终止对市场的影响显得不妥,故本文在一开始对行情进行了分类,将最近五年的行情分为熊市和牛市,并截取相应的时间区间进行研究,以期望进一步明晰定增终止在不同市场行情下对股市的影响。将牛熊市区间分清楚之后,本文分别对其进行事件研究,以定增终止公告发布日为事件发生日,前后各顺延15个交易日共同组成事件窗口,通过观察事件窗口的股票超额收益率是否显著非零从而决定事件发生的影响力。在本文进行了事件研究之后,为了更加深入地了解股票超额收益的影响因素,本文继续以市场行情、板块类别、定增终止原因三个变量为解释变量进行计量研究,最终得出了以下结论:(1)定增终止存在强烈的宣告日效应:无论牛市还是熊市,在定增终止宣告日那天,股票超额收益率显著为负;(2)熊市期间定增终止不会对股价造成太大影响:熊市期间股价低位徘徊,定增发布股价上涨动力有限,定增终止股价下跌幅度有限,整体而言,定增终止不会对股价造成太大影响;(3)牛市期间定增终止会对股价造成正向影响:牛市期间,内外部新闻面偏暖,投资者风险偏好上升,导致利好消息长短皆利好,利空消息短期利空长期利好,定增终止引起资金关注,股价上涨;(4)中小创板块股票向上空间比主板大:中小创企业成长性较高,预期高导致估值高,资金青睐推动股价上涨,资金离去导致股价下跌,盘面小带来股价波动性高;(5)内部决策的定增终止对股价造成负面影响:最了解企业的人永远是内部人,内部决策的定增终止带给投资者的信息整体偏负;(6)牛市期间股票波动性显著放大:牛市的资金效应、投资者活跃度、羊群效应等共同放大了股票的波动幅度。
[Abstract]:The listed companies of our country are large refinancing needs, issuance, allotment of shares and convertible bonds are currently listed companies take the major means of refinancing, the private placement due to the lower threshold, the process is relatively simple, becomes the first choice for many companies refinancing. There are many reasons given by the listed company for example, the liquidity shortage, the implementation of the project funds supporting, in different market conditions, will increase the impact on the company's stock price is not the same. There are some differences between the price set by the listed companies in the past few years and two secondary market transaction price, will usually have some discount, this discount will be on the original shareholders cause some damage, in the different stages of the damage will have varying degrees of amplification, resulting in sharp fluctuations in two stock market. In recent years due to the status of IPO China Yansai lake, refinancing The scale of capital is far more than the size of the first, the listed companies to use the refinancing policy in a timely manner for their own blood transfusion, the relatively rapid business expansion, the capital market has become a listed company to obtain funds for the most convenient channel, the listed company and the non-listed company gap caused by more and more. It is because of the listed company has so many advantages, queuing listed companies does not decrease, but housing prices have gone up, become a major phenomenon in China capital market. In order to standardize the financing behavior of Listed Companies in February 17, 2017, the Commission issued refinancing deal, and audit IPO has accelerated the capital market financing pattern is expected to usher in a new change. With the maturity of capital market and regulation changed, pressure is given by the listed company is more big, the refinancing deal released within a month of time has been financing for half In fact, with the increase began to withdraw, the number of listed companies, will increase the scale will become increasingly large, the case will be more and more determined by the stop. Research on the previously set by the experts and scholars, mostly for a given increase in the successful implementation of the company, which is a large part of the reason is due to the scheduled increase in Chinese appear late, and set by the termination of the case is relatively rare in the past, due to defects in the number of samples, it is difficult to study large-scale quantitative. This paper argues that the current China capital market has been relatively mature, and in recent years the rapid expansion of the constant increase in the scale of financing, the amount set by the termination of the company has enough for the study, this paper will target for that part of the company will increase the termination, through case studies and econometric methods to study the influence on the two level set by the termination of the market, The research results can not only make up for the deficiency of domestic, but also can provide relevant material set by the termination of the price impact to the community. The first event study, due to the recent stock market has experienced five years China concussion City, bear market, bull market, market crash situation more complex, a single set of to increase the impact on the market is not terminated, so this paper at the beginning of the market are classified, the last five years the market is bearish and bullish, research and interception of the corresponding time interval, in the hope of clarifying the termination set by the impact on the stock market in different market conditions. The bull and bear markets clear, this paper makes research on the event, as set by the termination announcement date for the event, and the extended 15 days together constitute the event window, through the observation window. Excess return rate of stock is significantly non zero to determine the event's influence. After the event was studied in this paper, in order to better understand the influence factors of excess stock returns, this paper continues to market the plate category, set by the reason for the termination of the three variables as explanatory variables to measure research, finally draws the following conclusions: (1) set by the end there is a strong announcement effect: whether bull or bear market, the increase in fixed termination announcement day stock excess return rate is significantly negative; (2) the bear period set by the termination will not cause too much impact on the stock price: During the bear market low, set by the release of price rising power Co., set by the termination of the share price decline is limited, overall, set by the termination will not cause too much impact on the stock price; (3) set by the termination of bull market caused the stock price positive effects: during the bull market, inside and outside News warmer, rising investor risk appetite, leading to good news is bad news is positive, the short-term bearish long-term positive, set by the termination caused by financial concerns, the stock price will rise; (4) a small plate stock up space than the motherboard: small record business growth is high, is expected to lead to high valuations, promote funds favor the stock price rise, leaving fund share prices drop, small disk bring stock price volatility is high; (5) the internal decision-making set by the termination of a negative impact on the stock price: the understanding of the people is always internal, internal decision-making set by the end of the message to investors and the overall negative; (6) during the bull market stock volatility significant amplification effect of bull market funds: investors, activity, herding and other common enlarge the stock volatility.

【学位授予单位】：北京外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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