非公开发行多指标对发行收益率的影响研究

发布时间：2018-01-24 14:28

本文关键词： 非公开发行收益率研究发行公司指标回归分析多指标分析　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：2016年,非公开发行市场成为我国金融领域第一大募资手段。随着我国资本市场的各项监管制度日趋规范完善,监管层对于非公开发行市场,尤其是并购重组类的非公开发行给予了特别的关注和频繁的监管指导。2017年年初,证监会公布关于非公开发行的监管决定。该决定表明监管层对定向增发监管力度逐渐加大。尤其是针对非公开发行市场中所涉及的利益输送。证监会在新细则中予以限制。基于这一背景,本文决定探究非公开发行项目公司的各指标对发行收益率的影响。本文采取10年来非公开发行数据作为研究材料。选取非公开发行预案公告日为参考日。指标包括每股收益率、现金流量净额、净资产收益率、市盈率、市净率、发行额占比等六个常用的企业估值指标作为连续变量,再选取是否有大股东购买、公司所在证监会行业、发行目的这三个发行指标作为分类变量研究,以发行股票去除市场波动影响的相对收益率作为衡量指标。首先根据2017年非公开发行新规为防止利益输送,严格限制发行基准价的确定日期。由此本文对大股东参与是否对基准价格的确定有影响进行了判断。验证结果,显示定增期间会有内幕交易出现,但大股东参与基准价确定没有显著关系。其次对计算各连续变量的相关系数,结果显示净资产收益率和PE值高度相关,去除PE值。对剩余五项连续变量进行因子分析,KOM和Bartlett的球形检验结果显示模型不适合继续缩减变量。分别用全模型法和向后剔除法完成回归建模,并进行t检验。结果显示每股收益率与发行收益率有负相关关系,发行额占比与发行收益率存在正相关关系。针对大股东购买、证监会行业、发行目的三个分类变量,本文根据业务知识考虑检验分类变量间的交互效应,结果显示证监会行业与发行目的之间,以及以上三个分类变量共同作用的交互效应明显。综合连续变量在回归模型中通过检验的两个变量,以及三个分类变量和分类变量的两个衍生变量构造回归模型。并进行检验结果显示每股收益率、发行额占比以及证监会行业和发行目的间的交互效应是对收益率有显著影响。在整体回归模型中排除掉大股东购买对收益率的变化,结果显示大股东购买对收益率并无显著影响。最后,并基于检验结果提出投资建议。
[Abstract]:In 2016, the non-public offering market has become China's financial sector the largest fund-raising means. With the supervision system of China's capital market becomes more perfect, regulators for the non IPO market, especially the merger and reorganization of the non-public offering to give early attention and special frequency propagation regulatory guidance.2017, the Commission announced on the non publicly issued a regulatory decision. This decision shows that the regulators of the private placement supervision gradually increased. Especially for the non-public issue involved in the market transfer of benefits. The Commission shall be restricted in the new rules. Based on this background, this paper decided to explore the index of non-public offering of the item company's impact on the issue of income rate. This paper take 10 years of non-public offering data as research material. Select the non-public offering plan announcement date. As the reference indicators include the earnings per share, cash flow The amount of the net rate of return on net assets, earnings, net issuance rate, accounted for six of the common enterprise valuation index as a continuous variable, then select whether there are large shareholders to buy the company, the Commission issued to the three industry, the issue of indicators as a categorical variable to study, the relative income effects of the removal of market volatility the issuance of stock rate as a measure index. According to the 2017 non-public offering of new regulations for prevent the transfer of benefits, strictly limit the date to determine the issue of this paper. The benchmark price for large shareholder participation is influential in the judgment to determine the benchmark price. The results show that there will be set by the insider trading, but the shareholders in the benchmark price determined no significant relationship. Secondly the correlation coefficient calculation of the continuous variables, results showed that the rate of return on net assets and the value of PE is highly correlated with the removal of PE value. The remaining five continuous variables The factor analysis results, the spherical test KOM and Bartlett display mode is not suitable to continue to reduce the variables. With full model method and backward elimination method to complete regression modeling, and t test. The results show a negative correlation between earnings per share and release rate of return, issuance and issuance of accounting returns are positively correlated. For large shareholders to buy, securities industry, issued three classification variables, according to the business knowledge considering testing interaction between categorical variables, the results indicate that the SFC industry and distribution, interaction effects and the above three classification variables contribute significantly. Continuous variables in the regression model with two variables test the three, and the classification and categorical variables the two variables regression model is constructed. And the test results show that the earnings per share, issuance accounted for and certificate The supervisor will interaction between industry and the issue to have significant effects on yields. To exclude large shareholders to buy on the yield changes in the overall regression model, results showed that the rate of return to shareholders to buy no significant effect. Finally, based on the test results and puts forward the investment proposal.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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