定向增发的灾后解禁异象实证分析

发布时间：2018-02-07 09:28

本文关键词： 定增解禁公告 △β 异常波动　出处：《财会通讯》2017年14期 　论文类型：期刊论文

【摘要】：本文选取以机构为定向增发对象的解禁时点位于2015年股灾后9-11月期间的所有A股为研究对象,以解禁时点为对称点的6个月时间区间的股票交易数据为样本,统计分析解禁股票的市场波动异象,以个股收益率为因变量和对应指数收益率为自变量的回归方程的斜率β的变化Δβ为度量的股票市场波动的特征值,统计表明:以一年期的的回归方程的β值为基准,回归方程中的斜率在上述6个月区间朝着对收益率不利方向变化,即个股波动在该期间显著朝着不利方向进行,具备负的超额收益率;但在股价跌破增发价格的时间区间,回归方程中的斜率在上述6个月区间朝着收益率有利方向变化,即个股波动转变为朝着有利方向进行,具备正的超额收益率。对同样时间区间的公司公告的统计分析发现,以对利好公告的评级级别为度量,公告的统计分析表明:上市公司在具备上述负的超额收益率的6个月期间有公告短期利好的显著倾向。本文认为:在上述显著为负的超额收益率的6个月时间区间中包含一段显著为正的超额收益率是一种异象,而这段显著为负超额收益率的6个月时间存在显著存在的利好短期股价的公告为这一异象提供了一种可能的解释。
[Abstract]:In this paper, we select all A shares which are in the period of September-November after the 2015 stock disaster as the research object, and take the stock trading data of the 6-month time interval of the lifting point as the sample. The fluctuation anomaly of stock market is analyzed statistically. The variation of slope 尾 of regression equation with individual stock return rate as dependent variable and corresponding exponential return rate as independent variable is taken as the characteristic value of stock market volatility. Statistics show that with the 尾 value of the regression equation of one year as the benchmark, the slope of the regression equation changes in the unfavorable direction of the return rate in the above 6-month interval, that is, the volatility of individual stocks moves significantly in the disadvantageous direction during that period. A negative excess yield; but in the time range in which the share price falls below the IPO price, the slope in the regression equation changes in the above 6-month range to the positive direction of the yield, that is, the volatility of the individual stock changes to the positive direction. A statistical analysis of corporate announcements in the same time range found that the rating level of a good announcement was used as a measure, The statistical analysis of the announcement shows that the listed companies have a significant tendency to announce short-term positive results during the period of 6 months with the above negative excess returns. This paper holds that: in the 6 months time zone of the above notable negative excess returns, the listed companies have a significant tendency to announce short-term positive returns. It is a vision to have a significantly positive excess return in between. The announcement of a positive short-term share price during a six-month period of significantly negative excess yields provides a possible explanation for this vision.
【作者单位】：湖北工业大学经济与管理学院;
【分类号】：F832.51

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