上市公司定向增发短期市场效应的实证研究

发布时间：2017-12-30 20:35

本文关键词：上市公司定向增发短期市场效应的实证研究　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】：2005年4月29日经国务院批准,中国证券监督委员会(简称"中国证监会")发布了《关于上市公司股权分置改革试点有关问题的通知》,股权分置改革试点工作开始启动。定向增发作为我国资本市场股权分置改革后推出的一种新型权益融资方式,现在已经超过首次公开发行(IP0),成为资本市场权益再融资最主要的来源之一。对于发行人而言,相对于公开增发和配股融资,定向增发具有多重优势,但近年来定向增发的快速发展也使得市场乱象丛生,引发了业界和学术界对于定向增发的广泛关注和探讨。本文围绕定向增发短期市场效应展开实证分析,运用事件研究法,选取沪深两市A股2016年1月1日至2016年12月31日期间公布定向增发公告的794家上市公司样本作为研究对象,通过数据筛选得到了 488次定向增发的有效样本数据,以定向增发预案公告日为事件日T+0,事件窗口期为从[T-5,T+15]共21个交易日,估计窗为[T-120,T-30]共90个连续交易日,通过CAPM市场模型估计上市公司的正常收益率,进而得出定向增发公告事件的超额收益率以及累计超额收益率,并对其进行假设检验。本文的主要的研究结论包括:市场对于定向增发公告不存在提前反应;定向增发公告短期内对股价影响显著,且市场效应为正,定向增发公告窗口期内的累计超额收益率为4.782345%;上市公司进行定向增发权益融资时具有折价发行的偏好,488个有效样本数据中共有421家上市公司采用了折价发行的方式进行定向增发,占比为所有上市公司的86.27%;发行价格是定向增发短期市场效应的影响因素,折价发行的公司股价累计超额收益均值高于不折价发行的公司股价累计超额收益率均值;大股东是否参与并不是定向增发短期市场效应的影响因素,非面向大股东增发的公司股价累计超额收益均值与面向大股东增发的公司股价累计超额收益率均值不存在显著差异;企业性质是定向增发短期市场效应的影响因素,国企背景的公司股价累计超额收益均值高于非国企背景的公司股价累计超额收益率均值。本文深入探究和分析了定向增发公告短期内的股价效应,进而研究了不同的分组因素对于上市公司股票价格的影响,以期为定向增发的发行人主体、投资参与者、以及政府监管层面提供借鉴,同时也为定向增发权益融资的理论研究、实践活动和政策实施提供相关参考和建议。
[Abstract]:In April 29th 2005, with the approval of the State Council, the China Securities Regulatory Commission (CSRC) issued a notice on the issues related to the pilot reform of the split share structure of listed companies. The pilot work of split share structure reform began. As a new type of equity financing mode after the split share structure reform in China's capital market, it has now exceeded the initial public offering (IP0). As one of the most important sources of capital market equity refinancing, for issuers, compared with public issuance and rights issue financing, targeted additional issuance has multiple advantages. However, the rapid development of private placement in recent years also makes the market chaos, which has caused the industry and academia to pay close attention to and discuss the issue of placement. This paper focuses on the short-term market effect of targeted placement to carry out an empirical analysis. By using the event research method, 794 samples of listed companies in Shanghai and Shenzhen A-shares from January 1st 2016 to December 31st 2016 were selected as the research objects. The effective sample data of 488 additional directional issuance were obtained through data screening. The date of announcement of the plan for directional additional issuance was the event day T _ 0, and the window period of the event was from the beginning of the event. [T-5T 15] has a total of 21 trading days, with an estimated window of. [T-120-T-30] has 90 consecutive trading days, and estimates the normal return rate of listed companies through CAPM market model. Then we get the excess return rate and cumulative excess return rate of the announcement event, and test their hypotheses. The main conclusions of this paper are as follows: the market does not have an early reaction to the announcement; The short-term effect of directional issuance announcement on stock price is significant, and the market effect is positive. The cumulative excess return rate in the window period of directional additional issuance announcement is 4.782345; There are 488 valid sample data of listed companies which have the preference of discount issue when financing the rights and interests of the listed companies. A total of 421 listed companies have adopted the method of discount issuance to carry out the directional additional issuance. The proportion is 86.27% of all listed companies; The issue price is the influence factor of the short-term market effect of the directional additional issue. The average accumulated excess return of the stock price of the discounted company is higher than the average of the cumulative excess return of the company's share price issued at the same price. Whether the majority shareholder is involved is not the influence factor of the short-term market effect. There is no significant difference between the average value of cumulative excess return of stock price of the company which is not oriented to the issuance of large shareholders and the average value of the cumulative excess return of the stock price of the company facing the issuance of large shareholders; The nature of the enterprise is the influence factor of the short-term market effect of the directional issuance. The average cumulative excess return of the stock price of the state-owned enterprise background is higher than that of the non-state-owned enterprise background. This paper deeply explores and analyzes the stock price effect in the short term of the directional placement announcement. Then it studies the influence of different grouping factors on the stock price of listed companies, in order to provide reference for the issuer, investment participants and government supervision. At the same time, it also provides relevant references and suggestions for the theoretical research, practical activities and policy implementation of equity financing.
【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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