增强策略下的定增产品设计研究

发布时间：2018-01-06 21:37

本文关键词：增强策略下的定增产品设计研究　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：定向增发已经成为我国上市公司最重要的再融资工具,围绕参与定增的产品也收到诸多投资者追捧。通过定向增发概念梳理和理论研究,本文发现相比于普通二级市场股票,投资定增股票的收益机制来自三部分:低于市价认购的折价率,市场波动收益β,以及上市公司实施定增后产生的成长性收益α。传统定增产品设计以抢购定增项目为核心,收益来源单一,依赖折价率。但在定增产品井喷的背景下,申购报价愈来愈激烈,折价率不断收缩。加之大量产品在市场高点参与认购,一年以上的限售期使得流动性问题在市场剧烈波动面前充分暴露,频频出现定增股票跌破增发价,产品净值亏损。本产品的设计思路是在认可定增股票投资价值的基础上寻找增强策略,包括优化项目筛选能力增强α收益,研究定增破发套利策略管理流动性,增加择时和资产配置策略享受市场波动收益β,并通过历史数据分析验证增强策略的有效性,提供可操作的具体方案。最终得到的结论如下:首先,通过对2008-2015年间竞价类定增项目的特质和认购产生的累计超额收益进行回归分析。本文发现,为优化项目的选择,定增产品应坚持足够的折价率,选择定增目的为重大事项、并避免增发股份占原有股份比例过高的定增项目。同时,绑定大股东及关联方的项目不能带来显著的超额收益。其次,对于限售期内跌破增发价的定增股票,在设置不同的跌破增发价幅度作为买入点和不同的回涨幅度作为卖出点的组合后,本文对2008-2015年样本股票的历史股价回测。结果发现,综合考虑触发交易次数、日均超额收益和胜率,折价买入点适当、溢价卖出点低是最佳策略组合。最后,统计认购竞价类定增项目时的沪深300指数和认购产生的累计绝对收益分布。本文发现,当指数在历史分位数低位时,认购定增项目收益最强,此时应高配定增资产;当指数在历史分位数高位时,认购定增收益差,应高配固收类资产或搭配流动性更好的破发套利组合。
[Abstract]:The private placement of Listed Companies in China has become the most important financing tools around, given the increasing participation of products also received many investors through private placement. Combing the concept and theoretical research, this paper found that compared to ordinary two stock market, fixed income investment mechanism from three parts: the increase in the stock subscription below market discount rate the market volatility of the returns and beta, the implementation of listed companies will increase the revenue growth. A traditional fixed by the design of the product to panic buying set by the project as the core, a single source of income, depends on the discount rate. But the increase in fixed spray the product well under the background of the purchase price is more and more fierce, the discount rate is coupled with a large number of contraction. Products in the market high of more than a year to participate in the subscription, the restricted period makes the liquidity problem fully exposed to the market volatility before, frequently given stock below the issuance price, the product of the net loss. The idea of this design is to find the product enhancement strategy based on the recognition of a given stock investment value, including the optimization of project selection and enhance the ability of alpha income, fixed by the break of arbitrage strategy and liquidity management, increase the timing and asset allocation strategy to enjoy the market volatility return beta, and verify the effectiveness of the enhanced strategy through analysis of historical data provide specific operational programs. The final conclusion is as follows: firstly, through the project will increase during the period of 2008-2015 bidding characteristics and for the cumulative abnormal return by regression analysis. The paper found that, in order to optimize the selection of projects, will increase the product should insist on enough discount rate, chosen to be increased to major events, and avoid the issuance of additional projects shares accounted for high proportion of the old shares. At the same time, the binding of major shareholders and related parties of the project can not bring significant excess returns. Secondly, to limit the sale Within the period set by the stock fell below the issuance price, in different settings below the issuance price amplitude as the buy point and different gains as a selling point of the combination, the historical stock prices on 2008-2015 sample stock back to test. The results showed that considering the trigger number of transactions, average excess return and winning, buy discount the appropriate premium is the best selling point, low combination of strategies. Finally, the statistical subscription bidding set by the project of the Shanghai Shenzhen 300 index and the total subscription absolute return distribution. The paper found that, when the index in the history of quantile is low, the subscription set by the project at this time should be the strongest, high will increase when the index in assets; the history of quantile high, set by the subscription income difference should be high, fixed income asset class or collocation liquidity better break the arbitrage portfolio.

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

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