我国A股市场定向增发股价效应研究

发布时间：2018-01-12 11:32

本文关键词：我国A股市场定向增发股价效应研究　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文选取了2011至2013年三年间，成功实施定向增发的449家A股上市公司，运用事件研究法，分别截取了董事会预案公告日、证监会核准公告日、增发公告日三个公告日前后21个交易日的数据，分别计算平均异常收益率，，平均累计异常收益率、累计异常收益率。将三个公告日每天的平均异常收益率进行T检验，同样将三个公告日按时间段序列[-1，1]，[-5，5]，[-10，10];[-10，0]，[-5，0]，[-10，-5];[0，10]，[0，5]，[5，10]的累计异常收益率进行T检验，然后选择其中显著性水平最明显的一个公告日前后股价的累计异常收益率做多元线性回归，回归的因素分别根据价格压力假说，财务杠杆假说，自由现金流假说，所有权结构效应假说，信息不对称假说，委托代理假说，而取了定向增发比率，资产负债率，每股自由现金流，前十大股东比率，认购对象，认购方式。本文得到的结论有:1)我国实施定向增发的上市公司短期股价效应显著为正;2)董事会预案公告日对股价效应显著为正，在公布前和公布后的第三四天内异常收益率均在0值以上;3）大股东参与认购定向增发和通过资产方式认购定向增发对短期股价正效应影响最显著。
[Abstract]:This paper selects 2011 to 2013 three years, the successful implementation of the private placement of 449 A shares of listed companies, using the event study method, respectively from the board of directors plan announcement, the Commission approved the announcement, additional data for the 21 trading days before the announcement of the three day after the announcement, the average abnormal returns were calculated. The cumulative average abnormal returns and cumulative abnormal return rate of three. The average abnormal return rate of the announcement day T test, will also be three announcement according to the time sequence of [-1,1], [-5,5], [-10,10]; [-5,0], [-10, -10,0], -5]; [0,10], [0,5], the cumulative abnormal return of T test [5,10] then, choose one of the most obvious announcement of the stock price after the cumulative abnormal return rate to do multiple linear regression, regression factors respectively according to the price pressure hypothesis, financial leverage hypothesis, the hypothesis of free cash flow, ownership structure The effect hypothesis, the information asymmetry hypothesis, the principal-agent hypothesis, takes the private placement rate, the asset liability ratio, the free cash flow per share, the former ten largest shareholder ratio, the subscribing object and the subscription way.
The results of this paper are: 1) the implementation of China's short-term stock price effect of private placement of listed companies is significantly positive; 2) board of directors plan announcement on the stock price effect is significantly positive, the three or four days before the announcement and after the announcement of the abnormal return rate on the value of 0 or more; 3) major shareholders participate subscription by way of private placement and asset subscription placement impact on the short-term stock price is the most significant effect.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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