我国股市定向增发对短期股价影响的实证研究

发布时间：2018-01-24 08:50

本文关键词： 定向增发短期股价发行对象发行目的公司基本面　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：定向增发是指上市公司安排向特定投资者发行股份进行再融资的行为,自2006年在我国出现以来发展迅速,已经一跃成为A股市场最受追捧的股权再融资方式。我国新兴市场的特质使得国外针对定向增发的理论学说不能很好地适用于我国的国情,而国内相关的理论研究也有待拓展和深入。本文欲通过实证分析来探讨定向增发对短期股价表现的影响。首先,笔者将我国A股市场的定向增发按照发行对象和发行目的的不同进行分类,分别探讨不同分类标准下各类定向增发对短期股价的影响；其次,通过回归模型来探讨影响短期定向增发股票二级市场股价波动的公司基本面因素；最后,针对当前我国定向增发的制度、监管以及中小投资者利益保护等方面给出一定的建议。通过分析针对不同发行对象的定向增发在董事会预案公告前[t-30,t-1]日、公告当日t日和公告后[t+1,t+20]日股价相对市场指数超额收益率,得出结论一针对大股东及大股东关联方进行的定向增发的公司股票比针对外部机构投资者进行的定向增发的公司股票具有更高的短期超额收益水平。通过分析不同发行目的的定向增发在董事会预案公告前[t-30,t-1]日、公告当日t日和公告后[t+1.t+20]日股价相对市场指数超额收益率,得出结论二,项目融资类定向增发相比非项目融资类定向增发具有更高的短期超额收益水平。为了更好地解释公司基本面状况对定向增发股票短期走势的影响,本文引入回归模型,将发行规模、资产负债率、托宾q以及股权回报率等指标纳入考量,得出结论三,定向增发股票在短期内是否具有超额收益及超额收益的大小受发行规模、资产负债率、托宾q以及股权回报率等公司基本面指标的影响。按照不同发行对象分类来考察,增发规模、增发前公司总股本以及托宾q对以大股东为发行对象的定向增发股票累计超额收益率的影响要大于对机构投资者定向增发时对累计超额收益率的相应影响；而股权回报率对以大股东及其关联方为发行对象的定向增发累计超额收益率的影响程度则要小于对机构投资者增发时对累计超额收益率的相应影响；按照不同发行目的分类来考察,项目融资类定向增发股票短期超额收益受资产负债率和发行规模这两项指标的影响小于非项目融资类定向增发所受该指标的影响；而就股权回报率这一指标来看,项目融资类定向增发的上市公司短期股价受该指标的影响则超过非项目融资类定向增发所受该指标的影响。
[Abstract]:Directional additional issuance refers to the refinancing behavior of listed companies arranging to issue shares to specific investors, which has developed rapidly since 2006 in our country. It has become the most popular way of equity refinancing in A-share market. The characteristics of emerging markets in China make the foreign theory of directional placement can not be well suited to the situation of China. But the domestic related theoretical research also needs to be expanded and deepened. This paper intends to explore the impact of directional placement on short-term stock price performance through empirical analysis. First of all. The author classifies the Chinese A-share market according to the different issuing object and the purpose of issuing, and discusses the influence of various kinds of directional additional offering on the short-term stock price under different classification standards. Secondly, through the regression model to explore the factors that affect the volatility of the stock price in the secondary market. Finally, in view of the current system, supervision and the protection of the interests of small and medium-sized investors in China, some suggestions are given. Through the analysis of the different issuing object, the targeted additional issuance is before the announcement of the board of directors' plan. [T-30 / t-1] day, t day of the announcement and after the announcement. [Excess return on stock price relative to market index on t 1 / t 20] day. A conclusion is drawn that the company shares of a company that is directed to large shareholders and their related parties have a higher level of short-term excess return than that of external institutional investors. Through the analysis, we can see that there is a higher level of short term excess return than that of external institutional investors. Additional directionally issued with the same purpose before the announcement of the board of directors' preliminary plan. [T-30 / t-1] day, t day of the announcement and after the announcement. [T 1. T 20] the excess yield of the stock price relative to the market index is the second conclusion. In order to better explain the influence of the company's fundamental situation on the short-term trend of the private placement, the project financing type of directional additional offering has higher short-term excess return level than the non-project financing type type of private placement. In this paper, regression model is introduced to take the issuance scale, asset-liability ratio, Tobin Q and equity return into consideration, and draw the conclusion three. In the short term, the size of issuance and the ratio of assets and liabilities to the excess return and excess return of the shares are subject to the issuance scale or not. The impact of Tobin Q and return on equity on corporate fundamentals. According to the classification of different issuers, the size of the additional issue. The influence of the total share capital and Tobin Q on the cumulative excess return rate of the listed stock is greater than that on the accumulated excess return rate of the institutional investors. The impact of equity return on the cumulative excess return of directional issuance is less than that of institutional investors. Classification according to the purpose of the issue. The short term excess return of the project financing type of directional additional offering stock is influenced by the asset liability ratio and the issuance scale, which is less than that of the non-project financing type of directional additional issuance index. From the point of view of the return on equity, the short-term stock price of the listed company with the project financing type of directional additional offering is more affected by the index than that of the non-project financing type of the private placement.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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