我国A股上市公司定向增发长期股价效应的实证研究

发布时间：2018-03-18 18:49

本文选题：定向增发　切入点：长期市场表现　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：由于我国是在2006年5月开启定向增发再融资，我国学者的研究对于增发后的短期表现的研究相对较多。并且由于样本期间的限制，对于长期股价表现以及经营绩效的研究只用一年作为样本研究期间研究股价的变化。鉴于此，本文以发行公告日为基准，通过选取长达6年的样本，研究定向增发后2年长期股价表现；另外，认购定向增发的投资者的身分不同（大股东是否参与）、大股东采用是现金还是资产认购定向增发方式；上市公司定向增发的用意不同，例如并购、项目融资等细分角度对上市公司长期股价表现进行了研究，并专题研究了并购类定向增发的股价表现。本文以2006-2011年A股上市公司为研究对象，对在中国深圳和上海两地市场实施定向增发融资的股价超额回报率进行了研究，采用BHAR办法计算，比较系统地检验了上市公司在实行定向增发后，其股价的3、6、12及24个月的长期市场表现。我们的统计结果表明:上市公司在实施定向增发后，3、6、12、24个月内的股价回报率显著为正，但是超额回报率不显著为正。表明在中国资本市场上，我们的定向增发的长期回报与美国市场上的长期表现不佳的结论所不同。同时在中国市场上，，投资者对上市公司定向增发宣告信息反应不足。此外，我们发现，与非大股东参与的案例样本相比，当只有大股东参与认购定向增发股份的时候，公司股价的长期表现无明显差异，但是结果并不显著。而当大股东以资产认购定向增发股份后，公司长期股价表现在未来3、6、12及24个月的期间内，均显著优于以现金认购的样本。以并购重组类为题材的股票能够跑赢相应行业，而项目融资类的表现相对弱于行业表现，符合投资者过度乐观假说。并购重组类的显著为正的购买持有收益主要来自于系统性收益，只有极个别的细分情况能够跑赢行业。相对而言，股东注入资产类的长期表现相对优异，说明大股东并未通过定向增发来输送利益，侵占中小投资者的利益。而产业并购和借壳上市类别的不能够显著跑赢行业。对于投资者而言，需要加强对标的公司的筛选，把握项目投资风险，做好对未来盈利的预测，精选个股来进行投资，方能获得较好的超额收益。
[Abstract]:Since our country started to refinance in May 2006, there are many researches on the short-term performance after the issuance in our country, and because of the limitation of sample period, The study of long-term stock price performance and operating performance only takes one year as a sample to study the change of stock price. In view of this, based on the issue announcement date, this paper selects a sample for up to 6 years. In addition, the identity of the investors who subscribe for the IPO is different (whether the majority shareholders participate in the IPO, the majority shareholders adopt the method of cash or asset subscription for the directional issuance; The intention of listed companies is different, such as M & A, project financing and so on. The long-term performance of listed companies is studied, and the performance of M & A is studied. In this paper, A shares listed companies from 2006 to 2011 as the research object, in Shenzhen and Shanghai markets in China, the implementation of additional share prices in both markets, the excess return rate of stock prices, using the BHAR method to calculate, This paper systematically examines the long-term market performance of the stock price of the listed company in the past 12 months and 24 months after the implementation of the IPO. Our statistical results show that the return on the stock price of the listed company is significantly positive within 24 months after the implementation of the IPO. But the excess return is not significantly positive. It means that the long-term return of our placement in China is different from the conclusion that the long-term performance of the US market is not good. At the same time, in the Chinese market, Investors to the listed companies targeted issuance announcement information response is insufficient. In addition, we find that there is no significant difference in the long-term performance of the share price of the company when only the majority shareholder participates in the subscription of the additional shares, compared with the sample of the case in which the non-major shareholders participate. But the results were not significant, and when major shareholders subscribed for additional shares on an asset basis, the long-term performance of the company's stock price over the next 36 months and 24 months was significantly better than the cash subscription sample. The stocks with M & A as the subject matter can outperform the corresponding industries, while the performance of the project financing category is relatively weaker than the performance of the industry. According to the hypothesis of excessive optimism of investors, the significantly positive purchasing and holding income of M & A category mainly comes from systemic income, and only a few subdivisions can outperform the industry. The relatively good long-term performance of the shareholders in the asset class shows that the majority shareholders have not been able to convey their benefits through the issuance of additional shares. Encroaching on the interests of small and medium-sized investors. But the category of industrial mergers and acquisitions and backdoor listings cannot outperform the industry. For investors, it is necessary to strengthen the screening of the target companies, grasp the investment risks of the projects, and make a good prediction of future profits. Select individual stocks to invest in order to obtain better excess returns.
【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;F275

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