上市公司定向增发市场效应的实证研究

发布时间：2018-01-27 16:23

本文关键词： 定向增发内幕交易公告效应事件研究法　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：从股权分置改革开始,我国证券市场中再融资的方式不断的发展丰富。定向增发作为一项特殊的融资政策,在中国的发展壮大,具有其特殊的历史原因。这是由于中国资本市场担负着国有企业股份制改制和融资的历史使命,早期上市的国有控股公司都普遍存在流通股和非流通股股权分置的情形。股权分置导致股东利益的冲突和公司治理结构的严重扭曲,为了解决这一历史遗留问题,不得不启动股权分置改革。股权分置改革中,为了平衡各方利益,不少上市公司采取了定向增发这一特殊的融资政策。定向增发主要的参与对象有公司大股东、董事会、管理层以及机构投资者。从定向增发策略的提出到定向增发的完成,上市公司的大股东、董事会、管理层等公司内部人都发挥了至关重要的作用。首先,公司内部人可以通过定向增发为上市公司投资新项目筹措所需要的资金,使上市公司具备良好的发展前景,从而实现股东利益的最大化；其次,在证券市场上内部人也存在利己心理,为了来实现自身利益的最大化,他们可能会不惜操作定向增发的基本要素(如基准日、发行对象等)而不顾公司的整体利益。由此引发的定向增发内幕交易问题,是当前中国资本市场上存在的最主要问题。我国的证券市场发展比较晚,目前仍未达到半强式有效,根据有效市场理论,证券市场上依然可以利用分析公开消息获得超额收益率。在上市公司公开定向增发预案以后,二级市场的投资者会迅速根据预案相关信息做出买卖股票的反应,从而导致股票价格变动,产生定向增发的公告效应。国内外已有不少学者对定向增发引起的股票异常收益率即市场效应进行过研究,但是很少学者将市场效应分为内幕交易和公告效应两部分,分析市场效应影响因素。在研究我国证券市场上定向增发市场效应大小、正负,以及影响市场效应的因素有哪些时,国内学者采用不同的方法或者是不同的样本数据得出的结论也不尽相同。最重要的是最初实施的定向增发不是为了股权分置改革,就是与股权分置改革同时进行,因此很难区分中长期股票价格的变化具体是由于哪一个原因造成的。本文以资本市场有效性理论和国内外流行的市场效应假说为理论基础,试图通过理论和实证分析相结合的方法较全面地分析我国上市公司定向增发过程中的内幕交易行为和公告效应,以及定向增发特征和公司特征对二者的影响。本文选择2010年至2011年实施定向增发的样本,从定向增发的短期市场效应与中期市场反应的角度出发,针对以上的研究思路,从以下三个层次进行实证分析：第一个层次：验证我国证券市场上定向增发是否存在内幕交易行为和公告效应。本文以事件研究法为主要研究方法,选取定向增发预案的公告日为事件日。首先,以定向增发预案公告前后各十天的累积超额收益率分别作为内幕交易行为和公告效应的显示变量,对其进行显著性检验。结果发现在定向增发前后均存在显著为正的累积超额收益率,即上市公司实施定向增发的过程中存在着内幕交易行为和公告效应。其次,利用定向增发前后各十天的日平均超额收益率的显著性检验,确定我国证券市场上定向增发的内幕交易行为和公告效应的存在区间,并将其作为后续分析的因变量。第二个层次：分析定向增发特征和上市公司特征是否会对内幕交易行为和公告效应产生影响。通过实证分析,发现定向增发的发行对象和发行目的不同,都会对内幕交易效应和公告效应产生影响。利用回归模型对其余的特征变量与累积超额收益率的关系进行分析,结果发现定向增发特征中发行规模的减少会使内幕交易行为增强,而使公告效应削弱。在公司特征中,影响内幕交易行为和公告效应的变量是不同的。第三个层次：分析定向增发预案公告以后的中期市场表现。定向增发的内幕交易行为和公告效应均会使股票的价格出现较高程度的上涨,是否在公告效应之后证券市场会出现适度修正?本文以定向增发预案公告日为起点,研究股票价格100天内的市场变化趋势。实证结果表明,只有在定向增发公告效应期间累积超额收益率显著不为零,并且定向增发预案公告后一百天内并未出现累积超额收益率显著下降的趋势,可以确定在中期并不存在对内幕交易行为和股票价格的修正反应,从侧面可以说明我国证券市场目前还不存在利用定向增发谋取短期收益的市场投机者。综上所述,本文不仅确定了我国证券市场上定向增发存在内幕交易行为和公告效应,并确定了二者的存在区间,通过实证对比分析了公司特征和增发特征对内幕交易和公告效应的影响,并结合相关理论对实证结果进行了解释。最后针对如何能够使上市公司通过定向增发实现资源优化配置以及消除定向增发过程中的内幕交易行为,本文提出三点建议：加强资本市场监管,提高资本市场有效性；完善上市公司定向增发的定价机制：规范投资者行为,理性对待定向增发。
[Abstract]:In order to balance the interests of the parties , many listed companies have adopted the special financing policy in order to balance the interests of the parties in order to balance the interests of the parties . In order to maximize the interests of the shareholders , the internal people of the company can realize the maximization of the interests of the shareholders . Secondly , in order to maximize the interests of the listed companies , they may not hesitate to operate the basic elements ( such as the benchmark date , issue object , etc . ) of the company to realize the maximization of their own interests . Therefore , the problem of the insider trading caused by the orientation increase is the main problem in China ' s capital market . China ' s securities market is relatively late , still not yet reached semi - strong , according to the effective market theory , the stock market can still use the analysis public information to obtain the excess return . After the listed company has disclosed the targeted increase plan , the investors of the second - level market will quickly respond to the information about the plan according to the information of the contingency plan , thus leading to the change of stock price , and the announcement effect of directional increase . At home and abroad , many scholars have studied the market effect of the abnormal return of stock caused by directional increase , but few scholars have divided the market effect into two parts : insider trading and announcement effect , and analyze the influencing factors of market effect . Based on the theory of capital market effectiveness and the market effect hypothesis of domestic and foreign popular market effects , this paper attempts to analyze the insider trading behavior and announcement effect in China ' s listed companies by combining theory with empirical analysis . The first level is to verify the existence of insider trading behavior and announcement effect in China ' s securities market . The second level : the analysis of whether the characteristics of the orientation increase and the characteristics of the listed companies can influence the behavior of the insider trading and the announcement effect . Through the empirical analysis , it is found that the distribution object and the issue purpose of the targeted increase will affect the insider trading effect and the announcement effect . The regression model is used to analyze the relation between the remaining characteristic variables and the cumulative excess return rate . The third level is to analyze the mid - term market performance after the announcement of the announcement effect . The insider trading behavior and announcement effect of the targeted increase will bring the price of the stock to a higher degree , and whether the market change trend within 100 days of the stock price will appear after the announcement effect . The empirical results show that the market speculators who have accumulated over 100 days after the announcement effect do not have a significant decrease in the accumulated excess yield . In conclusion , this paper not only determines the insider trading behavior and the announcement effect of the orientation increase in China ' s securities market , and determines the existence interval of the two , and explains the empirical results by means of empirical comparison . Finally , aiming at how to enable the listed company to realize the optimal allocation of resources and eliminate the insider trading behavior in the course of directional growth , this paper puts forward three suggestions : strengthening the supervision of capital market and improving the efficiency of capital market ; and perfecting the pricing mechanism of the oriented increase of listed companies .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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