机构、个人投资者情绪构建与增发事件研究

发布时间：2018-03-04 00:38

本文选题：投资者情绪　切入点：增发　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：投资者情绪相关的实证研究成为近几十年来理论界和实务界的关注热点,是行为金融学的重要研究方向。同时,随着中国金融行业的发展,定向增发和公开增发已经成为上市公司最重要的再融资方式。一般而言,公开增发具有负宣告效应,定向增发具有正宣告效应,且两种再融资方式都会给予认购者一定比例的增发折扣。学者们已经实证证明了许多因素可以影响增发事件后的累计超额收益和增发折扣,但是较少或者只是简单涉及投资者情绪对其的影响。本文尝试从本文尝试从投资者情绪入手,以2006-2012年在沪深两市实施定向增发和公开增发再融资的A股上市公司为研究的样本,采用事件研究法研究上市公司增发后累计超额收益和增发折扣,将投资者情绪纳入分析,查看情绪对累计超额收益和增发折扣的影响。本文的创新之处在于区分了机构投资者情绪和个人投资者情绪,查看机构和个人对增发的影响力差异。最终,本文取得了以下结论：第一,公开增发公告具有负面的宣告效应,定向增发公告具有正面的宣告效应；第二,个人投资者情绪显著影响公开增发超额收益,而机构投资者情绪不能显著影响；第三,个人投资者情绪对定向增发超额收益没有显著影响力,机构投资情绪显著影响定向增发超额收益,但方向却相反；第四,定向增发折扣率显著高于公开增发的折扣率,机构和个人投资者情绪都能显著影响增发事件中的折扣率。而个人投资者情绪的影响力略大于机构投资者情绪。第五,个人投资者情绪是定向增发折扣率的格兰杰原因。这为我们之后通过构建情绪指标体系来进行预测提供了可能性。
[Abstract]:The empirical research on investor sentiment has become a hot topic in the field of theory and practice in recent decades, and it is an important research direction of behavioral finance. At the same time, with the development of financial industry in China, In general, additional public offering has a negative effect on refinancing, and private placement has a positive effect on refinancing. And both refinancing methods will give a certain proportion of the additional offering discount. Scholars have proved that many factors can affect the cumulative excess income and the additional discount after the event. However, it is less or simply involved in the influence of investor sentiment. This paper attempts to start with investor sentiment, taking the A-share listed companies that implemented private placement and public refinancing in Shanghai and Shenzhen Stock Exchange from 2006 to 2012 as a sample. Using the event study method to study the accumulative excess return and the additional offering discount of the listed company after the additional offering, and to bring investor sentiment into the analysis. The innovation of this paper is to distinguish between institutional investor sentiment and individual investor sentiment, and to see the influence difference between institution and individual. Finally, this paper has obtained the following conclusions: first, the public issuance announcement has the negative announcement effect, the directional issuance announcement has the positive announcement effect; second, the individual investor sentiment has the significant influence to the public additional issuance excess income, Third, the individual investor sentiment has no significant influence on the excess return. The institutional investment sentiment has a significant impact on the placement excess return, but in the opposite direction; 4th, The discount rate of directional placement is significantly higher than that of public placement. Both institutional and individual investor sentiment can significantly affect the discount rate in the event of additional issuance. The influence of individual investor sentiment is slightly greater than that of institutional investor sentiment. 5th, The individual investor sentiment is the Granger reason for the discount rate of the directional additional offering, which makes it possible for us to build a system of emotional indicators to predict it later.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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