上市公司定向增发折价：流通约束补偿还是利益输送？

发布时间：2018-09-09 10:09

【摘要】：随着我国A股再融资市场规模逐步扩大，定向增发作为一种主要的再融资手段，在发行过程中出现的折价现象值得关注。国内外学者已经提出了一些有影响力的假说，例如监控成本假说、信息不对称假说、管理堑壕假说等。A股市场定向增发的股份一般具有1到3年的锁定期，而锁定期所带来的流动性约束成本对定向增发折价影响的相关研究明显不足。本文旨在通过研究流动性约束对定向增发折价的影响，在此基础上进一步研究大股东利益输送和定向增发折扣间的关系。理论分析中，本文参考Longstaff et al.(2003)[1]的非流动资产定价理论，在此基础上建立定向增发的流动性约束理论模型，理论上说明了定向增发中因为锁定期而带来的流动性约束成本对新增股份发行折价的影响。参考黄建欢与尹筑嘉(2008)[2]通过构建在资产注入情形下定向增发中控股股东和中小股东之间的利益均衡模型，从理论上说明定向增发中控股股东有通过注入资产方式实现利益输送的动机。理论分析部分通过运用Matlab计算出理论模型下的流动性约束非常显著，锁定期为1年的资产，流动性约束成本引起的折价约占定向增发上市公司市场价格10%-30%。考虑到国内股权结构集中的现状，在实证研究中，将投资者分为机构投资者和控股股东及其关联方两类，这两类投资者中前者有着市场绩效的强约束，，而后者重视上市公司未来的现金流(La Porta etal.(1999)[35])，因此在定向增发中面临着不同的流动性约束。通过实证研究定向增发折扣和流动性约束成本的变量之间关系，得出的结论是机构投资者相比控股股东面临更大的流动性约束成本。进一步的实证研究认为控股股东的高折扣认购新发行股份在发行日稀释了中小股东的权益，定向增发后上市公司业绩表现并不足以补偿中小股东，因此大股东通过定向增发实现了利益输送。定向增发的高折扣源自控股股东对增发发行的定价权，以及对拟投资项目或拟注入资产拥有的信息不对称优势。
[Abstract]:With the expansion of the A share refinancing market in China, as a major means of refinancing, the phenomenon of discount in the issuing process is worthy of attention. Some influential hypotheses have been put forward by domestic and foreign scholars, such as monitoring cost hypothesis, information asymmetry hypothesis, management trench hypothesis and so on. However, the effect of liquidity constraint cost brought by locking time on the discount of directional placement is obviously insufficient. The purpose of this paper is to study the effect of liquidity constraint on the discount of directional additional offering, and on this basis, to further study the relationship between the interest transmission of large shareholders and the discount of directional additional offering. In the theoretical analysis, this paper, referring to the pricing theory of non-current assets proposed by Longstaff et al. (2003 [1], establishes the liquidity constraint theory model of directional placement. This paper theoretically explains the effect of liquidity constraint cost on the discount of new stock issuance. Referring to Huang Jianhuan and Yin Zuojia (2008) [2], by constructing the model of interest balance between controlling shareholders and minority shareholders in the case of asset injection, It is theoretically explained that the controlling shareholder has the motive to realize the transmission of benefits by injecting assets. In the theoretical analysis part, the liquidity constraints under the theoretical model are calculated by using Matlab. The assets with a lock period of one year, the discount caused by the liquidity constraint cost is about 10 to 30 percent of the market price of the listed companies. Considering the present situation of concentrated ownership structure in China, investors are divided into institutional investors, controlling shareholders and their related parties in the empirical research. The former of the two types of investors have strong constraints on market performance. The latter pays attention to the future cash flow of listed companies (La Porta etal. (1999) [35], so they face different liquidity constraints in the IPO. Based on the empirical study of the relationship between the variables of directional additional offering discount and liquidity constraint cost, the conclusion is that institutional investors face greater liquidity constraint cost than controlling shareholders. Further empirical research shows that the high discount of controlling shareholders in the new issue diluted the rights and interests of minority shareholders on the issue day, and the performance of the listed companies after the targeted placement is not enough to compensate the minority shareholders. As a result, the major shareholders through the directional issuance of the realization of the benefits of transmission. The high discount of directional placement originates from the pricing power of the controlling shareholder to the additional issue and the information asymmetry advantage to the project to be invested or the assets to be injected.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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