本文關(guān)鍵詞：不同事件日及不同市場狀態(tài)下定向增發(fā)公告效應的研究　出處：《西南財經(jīng)大學》2012年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 定向增發(fā) 預案公告 增發(fā)公告 公告效應 事件研究法 超額收益率

【摘要】：我國股權(quán)分置改革的完成以及《上市公司證券發(fā)行管理辦法》、《上市公司非公開發(fā)行股票實施細則》的相繼出臺,為我國證券市場引入定向增發(fā)這一股權(quán)再融資方式創(chuàng)造了一個良好的制度氛圍。在此之后,定向增發(fā)由于其發(fā)行門檻低、操作簡單等優(yōu)點,逐步取代公開增發(fā)成為近年來我國股票市場最主要的股權(quán)再融資方式。定向增發(fā)方式不僅受到了監(jiān)管層、上市公司的重視,也受到了廣大投資者的青睞。 我國上市公司定向增發(fā)的公告及實施不僅影響著公司股票價格的走勢,也影響著證券市場的資源配置和財富的再分配,這不僅受到了監(jiān)管層和投資者的重視,也吸引了眾多學者對定向增發(fā)制度進行研究。對于定向增發(fā),國內(nèi)外學者的研究主要集中定向增發(fā)公告的短期股價效應及其影響因素、增發(fā)定價、定向增發(fā)后長期業(yè)績表現(xiàn)等方面。國內(nèi)外學者在對定向增發(fā)進行研究時,大多將整個定向增發(fā)實施過程看作一個整體,并在此基礎(chǔ)上展開相應的研究,即使少有對定向增發(fā)過程中董事會預案公告日與股東大會公告日的股價效應進行對比分析,也僅僅是簡單的比較其是否存在顯著性差異,現(xiàn)有的研究較少從增發(fā)的制度層面以及增發(fā)過程中不同環(huán)節(jié)所代表的意義進行研究,也較少對上市公司在定向增發(fā)過程中所扮演的角色進行分析。 那么上市公司定向增發(fā)實施過程中哪些公告信息會對公司股價造成影響?這些信息對股價會造成怎么樣的影響,是正向還是負向?在這些信息公告前后,上市公司、投資者扮演了什么樣的角色,是他們的決策影響了股價變動還是股價變動影響了他們的決策?而在牛市和熊市不同的市場環(huán)境下,上述各方面的影響是否一致,如果不一致那么其原因是什么?針對上述種種疑問,本文展開了深入的研究。 本文用超額收益率來衡量公告信息對股價的影響,即公告的股價效應。超額收益率等于該股票的實際收益率減去該股票的期望收益率,期望收益率采取市場調(diào)整收益模型進行估算。在此基礎(chǔ)上,用事件研究法對我國上市公司實施定向增發(fā)過程中預案公告日和增發(fā)公告日的股價效應進行研究,以驗證不同公告日前后是否存在顯著的超額收益,并對兩不同公告的股價效應進行對比分析。不同市場狀態(tài)下公告效應的研究則是將同一類公告的樣本區(qū)分為牛市和熊市狀態(tài)樣本,并分別檢驗其是否存在顯著的超額收益,并對不同市場狀態(tài)下的差異進行比對分析。 本文首先介紹了研究的背景和研究的問題,并對我國增發(fā)的相關(guān)制度變遷以及現(xiàn)行定向增發(fā)的實施流程作了簡要的介紹,然后對國內(nèi)外關(guān)于增發(fā)的股價效應的研究文獻進行了總結(jié)。在借鑒國內(nèi)外關(guān)于定向增發(fā)的研究方法上,以我國2009年1月1日至2011年12月31日3年間進行增發(fā)公告的381個樣本,并配比每次增發(fā)公告所對應的預案公告。本文選取預案公告日和增發(fā)公告日作為事件日,并在此基礎(chǔ)上選取公告前第20個交易日至公告后第20個交易日共計41個交易日,研究每個交易日的超額收益率和累計超額收益率。本文還研究三類時間窗口,包括擴大時間窗口：T[-1,1]、T[-3,3]、T[-5,5]、T[-10,10]、T[-15,15]、T[-20,20]；前移時間窗口：T[-20,-10]、T[-15,-5]、T[-20,0]、T[-15,0]、T[-10,0]、T[-5,0]、T[-3,0],后移時間窗口：T[0,3]、T[0,5]、T[0,10]、T[0,15]、T[0,20]、T[5,15]、T[10,20]各自的累計超額收益率。在此基礎(chǔ)上,本文首先研究預案公告的股價效應,并分析不同市場狀態(tài)下有何差異,然后研究增發(fā)公告的股價效應,同樣分析不同市場狀態(tài)下的差異,最后將預案公告和增發(fā)公告的股價效應進行對比分析。 本文的研究主要得出以下結(jié)論： 1.預案公告日和增發(fā)公告日當天均存在顯著的正股價效應。其中在牛市和熊市不同市場狀態(tài)下,預案公告日當天的平均超額收益率分別是1.1997%、0.9353%,而相對應的增發(fā)公告日當天的平均超額收益分別是0.8531%、0.7190%,且均在1%的置信水平上顯著為正,無論在何種市場環(huán)境下,預案公告日的平均超額收益率均高于增發(fā)公告日。 2.預案公告和增發(fā)公告前,累計超額收益率曲線均呈上升趨勢,這既有上市公司擇機選擇定價窗口以及維護其股價的原因,也有消息提前走漏的原因。在增發(fā)公告日前后,累計超額收益率出現(xiàn)巨大的波動,這主要是部分提前獲得消息的投資者短期內(nèi)炒作以及將增發(fā)公告視作利空消息的結(jié)果,而在預案公告前后沒有該現(xiàn)象。預案公告之后,熊市狀態(tài)下累計超額收益率繼續(xù)上升,主要是上市公司需維護其股價走勢以保持對潛在投資者的吸引力；而牛市狀態(tài)下,預案公告作為利好消息被市場所接受,投資者情緒的帶動即可維持公司股票具有一定的超額收益,公司則不需要花太大的成本來維持股價。增發(fā)公告作為一個利空消息,在牛市下受市場樂觀情緒的影響,累計超額收益率在波動中保持上行；而熊市狀態(tài)下,增發(fā)公告作為一個利空消息,在無市場情緒支撐的情況下,出現(xiàn)了持續(xù)性的下跌。 3.在擴大的時間窗口研究中。以預案公告日為基準的時間窗口[-1,1]、[-3,3]、[-5,5]、[-10,10]、[-15,15]、[-20,20],無論是整體樣本還是牛、熊市的樣本中均在1%的置信水平上存在顯著的正累計平均超額收益；各時間窗口中,牛市環(huán)境下[-20,20]能達到最大的7.8053%的累計超額收益,而熊市環(huán)境下[-20,20]能達到最大的9.0467%的累計超額收益。而以增發(fā)公告日為基準的時間窗口無論是顯著性還是累計超額收益率均比不上同等環(huán)境下以預案公告為基準的時間窗口,牛市環(huán)境下僅[-1,1]、[-20,20]在5%、10%置信水平上存在顯著超額收益,熊市環(huán)境下[-1,1]、[-20,20]在5%置信水平下,[-3,3]、[-5,5]、[-15,15]在10%置信水平下存在顯著的超額收益。 4.在前移的時間窗口研究中。以預案公告為基準的時間窗口[-20,0]、[-15,0]、[-10,0]、[-5,0]、[-3,0]無論是整體樣本還是區(qū)分為牛、熊市的樣本均在1%置信水平上顯著為正;[-20,-10]在牛市下顯著,在熊市下不顯著；[-15,-5]在不同市場環(huán)境下具有不同程度的顯著性；各時間窗口中,牛市下[-20,0]能達到最大超額收益7.0428%,熊市下也是[-20,0]能達到最大超額收益5.2427%。以增發(fā)公告為基準的時間窗口[-20,0]、[-15,0]、[-10,0]、[-5,0]、[-3,0]無論在整體樣本還是牛、熊市樣本均在1%置信水平下顯著為正；[-20,-10]、[-15,-5]在牛市下不顯著,在熊市下顯著；牛市下[-20,0]能達到最大超額收益4.1437%,熊市下[-20,0]能達到最大超額收益3.4317%。 5.在后移的時間窗口研究中。以預案公告為基準的時間窗口中,牛市樣本和熊市樣本存在較大的差異,牛市中僅[0,3]、[0,5]在5%置信水平下存在顯著的正效應,而熊市中[0,3]、[0,5]、[0,10]、[0,15]、[0,20]、[5,15]均在1%置信水平下存在顯著的正效應,并且[0,20]達到最大值4.8120%。以增發(fā)公告為基準的時間窗口中,無論是總體還是牛市或者熊市樣本均不存在顯著的超額收益。 根據(jù)上述研究結(jié)果,本文給出了3點政策建議：第一,政府及監(jiān)管機構(gòu)應積極支持上市公司實施定向增發(fā)；第二,進一步完善內(nèi)部知情人登記制度和信息披露制度,嚴懲泄露內(nèi)幕消息以及內(nèi)幕交易者,切實保護廣大中小投資者的利益；第三,投資者應清楚認識不同公告的意義,謹慎作出投資決策,避免盲目跟風。 本文的主要創(chuàng)新點在于： 1.更為全面的研究定向增發(fā)的股價效應,以往的研究大多選擇董事會預案公告日作為事件日,而對其他公告日的研究較少,特別是對增發(fā)公告日的研究更少。本文同時對預案公告日和增發(fā)公告日的股價效應進行對比分析,這在以往的研究中是沒有的。 2.從定向增發(fā)過程中上市公司利益訴求的角度解釋不同事件日及不同市場狀態(tài)下超額收益的差異,這在以前的研究中是沒有的。 3.將同一事件樣本區(qū)分為牛市狀態(tài)和熊市狀態(tài)樣本,更為細致而全面的對股價效應進行分析,并且從市場投資者情緒的對超額收益進行解釋。 本文的不足之處在于 1.定向增發(fā)中不同公告的股價效應影響因素較多,本文主要是從發(fā)行機制、上市公司的利益訴求以及市場投資者情緒的角度進行解釋,所得結(jié)論難免有失偏頗。 2.礙于篇幅有限,未對各種關(guān)于定向增發(fā)股價效應的假說進行檢驗。
[Abstract]:China's share reform and the completion of the issuance of securities of listed companies "management measures", "rules for the implementation of the non-public offering of shares of listed companies have been introduced, to create a good atmosphere for the system of China's securities market to introduce the private placement of equity refinancing. After this, the private placement due to the threshold issue a low, simple operation and other advantages, gradually replaced the public issuance of China's stock market in recent years become the main way of equity refinancing. Private placement not only by the regulators, listed companies' attention, but also by the majority of investors.
The announcement and implementation of the private placement of listed companies not only affects the company's stock price movements, but also affect the stock market resource allocation and redistribution of wealth, not only by the regulators and investors attention, also attracted many scholars to research on private placement system. For private placement, factors, short-term stock price study on the effect of domestic and foreign scholars mainly focused on the private placement announcement and issuance of private placement pricing, long-term performance and so on. Domestic and foreign scholars on the private placement of the whole set, mostly to the issuance of the implementation process as a whole, the research on this basis, even if there is little to the board of directors in the process of the private placement price effect plan announcement and general meeting announcement were analyzed, it is just a simple comparison of the presence of significant difference In contrast, the existing research is seldom studied from the aspect of the system of issuance and the significance of different links in the process of issuance, and the role played by Listed Companies in the process of private placement is also analyzed.
So the private placement of listed companies which in the process of implementing the announcement information will affect the company's share price? This information will cause what kind of impact on the stock price, is positive or negative? Listed companies in the information before and after the announcement, investors play what role, their decisions affect the stock price or price changes affect their decision? In the bull market and bear market in different market environment, affecting all aspects of the above is consistent, if not then what is the reason? In view of the above questions, this paper carried out in-depth research.
The excess rate of return to measure the impact of information on the stock price announcement, announcement that the stock price effect. The excess rate of return is equal to the actual stock returns minus the expected stock return rate, the expected rate of return to market adjusted return model is estimated. Based on the study of the process of private placement announcement and issuance the announcement of the stock price effect of China's listed companies with the implementation of the event study method, the existence of a significant excess returns before and after the announcement of different verification, and the stock price effect of two different announcements were analyzed. Research on the announcement effect of different market conditions is the same announcement of the sample is classified into bull and bear the state of the sample, and were tested for the presence of significant excess returns, and for different market conditions were analyzed.
This paper first introduces the research background and research issues, and the related institution of our country and the current issuance of private placement in the implementation process are briefly introduced, then the research literature at home and abroad on the issuance of the stock price effect are summarized. At home and abroad about the private placement research method, 381 a sample of the issuance of notice to China from January 1, 2009 to December 31, 2011 3 years, and the proportion of each corresponding to the SEO announcement announcement. This paper selects the plan announcement and issuance of notice as the event date, and based on the selection of the twentieth trading days before the announcement to the announcement of the twentieth trading days after a total of 41 trading days, research each day abnormal return and cumulative abnormal return. This paper also studies three kinds of time window, including the expansion of the time window: T[-1,1], T[-3,3], T[-5,5], T[-10,10, T[-15, 15], T[-20,20]; T[-20, -10]: forward time window, T[-15, -5], T[-20,0], T[-15,0], T[-10,0], T[-5,0], T[-3,0], after the shift time window: T[0,3], T[0,5], T[0,10], T[0,15], T[0,20], T[5,15], T[10,20] cumulative abnormal return respectively. On this basis, this paper firstly studies the stock price effect of the announcement. What is the difference and analysis of different market conditions, and then study the stock price effect of SEO announcement, also the differences of different market conditions, finally compares stock price effect announcement and issuance of notice.
The main conclusions of this paper are as follows:
The 1. announcement date and the issuance announcement day is positively significant price effect. In the bull market and bear market in different market conditions, the average excess earnings announcement day rates were 1.1997%, 0.9353%, while the average excess returns the corresponding issuance announcement day respectively is 0.8531%, 0.7190%, and in confidence the 1% level is significantly positive, regardless of the market environment, the average excess earnings announcement rates are higher than the issuance of the announcement date.
2. and the issuance announcement before the announcement, the cumulative abnormal return curve showed an upward trend, which is why listed companies choose the options pricing window and maintenance of its share price, there are reasons for news leaked in advance. In the days before issuing the announcement, the cumulative abnormal return of huge fluctuations, this is the main part of the advance investors get the message in the short term speculation and results will be regarded as additional notice of bad news, but not the phenomenon in the plan. The plan before and after the announcement after the announcement, the bear market under the condition of the cumulative excess return rate continues to rise, mainly listed companies need to maintain the stock price in order to maintain the attractiveness to potential investors; but the bull market condition, the announcement of plans the good news is accepted by the market, investor sentiment can be driven to maintain the company's stock has a certain excess profits, companies do not need to spend too much cost. Maintain the price. SEO announcement as a bad news, affected by the market optimism in the bull market, the cumulative excess return rate to maintain upward in fluctuation; but the bear market condition, issuing the announcement as a bad news, the market sentiment to support, has fallen continuously.
3. in the time window. To study the expansion of the plan announcement as the benchmark time window [-1,1], [-3,3], [-5,5], [-10,10], [-15,15], [-20,20], either the whole sample or samples of cattle, bear a significant positive cumulative average abnormal returns in 1% confidence level; each time window, the cumulative the excess return bull market [-20,20] can achieve a maximum of 7.8053%, the cumulative excess return and bear market under the environment of [-20,20] can reach the maximum of 9.0467%. While in issuing the announcement date for the reference time window whether significant or cumulative abnormal returns are not the same environment to plan announcement as the base of the time window, the bull market only under the environment of [-1,1], [-20,20] in 5%, there were significant excess returns of 10% confidence level, the bear market under the environment of [-1,1], [-20,20] in the 5% confidence level, [-3,3], [-5,5], in the presence of a confidence level of 10% [-15,15] Significant excess returns.
4. in the time window to study forward. With the announcement of plans for the benchmark time window [-20,0], [-15,0], [-10,0], [-5,0], [-3,0] whether the overall samples are divided into cow, bear samples in 1% confidence level is significantly positive; [-20, -10] were not significant in the bull market, bear market; [-15, -5] was significant in different market environment; the time window, the bull market [-20,0] can reach the maximum excess return is [-20,0] 7.0428%, bear maximum excess return 5.2427%. in issuing the announcement as the benchmark time window [-20,0], [-15,0], [-10,0], [-5,0], [-3,0] in the whole sample or cow, bear the samples at the 1% confidence level is significantly positive; [-20, -10], [-15, -5] were not significant in the bull market, bear market significantly in the bull market; [-20,0] can reach the maximum excess return of 4.1437%, under the [-20,0] can reach the maximum bear Excess return 3.4317%.
In 5. after the shift time window in the study. With the announcement of plans for the benchmark time window, there is a big difference between bull market and bear market bull market in the sample sample, only [0,3], there is a significant impact of [0,5] under 5% confidence level, and the bear market in [0,3], [0,5], [0,10], [0,15], [0,20, [5,15] are significant positive effect at the 1% confidence level, and the maximum value of [0,20] 4.8120%. in issuing the announcement as a benchmark in a time window, either in whole or in a bull or bear market samples have no significant excess returns.
According to the research results, this paper gives 3 suggestions: first, the government and regulators should actively support the implementation of the private placement of listed companies; second, to further improve the insider registration system and information disclosure system, punish insider information and insider trading, to protect the interests of small investors; third, investors should a clear understanding of the significance of different announcement, prudent investment decisions, to avoid blindly follow the trend.
The main innovations of this paper are as follows:
1. more stock price effect on directional overall placement. Most of the previous studies on the selection of the board of directors plans as the event date, and on the other the announcement date of the study less, especially for the issuance of the announcement. Less research at the same time on the announcement date and the issuance of stock price effect announcement were analyzed in this in the previous study is not.
2., from the perspective of interest demand of Listed Companies in the process of private placement, we explain the difference of excess returns in different event days and different market states, which is not in previous studies.
3., we divide the sample of the same event into bull market and bear market sample, analyze the stock price effect more meticulously and comprehensively, and explain the abnormal return from market investor sentiment.
The inadequacies of this article are
1., there are many factors that influence the stock price effect of different announcements in private placement. This paper explains mainly from the perspective of issuing mechanism, interest demands of listed companies and market investor sentiment, and the conclusion is inevitably biased.
The 2. is limited to the limited space, and the hypothesis is not tested on the hypothesis of the stock price effect.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前5條

1 王家新;劉曦;;中國股市增發(fā)公告的股價效應分析[J];統(tǒng)計研究;2008年04期

2 欒志剛;上市公司增發(fā)新股的財富轉(zhuǎn)移效應分析[J];投資研究;2000年03期

3 李子白;余鵬;;A股市場增發(fā)的股價反應及因素分析[J];廈門大學學報(哲學社會科學版);2009年01期

4 田藝;王蘊玨;楊偉聰;;定向增發(fā)創(chuàng)造投資新機遇[J];證券導刊;2006年16期

5 周勤業(yè),劉宇;上市公司股權(quán)再融資創(chuàng)新的比較與分析[J];證券市場導報;2005年09期

相關(guān)重要報紙文章 前1條

1 國通證券上海研究部 汪海寧;[N];中國證券報;2001年

相關(guān)碩士學位論文 前1條

1 李嘉;我國A股上市公司非公開增發(fā)股價效應及其影響因素分析[D];浙江大學;2010年

，

本文編號：1386982