發(fā)布時(shí)間：2018-03-25 13:10

  本文選題：定向增發(fā)　切入點(diǎn)：公告效應(yīng)　出處：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：2006年《上市公司證券發(fā)行管理辦法》出臺(tái)后,定向增發(fā)作為一種新型的股權(quán)融資模式,并憑借著簡(jiǎn)單的審核程序、較低的籌資成本、較高的發(fā)行成功率受到了我國(guó)上市公司的青睞,取得了非�？焖俚陌l(fā)展。由于中國(guó)股票市場(chǎng)仍存在一些不規(guī)范的地方,在定向增發(fā)公告日前后,上市公司股價(jià)往往出現(xiàn)異常波動(dòng)現(xiàn)象,給人直觀感覺：中國(guó)股票市場(chǎng)存在明顯的定向增發(fā)公告效應(yīng)。結(jié)合國(guó)內(nèi)外的相關(guān)研究,本文期待解決如下四個(gè)問題：我國(guó)股票市場(chǎng)是否存在明顯的定向增發(fā)公告效應(yīng)?公告效應(yīng)的幅度有多大?在時(shí)間上如何分布?影響我國(guó)定向增發(fā)公告效應(yīng)的因素主要有哪些?基于這些問題,本文對(duì)我國(guó)證券市場(chǎng)上市公司定向增發(fā)公告效應(yīng)及公告效應(yīng)的影響因素進(jìn)行了理論探討和實(shí)證檢驗(yàn)。 在先回顧了我國(guó)定向增發(fā)的發(fā)展歷程、法律規(guī)定、增發(fā)流程、模式等基本情況后,本文采用事件研究法,從2006年2月1日到2011年6月30日期間665家進(jìn)行定向增發(fā)的上市公司中,選取了財(cái)務(wù)融資模式下僅對(duì)機(jī)構(gòu)投資者增發(fā)的這一類別,共計(jì)250個(gè)樣本。首先利用日平均異常收益率和累積異常收益率指標(biāo)研究樣本在定向增發(fā)預(yù)案公告日前后是否存在正的公告效應(yīng)；然后提出可能影響公告效應(yīng)的因素并對(duì)它們建立模型,進(jìn)行實(shí)證檢驗(yàn)。得出了如下結(jié)論： A股市場(chǎng)中針對(duì)機(jī)構(gòu)投資者的財(cái)務(wù)融資型定向增發(fā)存在明顯的公告日效應(yīng)。從實(shí)證研究結(jié)果看,累積異常收益率峰值出現(xiàn)在0日和8日,其數(shù)值分別為2.62%、2.83%。日平均異常收益率從-5日開始轉(zhuǎn)正,-2日、0日正值最為明顯,其數(shù)值分別為0.33%、1.18%；1日、2日,日平均異常收益率顯著為負(fù),其數(shù)值分別為-0.76%、-0.35%；之后該值又開始轉(zhuǎn)正。 在實(shí)證分析了對(duì)公告效應(yīng)影響的7個(gè)因素后,得出股票凈資產(chǎn)收益率、股票定向增發(fā)期間大盤走勢(shì)兩個(gè)指標(biāo)與個(gè)股公告效應(yīng)相關(guān)性最高,即資產(chǎn)凈收益率高、在大盤下跌環(huán)境中,個(gè)股日累積異常收益率越高。這在投資上有一定的指導(dǎo)意義。 最后,針對(duì)研究結(jié)論,提出了兩點(diǎn)建議：一是上市公司在定向增發(fā)過程中信息披露制度必須規(guī)范,以減少內(nèi)幕交易的發(fā)生；二基于目前國(guó)內(nèi)上市公司定向增發(fā)的公告效應(yīng)最顯著的時(shí)點(diǎn)是公告日前第2個(gè)交易日,這對(duì)中小投資者而言無法把握的。建議中小投資者放棄基于定向增發(fā)公告效應(yīng)的套利交易。
[Abstract]:After the introduction of the "regulations on Securities issuance of listed companies" in 2006, as a new type of equity financing mode, directional additional issuance, with the help of simple audit procedures, has lower financing costs. The relatively high success rate of issuance has been favored by listed companies in our country, and it has made very rapid development. As there are still some irregularities in the Chinese stock market, before and after the announcement of directional additional issuance, The stock price of listed companies often appears abnormal fluctuation phenomenon, giving people the intuitive feeling: the Chinese stock market has the obvious effect of public announcement of directional additional issuance, combined with the relevant research at home and abroad, This paper looks forward to solving the following four problems: is there an obvious effect of directional placement announcement in China's stock market? What is the extent of the announcement effect? How does it distribute in time? What are the main factors that affect the announcement effect of directional issuance in China? Based on these problems, this paper makes a theoretical discussion and empirical test on the effect of directional additional issuance and the influencing factors of announcement effect of listed companies in China's securities market. After reviewing the development course, the legal regulation, the process and the mode of directional placement in China, this paper adopts the event research method. From February 1, 2006 to June 30, 2011, among the 665 listed companies with additional directional offerings, they have chosen the category of financial financing that only increases the issuance of institutional investors. A total of 250 samples. First, using the daily average abnormal rate of return and cumulative abnormal rate of return index to study whether there is a positive announcement effect before and after the day of announcement of the plan of directional additional issuance. Then the factors that may affect the effect of announcement are put forward, and the models are established, and the empirical tests are carried out. The conclusions are as follows:. In A-share market, there is an obvious diurnal effect of financial financing directional placement for institutional investors. From the results of empirical research, the peak of cumulative abnormal return appears on 0 and 8 days. The average daily abnormal rate of return turns from -5 to -2, and the value of 0-day positive value is the most obvious, which is 0.330.18; on the 1st and 2nd day, the average daily abnormal yield is significantly negative, and its value is -0.76 ~ -0.35, and then it begins to turn positive again. After an empirical analysis of the seven factors that affect the announcement effect, it is concluded that the return on equity net assets, the two indexes of stock market trend and the announcement effect of individual stocks are the highest, that is, the high net return on assets. In the market down environment, the higher the daily cumulative abnormal yield of individual stocks, which has certain guiding significance in investment. Finally, according to the conclusions of the study, two suggestions are put forward: first, the information disclosure system of listed companies must be standardized in order to reduce the occurrence of insider trading; Second, based on the fact that at present the announcement effect of targeted additional issuance by domestic listed companies is the most significant, the second trading day before the announcement date, This is impossible for small and medium-sized investors. It is recommended that small and medium-sized investors abandon the arbitrage trade based on the effect of directional placement announcement.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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