本文選題：公開增發(fā) + 定向增發(fā)　； 參考：《西南財經大學》2012年碩士論文

【摘要】：2006年至2011年間,我國多家上市公司利用公開增發(fā)和定向增發(fā)的方式進行股權再融資。特別是2006年《上市公司證券發(fā)行管理辦法》頒布以來,審核程序簡單、融資成本較低的定向增發(fā)獲得了市場的青睞,實施定向增發(fā)的上市公司數量和募集資金規(guī)模都大幅上升。 上市公司增發(fā)股票需要發(fā)布公告對增發(fā)信息進行披露。由于股票的價格取決于股票給投資者帶來的預期收益,而市場信息又會影響投資者對未來的預期。因此,上市公司增發(fā)公告所包含的信息可能會對股票價格產生一定的影響。 具體來看,上市公司增發(fā)信息對自身股票價格和相關股票價格都可能產生一定的影響。青松建化(600425)在2007年公開增發(fā)決議公告日前2個交易日至后2個交易日股票價格累計下跌達30%。天山紡織(000813)在2011年定向增發(fā)預案公告日前5個交易日至預案公告日后3個交易日股票價格累計上漲30%。但廈門鎢業(yè)(600549)在2006年定向增發(fā)預案公告日期間股票價格持續(xù)下跌,其在定向增發(fā)預案公告日及其后3個交易日內,股票價格分別下跌4.51%,9.98%,5.19%和9.75%。新中基(000972)在2006年定向增發(fā)預案公告日前3個交易日股票價格分別上漲6.00%,5.66%和1.59%,而與新中基(000972)行業(yè)相同、規(guī)模相當的國投中魯(600962)在同一時間段內股票價格則出現(xiàn)持續(xù)下跌的情況。 那么,上公司增發(fā)信息究竟會對其自身股票價格和相關股票價格產生怎樣的影響呢?增發(fā)信息對股票價格是產生正面影響還是負面影響呢?如果增發(fā)信息會對股票價格產生正面影響,那么增發(fā)信息是否會提前泄露,成為少數投資者牟利的工具呢?投資者在獲知增發(fā)信息時,又應該做出怎樣的投資決策呢?針對這些問題,本文進行了深入的研究。 本文用股票的異常收益率來衡量增發(fā)信息對股票價格的影響程度。股票的異常收益率等于股票的實際收益率減去預期正常收益率。在此基礎上,采用事件研究法,本文對上市公司增發(fā)股票的公告效應和傳遞效應進行了研究。 本文研究的上市公司增發(fā)股票的公告效應,是指發(fā)布增發(fā)公告信息的上市公司,其股票在增發(fā)公告信息發(fā)布前后是否有顯著的異常收益率。本文研究的上市公司增發(fā)股票的傳遞效應,是指與發(fā)布增發(fā)公告公司行業(yè)相同、規(guī)模相當的上市公司,其股票在增發(fā)公告信息發(fā)布前后是否有顯著的異常收益率。 具體來看,本文首先介紹了論文題目的研究背景及意義,并對國內外相關研究文獻進行了回顧總結。然后分析了我國上市公司公開增發(fā)與定向增發(fā)的發(fā)展現(xiàn)狀。在此基礎上,本文構建了公開增發(fā)和定向增發(fā)公告效應的實證研究模型。本文選取2006年1月1日至2011年12月31日發(fā)布增發(fā)公告的上市公司數據,首先篩選出滿足研究條件的573家樣本公司和配對公司。然后,根據事件研究法的處理程序,本文對事件研究法中相關參數進行了設定。本文選取董事會預案公告日和股東大會決議公告日兩個事件日,以(-130,-6)為估計窗口,以(-5,5)為事件窗口。在此基礎上,本文分別研究了公開增發(fā)與定向增發(fā)的總體公告效應,不同市場行情中公開增發(fā)與定向增發(fā)的公告效應,以及公開增發(fā)與定向增發(fā)公告的傳遞效應三方面的問題。 與以往研究相比,本文的貢獻主要在以下三方面。一是充實了公開增發(fā)公告效應的研究。國內以往文獻主要研究了定向增發(fā)的公告效應,而對公開增發(fā)公告效應的研究極少,對不同公告日和不同市場行情公開增發(fā)公告效應的對比研究更是沒有。二是本文對上市公司增發(fā)公告效應的研究更為細致。本文研究了上市公司股票在不同發(fā)行方式(公開增發(fā)和定向增發(fā)),不同市場行情(上漲行情,下跌行情和調整行情)以及不同事件日(董事會預案公告日和股東大會決議公告日)中是否具有顯著的異常收益率。三是本文首次對增發(fā)公告的傳遞效應進行了研究,即研究了與發(fā)布增發(fā)信息同行業(yè)規(guī)模相當的配對公司股票在增發(fā)公告信息發(fā)布前后是否有顯著的異常收益率,使增發(fā)信息對股票市場的影響研究更為全面。 通過實證研究,本文得出如下主要結論： (1)公開增發(fā)董事會預案公告沒有顯著的公告效應,股東大會決議公告有顯著的負公告效應。在(-5,5)的事件窗口內,發(fā)布公開增發(fā)決議的上市公司,其股票的累積平均異常收益率為-4.59%。 (2)定向增發(fā)董事會預案公告有顯著的正公告效應,股東大會決議公告的公告效應沒有董事會預案公告明顯。這表明投資者普遍認為“定向增發(fā)”信息是“好消息”。由于定向增發(fā)面對不超過10個的特定投資者,且不少定向增發(fā)的投資人包括發(fā)行人股東或其關聯(lián)方,定向增發(fā)的認購者中還有不少機構投資者,這些投資者通常比普通投資者掌握了更充分的信息,他們認購定向增發(fā)的股票表明他們看好公司的未來發(fā)展,這就形成了一種“宣示效應”。因此,投資者普遍認為“定向增發(fā)”信息會給股市帶來正面影響。另一方面,股東大會決議公告的公告效應沒有董事會預案公告明顯,說明隨著時間的推移,定向增發(fā)的公告效應逐漸減弱。 (3)定向增發(fā)董事會預案公告的正公告效應主要集中在預案公告日之前的交易日和預案公告日當天。在臨近預案公告日時,股票的平均異常收益率和累積平均異常收益率出現(xiàn)加速上升的情形。發(fā)布定向增發(fā)預案的公司,在預案公告日前5個交易日內的平均異常收益率分別為0.28%,0.51%,0.56%,0.72%和2.43%,在預案公告日當天的平均異常收益率為0.82%。在預案公告日之后,股票的異常收益率消失。盡管股票的累積平均異常收盜率在預案公告日前后都顯著為正,但其主要是在預案公告日之前的交易日形成的,預案公告日之后累積異常收益率變動不大。這表明定向增發(fā)這一“利好信息”在預案公告日之前就已經提前泄露。 (4)在不同的市場行情中,公開增發(fā)董事會預案公告均沒有顯著的公告效應。在上漲行情和調整行情中,公開增發(fā)股東大會決議公告有顯著的負公告效應。在下跌行情中,公開增發(fā)股東大會決議公告沒有顯著的公告效應。這一現(xiàn)象可根據股權融資逆向選擇理論和投資者對股市的參與度來解釋。 (5)在不同的市場行情中,定向增發(fā)的公告效應有一定差異。就董事會預案公告的公告效應而言,在上漲行情和下跌行情中,發(fā)布定向增發(fā)預案的公司,其股票在董事會預案公告日前后的累積平均異常收益率高于調整行情中股票的累積平均異常收益率。這可能是由于在不同的市場中,投資者對股市的參與程度不同,對定向增發(fā)信息的看法也不同引起的。就股東大會決議公告的公告效應而言,在上漲行情和下跌行情中,股東大會決議公告沒有顯著的公告效應。在調整行情中,定向增發(fā)股東大會決議公告日前后股票的累積平均異常收益率不一致。在(-5,-3)的事件窗口內,股票的累積平均異常收益率為0.76%,在(-5,4)的事件窗口內,股票的累積平均異常收益率為-1.42%。這可能是由于投資者對股票市場未來走勢看法變動較大引起的。 (6)公開增發(fā)公告沒有顯著的傳遞效應。在董事會預案公告日和股東大會決議公告日前后,與發(fā)布公開增發(fā)公告公司行業(yè)相同、規(guī)模相當的配對公司股票不能獲得顯著的平均異常收益率和累積平均異常收益率。 (7)定向增發(fā)公告有顯著的傳遞效應。與發(fā)布定向增發(fā)預案或發(fā)布定向增發(fā)決議公司行業(yè)相同、規(guī)模相當的配對公司股票均能獲得顯著為負的累積平均異常收益率。特別地,在董事會預案公告日前后,樣本公司與配對公司股票累積平均異常收益率走勢表現(xiàn)出“此消彼長”的態(tài)勢。 根據上面的研究結論,本文在完善證券市場和投資者的投資決策方面提出了一定的建議。一方面,本文提出要通過加強對信息披露行為的監(jiān)管以及加大對內幕交易行為的處罰力度兩項措施來保證證券市場的健康和諧發(fā)展。另一方面,本文認為投資者應該理性看待上市公司的增發(fā)信息,投資者應綜合考慮增發(fā)股票的發(fā)行方式,并結合投資組合的具體情況以及是否提前獲知增發(fā)信息等因素做出投資決策,減少盲目投資。
[Abstract]:During the period from 2006 to 2011 , more than one listed company of our country has reinvested the stock right through the means of open and direct increase . Especially since the issuance of the securities issuance management method of the listed company in 2006 , the audit procedure is simple , the financing cost is lower , the market preference is obtained , and the number of listed companies and the scale of the raised capital increase greatly .

The stock price depends on the expected return of the stock to the investor , and the market information will affect the investors ' expectations for the future . Therefore , the information contained in the announcement of the listed company may have a certain impact on the stock price .

In particular , the share price of listed companies has a certain impact on the stock price and the related share price of the listed companies . The stock price of the new medium base ( 000813 ) decreased by 4.51 % , 9.98 % , 5.19 % and 9.75 % respectively before the announcement date of the year of 2011 . However , in the same period of the new medium base ( 000972 ) , the stock price of the new medium base ( 000972 ) increased by 6.00 % , 5.66 % and 1.59 % respectively before the announcement date of the orientation increase plan in 2006 .

So how can the information on the stock price of the company affect its own stock price and the price of the relevant stock ? The increase in the information will have a positive impact on the stock price or the negative impact ? If the increase information will have a positive impact on the stock price , how should the additional information be leaked in advance and become a profit - making tool for a small number of investors ? In the light of these issues , the paper makes an in - depth study .

This paper uses the abnormal rate of return of stock to measure the influence degree of the increment information on the stock price . The abnormal return rate of stock equals the actual yield of stock minus the expected normal yield . On the basis of this , the paper studies the announcement effect and the transfer effect of the listed company ' s additional shares .

This paper deals with the announcement effect of the listed company ' s issuance of the announcement information of listed companies . It refers to whether there is a significant abnormal return rate before and after the announcement of the announcement information . The transfer effect of the listed company ' s increasing stock is the same as that of the company with the same size , and the stock of the listed company has obvious abnormal rate of return before and after the announcement of the announcement information .

This paper first introduces the background and significance of the research on the subject of the thesis , and summarizes the related research literatures at home and abroad . On the basis of this , we have set up 573 sample companies and matching companies that meet the research conditions . In this paper , we have selected 573 sample companies and matching companies that meet the research conditions .

Compared with previous studies , the contribution of this paper is mainly discussed in the following three aspects . First , the research on the effect of public announcement announcement is enriched .

Through the empirical study , the main conclusions are as follows :

( 1 ) There is no significant announcement effect of the announcement of the plan announcement of the board of directors , and the announcement of the resolution announcement of the shareholders ' meeting has obvious negative announcement effect . In the event window of ( - 5 , 5 ) , the listed company of the public additional resolution is issued , and the cumulative average abnormal return rate of its shares is - 4.59 % .

( 2 ) There are significant positive publicity effects in the announcement of the plan announcement of the board of directors . The announcement effect of the resolution announcement of the shareholders ' meeting has no obvious effect on the plan of the board of directors . This indicates that the investors generally believe that the information of " directional increase " is " good news . " These investors usually have more information than ordinary investors . The announcement effect of the announcement of the resolution of the shareholders ' meeting has no obvious effect on the stock market . On the other hand , the announcement effect of the announcement of the resolution of the shareholders ' meeting has no obvious effect on the stock market .

( 3 ) The positive announcement effect of the announcement of the plan announcement of the director of the plan is mainly concentrated on the day before the public announcement of the plan and the day of the announcement of the contingency plan . The average abnormal rate of return on the stock is 0.28 % , 0.51 % , 0.56 % , 0.72 % and 2.43 % , respectively , and the average abnormal rate of return on the day of the pre - plan announcement is 0.82 % .

( 4 ) In different market conditions , there is no significant announcement effect on the announcement of the announcement of the board of directors . In the rising market and the adjustment , there is a significant negative announcement effect in the announcement of the announcement of the resolution of the shareholders ' general meeting . In the falling market , there is no significant announcement effect on the announcement of the announcement of the resolution of the shareholders ' meeting . This phenomenon can be explained according to the theory of adverse selection of equity financing and the participation of investors in the stock market .

In the event window of ( -5 , -3 ) , the cumulative average abnormal rate of return of shares is - 1.42 % in the event window of ( -5 , -3 ) . This may be due to the greater changes in the stock market ' s future trend .

( 6 ) There is no obvious transfer effect of the public announcement announcement . Before and after the announcement date of the board of directors and the announcement date of the resolution of the shareholders ' meeting , the shares of the matching company with the same size as the public announcement of the public announcement of the public announcement of the public announcement shall not have obvious average abnormal return rate and cumulative average abnormal return rate .

( 7 ) There is a significant transfer effect in the announcement of the directional increment announcement . The stock of the matching company with the same scale can obtain a significantly negative cumulative average abnormal rate of return . In particular , the average abnormal rate of return of the sample company and the partner company before and after the announcement date of the board of directors shows the trend of " this " .

According to the above research conclusion , this paper puts forward some suggestions on improving the investment decision - making of the securities market and investors . On the one hand , this paper puts forward two measures to strengthen the supervision of the information disclosure and to strengthen the penalties for insider trading . On the other hand , the author believes that the investors should take a rational view on the issuance of listed companies , and make investment decisions in combination with the specific circumstances of the portfolio and whether to obtain the additional information in advance , so as to reduce the blindness investment .

【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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本文編號：1832737