本文選題：定向增發(fā) + 長期超常收益率��； 參考：《東北財經(jīng)大學(xué)》2013年碩士論文

【摘要】：中國證券監(jiān)督管理委員會于2006年5月8日公布落實了《上市公司證券發(fā)行管理辦法》。該辦法規(guī)定定向增發(fā)成為我國股權(quán)再融資的手段之一并為我國定向增發(fā)的發(fā)展奠定了基礎(chǔ)。據(jù)wind統(tǒng)計,自2007年以來定向增發(fā)在我國證券市場上引發(fā)了一股融資熱潮。定向增發(fā)不僅在證券市場受到廣大融資者和投資者的青睞,而且國內(nèi)外學(xué)術(shù)界也將其作為研究的焦點。 通過梳理國內(nèi)外文獻(xiàn)發(fā)現(xiàn),目前多數(shù)學(xué)者對定向增發(fā)大多聚焦于折價、盈余管理、公告效應(yīng)和長短期業(yè)績等領(lǐng)域的研究。并且經(jīng)過實證研究發(fā)現(xiàn),定向增發(fā)的折價率、正的公告效應(yīng)以及短期業(yè)績變好的現(xiàn)象幾乎存在于所有國家的資本市場,并對這些現(xiàn)象進(jìn)行了系統(tǒng)的理論闡述。然而,對于定向增發(fā)的長期業(yè)績,諸多學(xué)者研究發(fā)現(xiàn),不僅不同國家的資本市場得出的結(jié)果不相一致,甚至是同一國家的資本市場由于采用的技術(shù)方法不同,結(jié)果也有所差異,并且迄今為止沒有一種理論可以完全解釋這一“異象”。本文在借鑒國內(nèi)外學(xué)者的研究理論和研究方法的基礎(chǔ)上,結(jié)合中國證券市場的特點和定向增發(fā)的特征,對定向增發(fā)后上市公司的長期業(yè)績變化主要從長期超常收益率和長期經(jīng)營業(yè)績兩個角度進(jìn)行研究分析。 本文以2006年到2009年實施定向增發(fā)的符合樣本篩選條件的268家上市公司為研究樣本,運用定性分析與定量分析相結(jié)合的方法,對定向增發(fā)后上市公司長期業(yè)績的變化進(jìn)行研究分析。為了研究我國A股市場上定向增發(fā)后上市公司的長期業(yè)績,本文主要從以下三個方面進(jìn)行了詳細(xì)的論述和分析。 首先,本文從理論方面論述定向增發(fā),分別對國內(nèi)外定向增發(fā)的研究進(jìn)行了詳細(xì)的理論闡述,尤其對具有中國特色的定向增發(fā)進(jìn)行了系統(tǒng)論述。與美國證券市場的定向增發(fā)相比,我國的定向增發(fā)起步晚,并具有成本低、效率高和審批程序簡單等優(yōu)勢,使得很多上市公司都熱衷于通過定向增發(fā)來融資,但這也給定向增發(fā)市場帶來一定的風(fēng)險。隨著中國證券市場的不斷發(fā)展和完善,我們在借鑒其他資本市場優(yōu)點的基礎(chǔ)上,發(fā)展我國的定向增發(fā)。 其次,運用事件研究法及日歷時間法兩種方法對長期超常收益率進(jìn)行實證分析。通過建立模型研究發(fā)現(xiàn),我國定向增發(fā)后的長期超常收益率顯著為負(fù),這表明定向增發(fā)后我國的上市公司的經(jīng)營業(yè)績不僅沒有得到改善,反而惡化。隨后為進(jìn)一步增強對定向增發(fā)后上市公司的業(yè)績分析,本文又對定向增發(fā)前后的會計指標(biāo)進(jìn)行分析,.同樣也得出定向增發(fā)后我國上市公司的經(jīng)營業(yè)績不佳這一結(jié)論。 最后,本文總結(jié)理論分析和實證研究結(jié)論,分別從機會窗口理論、投資者過度樂觀理論和盈余管理理論等多方面進(jìn)行了理論解釋。并針對中國證券市場上定向增發(fā)后長期業(yè)績不佳這一現(xiàn)象和定向增發(fā)中存在的問題提出政策建議。 本文的創(chuàng)新之處在于使用Wruck, Hertzel和Smith發(fā)明的方法來估計調(diào)整的累積平均超常收益率(CARadj)。并且研究發(fā)現(xiàn)調(diào)整的累積平均超常收益率結(jié)果更為顯著,說服力更強。從2006年5月8日管理辦法的推行開始,我國的定向增發(fā)飛速發(fā)展,因此研究樣本的顯著增加,對本文研究定向增發(fā)后的長期業(yè)績奠定了基礎(chǔ),結(jié)合國內(nèi)外的研究理論,使得研究結(jié)果在一定程度上具有可靠性。但是本文只是從理論層面對影響定向增發(fā)長期業(yè)績的因素進(jìn)行了闡述,并未對影響因素進(jìn)行實證研究。最后我們根據(jù)實證分析的結(jié)論,對中國證監(jiān)會對定向增發(fā)的干預(yù)提出政策建議,有理有據(jù)并切實可行。
[Abstract]:The China Securities Regulatory Commission (China Securities Regulatory Commission) announced in May 8, 2006 the implementation of the measures for the management of securities issuance of listed companies. This method provides a basis for the development of our country's equity refinancing. According to wind statistics, it has been initiated in China's securities market since 2007. A new upsurge of financing. Private placement is not only favored by many investors and investors in the securities market, but also the academic circles at home and abroad regard it as the focus of research.
By combing the literature at home and abroad, most scholars focus on the research in the fields of discount, earnings management, announcement effect and long and short term performance. And through empirical research, it is found that the discount rate, the positive announcement effect and the better short-term performance of the directional addition are almost in the capital markets of all countries. However, many scholars have found that not only the results of the capital markets in different countries are not consistent, but also the results of the capital markets in the same country are different, and so far there is no one in the same country. Based on the study theory and research methods of domestic and foreign scholars, based on the characteristics of the Chinese securities market and the characteristics of the orientation addition, the long-term performance changes of the listed companies are mainly from the two angles of the long-term supernormal rate of return and the long-term operating performance. Research and analysis.
In this paper, 268 listed companies that carry out directional supplement from 2006 to 2009 are used as the research samples. The method of combining qualitative analysis and quantitative analysis is used to study and analyze the changes of long-term performance of listed companies after the directional addition. In order to study the long-term growth of Listed Companies in the A stock market in China, the long term of the listed companies will be studied. Performance, this article mainly from the following three aspects are discussed and analyzed in detail.
First of all, this article discusses the directional addition from the theoretical aspect, and expounds the detailed theoretical exposition of orienteering research at home and abroad, especially the systematic exposition of the Orienteering with Chinese characteristics. Compared with the Orienteering of the US securities market, the directional addition of our country starts late, and has low cost, high efficiency and approval procedure. The advantages of simple and so on make many listed companies are keen on financing through directional increase, but it also brings some risks to the Orienteering market. With the continuous development and perfection of China's securities market, we develop our orientation on the basis of the advantages of other capital markets.
Secondly, we use two methods of event study and calendar time method to make an empirical analysis of the long-term abnormal return rate. Through the model study, it is found that the long-term supernormal rate of return in China is significantly negative, which indicates that the performance of the listed companies in China has not been improved but deteriorated after the directional addition. To further enhance the performance analysis of the listed companies after the directional addition, this paper also analyzes the accounting indicators before and after the directional addition, and also draws the conclusion that the operating performance of the listed companies in China after the directional addition is not good.
Finally, this paper summarizes the theoretical analysis and empirical research, and explains the theory of opportunity window, the theory of overoptimistic investors and the theory of earnings management, and puts forward some policy suggestions on the problem of long term performance and the problems in the orientation of China's securities market.
The innovation of this paper is to use the methods invented by Wruck, Hertzel and Smith to estimate the adjusted cumulative average supernormal rate of return (CARadj). And the study found that the cumulative average supernormal yield results are more significant and more convincing. Since the implementation of the management approach in May 8, 2006, the orientation of our country has developed rapidly. The significant increase of the research sample has laid a foundation for the long-term performance of this article, combining the domestic and foreign research theories, making the results reliable to a certain extent. However, this paper only describes the factors that affect the long-term performance of the targeted additional issuance from the theoretical level, and does not make an empirical research on the influencing factors. Finally, based on the conclusion of the empirical analysis, we put forward policy recommendations for the CSRC's intervention in private placement, which is well founded and feasible.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F275;F832.51;F224

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