【摘要】：國內(nèi)外學(xué)者研究都表明市場擇時現(xiàn)象普遍存在。所謂市場擇時是指公司在股價被高估的時候發(fā)行權(quán)益進(jìn)行融資,股價被低估的時候則回購權(quán)益或者通過負(fù)債進(jìn)行融資。中國資本市場上存在融資管制。不同時期,針對首次公丌發(fā)行股票和股權(quán)再融資制定了不同的發(fā)行上市制度。因此引入政府管制背景研究我國資本市場的擇時行為十分重要。它有可能會更好的解釋中國資本市場上,公司管理層融資決策的現(xiàn)象及本質(zhì)。其次,本文還結(jié)合中國股票發(fā)行上市制度,研究上市公司融資決策在市場擇時程度上的不同表現(xiàn),探討市場時時理論在我國資本市場上的適用性。 本文以1996-2010年在我國滬深兩市進(jìn)行股權(quán)融資的上市公司為樣本,首先檢驗(yàn)了我國上市公司進(jìn)行股權(quán)融資時是否存在擇時行為,然后,結(jié)合我國融資管制的制度背景,分析研究了不同融資類型(IPO、再融資)市場擇時的程度的差異以及不同股票發(fā)行制度下市場擇時程度的異同,并進(jìn)一步檢驗(yàn)了產(chǎn)權(quán)性質(zhì)對公司市場擇時程度的影響。本文借鑒Pagano、Panetta和Zingales (1998)以及Alti(2006)的方法,以行業(yè)超常市值賬面比(行業(yè)市值賬面比的均值、中位數(shù)減去行業(yè)歷年平均水平)衡量公司的擇時時機(jī),研究發(fā)現(xiàn)：公司會選擇市場時機(jī)較好的時候進(jìn)行股權(quán)融資,并且行業(yè)市值賬面比較高時(市場行情好時),公司股權(quán)融資規(guī)模更大,會籌集更多的資金。鑒于管制程度的差異,我國上市公司再融資(SEO、配股)市場擇時程度高于IPO的擇時程度；并且對于IPO而言,核準(zhǔn)制下公司股權(quán)融資市場擇時程度更高；保薦制實(shí)施之后,公司股權(quán)融資的市場擇時程度高于保薦制實(shí)施之前。進(jìn)一步檢驗(yàn)發(fā)現(xiàn),產(chǎn)權(quán)性質(zhì)也會對公司的市場擇時程度產(chǎn)生影響：民營企業(yè)的擇時程度高于國有企業(yè)；國有企業(yè)樣本中,再融資的擇時程度高于IPO時的擇時程度；民營企業(yè)樣本中,再融資的擇時程度和IPO時擇時程度沒有顯著差異。本文按照融資類型對總樣本進(jìn)行了分組,發(fā)現(xiàn)：首次公丌發(fā)行(IPO)時,民營企業(yè)擇時程度高于國有企業(yè)；再融資時,民營企業(yè)的市場擇時程度高于國有企業(yè)。在區(qū)分現(xiàn)金持有量的分組樣本中,現(xiàn)金充裕的民營企業(yè)IPO時的市場時機(jī)和市場擇時程度更高；現(xiàn)金緊缺的民營企業(yè)再融資時的市場時機(jī)和市場擇時程度更高；現(xiàn)金充裕和現(xiàn)金緊缺的國有企業(yè)再融資時的市場時機(jī)和市場擇時程度均更高。IPO核準(zhǔn)制下,民營企業(yè)的擇時程度更高；保薦制實(shí)施之后相比于實(shí)施之前,民營企業(yè)的市場擇時程度更高。
[Abstract]:Scholars at home and abroad have shown that market timing phenomenon exists widely. The so-called market timing is when the company issues equity financing when the stock price is overvalued, and when the stock price is undervalued, it repurchase the equity or finance through the debt. There are financing regulations in China's capital market. In different periods, different systems of IPO and equity refinancing are established. Therefore, it is very important to introduce the background of government regulation to study the timing behavior of China's capital market. It may better explain the phenomenon and essence of financing decision in Chinese capital market. Secondly, this paper also studies the different performance of the financing decision of listed companies in the market timing degree, and discusses the applicability of the market time theory in China's capital market. Based on the sample of listed companies in Shanghai and Shenzhen stock markets from 1996 to 2010, this paper first examines whether there is timing behavior in equity financing of listed companies in China, and then combines with the institutional background of financing control in China. This paper analyzes and studies the different degree of market timing in different financing types (IPO, refinancing) and the similarities and differences of market timing degree under different stock issuance systems, and further tests the influence of property rights on the market timing degree of companies. Based on the methods of Pagano,Panetta, Zingales (1998) and Alti (2006), this paper measures the timing of a company by the book value ratio (the average value of the industry market to book ratio, the median minus the average of the industry average in the past years). The study found that companies choose better times for equity financing, and when the market capitalisation is higher (market conditions are good), companies raise more equity financing on a larger scale. In view of the difference of regulatory level, the market timing degree of refinancing (SEO,) of listed companies in China is higher than that of IPO, and for IPO, the timing degree of corporate equity financing market is higher under the system of approval. After the implementation of the sponsorship system, the market timing of corporate equity financing is higher than that before the recommendation system. It is found that the property right nature also affects the market timing degree of the company: the degree of timing of private enterprises is higher than that of state-owned enterprises, and the timing degree of refinancing is higher than that of IPO in the sample of state-owned enterprises; In the sample of private enterprises, there is no significant difference between the timing degree of refinancing and that of IPO. This paper classifies the total sample according to the type of financing, and finds that the degree of timing of private enterprises is higher than that of state-owned enterprises at the first time of public opening and issuing (IPO), and the market timing degree of private enterprises is higher than that of state-owned enterprises in refinancing. In the grouping samples of distinguishing cash holdings, the market timing and market timing of cash-rich private enterprises are higher when they are IPO, and the market timing and market timing of cash-scarce private enterprises are higher when they refinance. The market timing and market timing degree of state-owned enterprises with abundant cash and cash shortage are higher. Under IPO approval system, private enterprises have higher timing; After the implementation of the sponsorship system, private enterprises have a higher market timing than before.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F275

【參考文獻(xiàn)】

相關(guān)期刊論文 前7條

1 才靜涵;劉紅忠;;市場擇時理論與中國市場的資本結(jié)構(gòu)[J];經(jīng)濟(jì)科學(xué);2006年04期

2 張杰;民營經(jīng)濟(jì)的金融困境與融資次序[J];經(jīng)濟(jì)研究;2000年04期

3 王亞平;楊云紅;毛小元;;上市公司選擇股票增發(fā)的時間嗎?——中國市場股權(quán)融資之謎的一種解釋[J];金融研究;2006年12期

4 劉星;郝穎;林朝南;;再融資政策、市場時機(jī)與上市公司資本結(jié)構(gòu)——兼析股權(quán)融資偏好的市場條件[J];科研管理;2007年04期

5 王正位;朱武祥;趙冬青;;發(fā)行管制條件下的股權(quán)再融資市場時機(jī)行為及其對資本結(jié)構(gòu)的影響[J];南開管理評論;2007年06期

6 王志強(qiáng);李博;;IPO市場擇機(jī)對公司資本結(jié)構(gòu)的持續(xù)效應(yīng)研究[J];證券市場導(dǎo)報;2009年03期

7 李國重;;資本結(jié)構(gòu)與市場擇機(jī):中國上市公司橫截面數(shù)據(jù)的證明[J];中央財經(jīng)大學(xué)學(xué)報;2006年08期

，

本文編號：2336989