發(fā)布時間：2018-03-14 01:25

  本文選題：新三板　切入點：做市商制度　出處：《北京交通大學》2017年碩士論文　論文類型：學位論文

【摘要】：新三板股權(quán)質(zhì)押違約情況日漸增多,本文分析了新三板股權(quán)質(zhì)押存在的問題,主要集中在質(zhì)押率確定、監(jiān)管不足、缺乏有效風險控制和信息披露等問題上。本文主要研究質(zhì)押的質(zhì)押率,通過對做市轉(zhuǎn)讓股票的研究建立起股權(quán)質(zhì)押質(zhì)押率分析的框架。本文將定性方法與定量方法相結(jié)合,分析了股權(quán)質(zhì)押率的影響因素,作為基于相關(guān)指標的定性參考依據(jù),利用VAR方法研究個股的股權(quán)質(zhì)押率,作為定量分析的依據(jù)。最后將該分析框架應用于股權(quán)質(zhì)押案例中,一方面對該分析框架進行檢驗,另一方面通過案例分析股權(quán)質(zhì)押不違約與違約的原因,為各方開展股權(quán)質(zhì)押業(yè)務提供參考。股權(quán)質(zhì)押率的影響因素分析中,重點分析公司盈利能力、現(xiàn)金流量、償債能力、運營能力(公司基本面),股價波動性(交易行情),行業(yè)指數(shù)變化率(行業(yè)因素)對股權(quán)質(zhì)押率的影響。研究發(fā)現(xiàn)償債能力、現(xiàn)金流、股價波動下對股權(quán)質(zhì)押率有比較顯著的影響,本文從股權(quán)質(zhì)押的違約風險和平倉風險分析了回歸結(jié)果的合理性。VAR方法研究個股的股權(quán)質(zhì)押率中,本文構(gòu)建了 VAR模型之后,選取流動性較好的新三板做市股票,先確定其公允價值,再通過VAR方法確定股票的無風險價值,用無風險價值與股票公允價值之比作為VAR方法下的股權(quán)質(zhì)押率。實際應用中將定性的財務指標分析和定量的VaR方法分析結(jié)合起來,作為判斷股權(quán)質(zhì)押率的分析框架。作為對該框架的應用和檢驗,本文重點分析了點點客和楓盛陽的股權(quán)質(zhì)押案例。點點客的股權(quán)質(zhì)押比較成功,公司相關(guān)財務指標非常好,VAR方法計算得到的股權(quán)質(zhì)押率與點點客實際的股權(quán)質(zhì)押率比較接近。而在楓盛陽股權(quán)質(zhì)押違約的案例中,楓盛陽的相關(guān)指標持續(xù)走低,且實際的質(zhì)押率明顯高于用VAR方法計算得出的質(zhì)押率。通過分析楓盛陽股權(quán)質(zhì)押違約事件的來龍去脈,發(fā)現(xiàn)了大股東在公司經(jīng)營和股權(quán)質(zhì)押中的風險點,如果事前參考VAR方法下的股權(quán)質(zhì)押率,可以有效地識別和降低質(zhì)押風險。在開展新三板股權(quán)質(zhì)押業(yè)務的過程中,可以根據(jù)企業(yè)償債能力、現(xiàn)金流和交易行情等作出初步地分析,再參照VAR模型定量得出的企業(yè)的股權(quán)質(zhì)押率,作出綜合地判斷,確定一個比較合理的股權(quán)質(zhì)押率。本文正是通過這一研究過程希望能為新三板股權(quán)質(zhì)押業(yè)務提供實務中的參考。
[Abstract]:The default of the new third board equity pledge is increasing day by day. This paper analyzes the existing problems of the new third board equity pledge, mainly focusing on the determination of the pledge rate and insufficient supervision. On the lack of effective risk control and information disclosure, this paper mainly studies the pledge rate of pledge, and establishes a framework for analyzing the pledge rate of equity pledge through the study of market-making transfer stock. This paper combines qualitative method with quantitative method. This paper analyzes the influencing factors of equity pledge rate, as a qualitative reference based on relevant indicators, and uses VAR method to study the equity pledge rate of individual stock as the basis of quantitative analysis. Finally, the framework is applied to the case of equity pledge. On the one hand, the analysis framework is tested, on the other hand, the reasons of non-default and default of equity pledge are analyzed by case study, which provides a reference for all parties to carry out the business of equity pledge. Focus on the analysis of profitability, cash flow, solvency, operating capacity (company fundamentals, stock price volatility (trading market, industry index change rate (industry factors)) on the impact of equity pledge. Cash flow and stock price fluctuation have significant influence on the pledge rate of stock. This paper analyzes the rationality of the regression result from the default risk and unwinding risk of equity pledge. The method of VAR is used to study the equity pledge rate of individual stock. After the VAR model is constructed, the new three boards with good liquidity are selected to make the stock market. The fair value of the stock is determined first, then the risk-free value of the stock is determined by the VAR method. Using the ratio of risk-free value to fair value of stock as the pledge ratio of equity under VAR method, the qualitative financial index analysis and the quantitative VaR method analysis are combined in practical application. As an analytical framework for judging the rate of equity pledge. As the application and test of this framework, this paper focuses on the analysis of the case of equity pledge of spot spot and Fengsheng Yang. The relative financial indicators of the company are very good. The equity pledge rate calculated by the VAR method is quite close to the actual equity pledge rate of the spot customer. In the case of the default of the equity pledge of Fengsheng Yang, the relevant index of Fengsheng Yang continues to decline. And the actual pledge rate is obviously higher than the pledge rate calculated by VAR method. By analyzing the origin of the default event of Fengsheng Yang equity pledge, we find out the risk point of the major shareholders in the company operation and equity pledge. If we refer to the equity pledge rate under the VAR method in advance, we can effectively identify and reduce the pledge risk. In the process of developing the new third board equity pledge business, we can make a preliminary analysis according to the enterprise's solvency, cash flow and trading price, etc. Referring to the VAR model, the paper makes a comprehensive judgment to determine a reasonable equity pledge rate. This paper hopes to provide a practical reference for the new third board equity pledge business through this research process.
【學位授予單位】：北京交通大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1608994