本文選題：定向增發(fā) + 主成分分析��； 參考：《東北財經(jīng)大學》2016年碩士論文

【摘要】：自2006年5月8日我國證監(jiān)會頒布《上市公司證券發(fā)行管理辦法》以來,定向增發(fā)以其發(fā)行門檻低,限制條件少以及審批程序簡單,融資成本低等優(yōu)勢迅速成為上市公司股權(quán)再融資的主要手段。繼2013年IPO暫停引發(fā)一輪"定增熱"后,2014至2015年國企改革以及企業(yè)間并購重組又引發(fā)新一輪熱潮。據(jù)wind資訊統(tǒng)計,2014和2015年進行定向增發(fā)的企業(yè)分別有477和930家,在定向增發(fā)融資規(guī)模上2014年募集資金規(guī)模達到6907.552億元,2015年首次募集資金規(guī)模突破萬億大關高達12327.8273億元。筆者對2013至2015年我國定向增發(fā)情況進行統(tǒng)計后發(fā)現(xiàn),定向增發(fā)存在明顯的行業(yè)差別;募集資金總額前四位的行業(yè)分別是制造業(yè)、房地產(chǎn)業(yè)、金融業(yè)和水利、環(huán)境和公共設施管理業(yè),占2013至2015年定向增發(fā)募集資金總額的46.76%、8.33%、7.46%、6.88%,在進行定向增發(fā)的行業(yè)中,制造業(yè)上市公司數(shù)量占實施定向增發(fā)上市公司數(shù)的60.91%。不論在融資規(guī)模還是公司數(shù)量上制造業(yè)都占有絕對優(yōu)勢,因此本文以制造業(yè)為例就定向增發(fā)融資效率進行研究。本文通過梳理已有文獻發(fā)現(xiàn),學者們對評價定向增發(fā)融資效率的角度多從宣告效應、長期超額累積收益率以及經(jīng)營業(yè)績?nèi)矫嫜芯?評價定向增發(fā)融資效率的方法大多采用事件研究法以及多元回歸法。但我國證券市場目前處于弱有效市場階段,股票市場并不能完全反映企業(yè)的經(jīng)營業(yè)績,并且企業(yè)在定向增發(fā)時可能會有盈余管理等行為最終導致事件研究法采取的衡量指標累積超額收益率偏低,因此,僅以事件研究法作為定增融資效率的研究方法具有片面性。而多元回歸分析通過構(gòu)建多元線性回歸方程對企業(yè)的長期累計超額收益率或者定增前后幾年公司財務指標的變化判斷企業(yè)再融資效率的高低,同時可以判斷影響融資效率高低的因素和程度。但多元回歸分析法的前提是所選用的影響融資效率的因素與評價融資效率的指標具有線性關系,顯然,現(xiàn)實中很難證明二者之間一定具有線性關系。由于衡量定向增發(fā)融資效率所采用的評價指標以及方法各有差別,目前暫時沒有得出一致的結(jié)論。本文借鑒已有學者的研究,提出一種基于主成分分析以及DEA模型的評價方法衡量定向增發(fā)融資效率。本文選取2010-2012年宣告定向增發(fā)預案并成功實施的制造業(yè)A股上市公司為樣本,選取定向增發(fā)折扣率、定向增發(fā)前一年度資產(chǎn)負債率、定向增發(fā)相對規(guī)模,公司規(guī)模以及Tobin'Q值5個輸入指標,長期累積超額收益率、每股收益以及反映公司盈利能力、成長能力、運營能力、償債能力和現(xiàn)金流狀況的13個財務指標作為輸出指標,其中財務指標取定向增發(fā)當年、定向增發(fā)后一年、定向增發(fā)后兩年的平均值。首先本文運用主成分分析將上述15個輸出指標歸納為具有一定經(jīng)濟含義的7個主成分,然后利用DEA模型對研究樣本進行相對效率評價以及排序,最后對無效樣本進行分析與改進。本文的結(jié)論以及創(chuàng)新主要有:(1)我國制造業(yè)上市公司依然沒有跳出定向增發(fā)融資效率低下的困境,僅有20.14%的樣本為DEA有效,49.64%的樣本為技術(shù)有效以及78.78%的樣本處于規(guī)模收益遞減階段;(2)DEA模型的最優(yōu)性,DEA模型利用所有樣本的輸入輸出數(shù)據(jù)建立生產(chǎn)可能集,然后從所選的同類的樣本單元中找到處于相對最優(yōu)的樣本,對每個決策單元進行效率排序,對于無效的樣本可以根據(jù)樣本集分析無效原因,提出改進意見;(3)遵循市場指標以及財務指標相結(jié)合的原則全面評價上市公司定向增發(fā)融資效率,克服研究指標單一的不足,同時采用財務指標三年的平均值,避免某年指標值異常的影響;(4)利用主成分分析法將輸出指標歸納為具有明確經(jīng)濟含義的7個主成分,避免人為主觀賦權(quán)的缺陷。
[Abstract]:Since the May 8, 2006 China Securities Regulatory Commission promulgated the management method of securities issuance of listed companies, the directional addition has been the main means of refinancing the shares of listed companies with its low issuing threshold, less restrictive conditions, simple examination and approval procedures and low financing cost. After the IPO suspension in 2013, a round of "heat increase" was initiated, 2014 to 2015 The reform of state-owned enterprises and the merger and reorganization of enterprises have led to a new round of upsurge. According to wind information statistics, there were 477 and 930 companies in 2014 and 2015, respectively. In 2014, the scale of fund raising was 690 billion 755 million 200 thousand yuan, and the first raised fund in 2015 was up to 1 trillion and 232 billion 782 million 730 thousand yuan. According to the statistics of China's directional issuance from 2013 to 2015, it was found that there were obvious industrial differences in the directional increase. The top four sectors of the total fund raising were manufacturing, real estate, financial and water conservancy, environment and public facilities management, which accounted for 46.76%, 8.33%, 7.46%, 6.88% of the total amount of funds raised from 2013 to 2015. In the industry that carries out the directional addition, the number of the listed companies in the manufacturing sector accounts for the absolute advantage of the number of targeted additional listed companies, regardless of the size of the financing or the number of Companies in the company. Therefore, this paper takes the manufacturing industry as an example to study the financing efficiency of the 60.91%.. The angle of evaluating directional increase financing efficiency is mainly from three aspects: declaration effect, long-term excess cumulative yield and operating performance. Most of the methods to evaluate the efficiency of directional increase financing are event research and multiple regression. However, the stock market in China is currently in a weak and effective market stage, and the stock market can not fully reflect the enterprise. The business performance of the industry, and the enterprises may have earnings management in the direction of the directional addition, will eventually lead to the low cumulative excess rate of return on the measure index adopted by the event research method. Therefore, only the study method of the event study method is one-sided as the research method of increasing the financing efficiency. And the multi regression analysis is used to construct the multiple linear regression equation. At the same time, the factors and degree of influencing the efficiency of financing are judged by the long-term cumulative excess rate of return or the changes in the financial index of the company in the years before and after the increase. But the precondition of the multiple regression analysis is that the factors that affect the efficiency of financing and the index of the efficiency of the evaluation of financing have been selected. It is obvious that it is difficult to prove that there is a linear relationship between the two in reality. Because of the difference between the evaluation indexes and methods used to measure the financing efficiency of the directional increase, there is no consensus conclusion for the time being. In this paper, a writer based on the principal component analysis and the DEA model is proposed for reference. The method is to measure the efficiency of directional increase financing. In this paper, we selected the A shares listed companies of the manufacturing industry, which announced the directional addition plan for 2010-2012 years and successfully carried out the listed companies of the manufacturing industry, to select the directional increase discount rate, to add the assets and liabilities rate of the previous year, to increase the relative scale, the size of the company and the value of the Tobin'Q value, and to accumulate the excess returns for a long time. Rate, earnings per share, and the 13 financial indicators that reflect the company's profitability, growth capacity, operational ability, debt service and cash flow status as the output indicators, in which the financial indicators are added to the same year, the orientation after the increase in the year, the average of the following two years after the increase of orientation. The first first article uses the principal component analysis to make the above 15 output indicators It is summed up as 7 principal components with certain economic meaning, and then the DEA model is used to evaluate and sort the relative efficiency of the research samples. Finally, the invalid samples are analyzed and improved. The conclusions and innovations of this paper are as follows: (1) the listed companies in our country still have not jumped out of the predicament of the low efficiency of targeted additional financing, only 20 The sample of.14% is valid for DEA, 49.64% of samples are efficient and 78.78% of the samples are in the stage of decline in scale of return; (2) the optimality of the DEA model, the DEA model uses the input and output data of all the samples to establish the production possible set, and then finds the relatively optimal sample from the selected sample unit, for each decision list. In order to sort the efficiency, the invalid sample can be analyzed according to the reason of the invalid analysis. (3) follow the principle of combining the market index and financial index to comprehensively evaluate the financing efficiency of the listed company, overcome the shortage of the single research index, and use the average value of the financial index for three years to avoid a certain year. The effect of abnormal index value; (4) using the principal component analysis method to sum up the output index into 7 principal components with clear economic meaning and avoid the defects of subjective empowerment.
【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F832.51;F224

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