【摘要】：2013年以來(lái),我國(guó)A股市場(chǎng)經(jīng)歷了較為漫長(zhǎng)的IPO暫停期,該期間內(nèi),再融資成為我國(guó)A股市場(chǎng)發(fā)揮股權(quán)融資功能的最重要方式。自2006年以來(lái),定向增發(fā)募資規(guī)模持續(xù)增長(zhǎng),2006-2013年間,A股上市公司共計(jì)成功實(shí)施1076例定向增發(fā),總?cè)谫Y規(guī)模約達(dá)到21000億元,定向增發(fā)的募資總額己超過(guò)同期其他再融資方式(如配股、公開(kāi)增發(fā)和權(quán)證行權(quán)等)的募資總額。 定向增發(fā)的快速發(fā)展,使得圍繞定向增發(fā)的投資理念開(kāi)始興盛,不僅僅有二級(jí)市場(chǎng)上基于定向增發(fā)公告效應(yīng)的投資策略,一級(jí)市場(chǎng)更是參與定向增發(fā)的關(guān)鍵環(huán)節(jié)。伴隨基金、保險(xiǎn)公司等機(jī)構(gòu)投資者的快速發(fā)展,機(jī)構(gòu)投資者成為定向增發(fā)的重要認(rèn)購(gòu)者。當(dāng)然,機(jī)構(gòu)投資者相比較公司的大股東群體(公司大股東、大股東關(guān)聯(lián)方等)、以及戰(zhàn)略投資者(未來(lái)有可能進(jìn)駐公司管理層)在信息獲取以及投資目的方面存在差異。近年來(lái),機(jī)構(gòu)投資者對(duì)于一級(jí)市場(chǎng)定向增發(fā)的參與熱情較高,且已有研究表明獲取了顯著的超額收益。另一方面,信托、私募基金、券商集合理財(cái)計(jì)劃的發(fā)展帶動(dòng)下,使得個(gè)人投資者可以通過(guò)投資集合理財(cái)產(chǎn)品等,間接在一級(jí)市場(chǎng)投資于定向增發(fā)所發(fā)行的新股。 為了能夠更好的對(duì)參與定向增發(fā)的超額收益率情況進(jìn)行研究,定義參與定向增發(fā)的“內(nèi)部人”為大股東群體和戰(zhàn)略投資者,而“外部人”為機(jī)構(gòu)投資者,考慮“內(nèi)部人”擁有信息優(yōu)勢(shì)的可能以及投資目的的復(fù)雜化,并且考慮定向增發(fā)的可參與性,筆者決定本文的研究只著眼“外部人”可以參與的定向增發(fā)案例,剔除只有公司“內(nèi)部人”可以參與的定向增發(fā)。所研究的“外部人”可以參與認(rèn)購(gòu)的定向增發(fā)案例既包括有：(1)只對(duì)“外部人”發(fā)行的定向增發(fā),(2)對(duì)混合對(duì)象(“外部人”和“內(nèi)部人”共同參與)發(fā)行的定向增發(fā)。從2006-2013年1076次成功發(fā)行的定向增發(fā)來(lái)看,只大股東群體參與的有268例,僅有機(jī)構(gòu)投資者參與認(rèn)購(gòu)的有431例,既有大股東又有機(jī)構(gòu)投資者參與的有280例,可以看出,機(jī)構(gòu)投資者可參與的案例占總數(shù)比例為75.05%。從趨勢(shì)的角度可以看出,大股東的平均認(rèn)購(gòu)比例近年來(lái)呈現(xiàn)出明顯的逐步下滑的趨勢(shì)。整體從2006至2013年間的定向增發(fā)看,“外部人”通過(guò)一級(jí)市場(chǎng)參與定向增發(fā),獲得了較好的收益狀況,2010年以后,機(jī)構(gòu)投資者參與定向增發(fā)的意愿整體較強(qiáng),但與此同時(shí),定向增發(fā)的相對(duì)顯著的步入了低位。研究學(xué)者對(duì)于進(jìn)行定向增發(fā)的動(dòng)機(jī),可能涉及的利益輸送問(wèn)題,對(duì)公司治理的改善以及折價(jià)率形成機(jī)制等都有不少的探討。而本文將聚焦于研究“外部人”一級(jí)市場(chǎng)參與定向增發(fā)獲取超額收益率的影響因素。 基于文獻(xiàn)及理論的回顧整理,從三個(gè)角度對(duì)定向增發(fā)收益的影響因素進(jìn)行邏輯分析：發(fā)行階段的成本(信息不對(duì)稱程度、發(fā)行比例、增發(fā)規(guī)模)、進(jìn)行定向增發(fā)的動(dòng)因(是否存在利益輸送、募資資金的用途、大股東群體的參與情況)、市場(chǎng)景氣程度與估值偏好(市場(chǎng)估值的階段性特點(diǎn)、發(fā)行方的時(shí)機(jī)選擇)。提出四個(gè)假設(shè)：(1)信息不對(duì)稱越嚴(yán)重的公司,其折價(jià)率較高,即將折價(jià)率看成是給予投資者的信息補(bǔ)償。(2)定向增發(fā)中內(nèi)幕交易可能存在。(3)募資規(guī)模較大的公司,需要支付更多的信息補(bǔ)償,可能給予的折價(jià)率更高。(4)假定市場(chǎng)景氣程度、估值的階段特點(diǎn)會(huì)影響投資者參與定向增發(fā)的熱情,對(duì)發(fā)行折價(jià)造成影響。 通過(guò)對(duì)定向增發(fā)的綜合收益率進(jìn)行階段分解,設(shè)定折價(jià)收益率、禁售期股價(jià)收益率、綜合收益率以及超額收益率為被解釋變量�；谶壿嫹治雠c前人研究經(jīng)驗(yàn),設(shè)定解釋變量：發(fā)行階段(定向增發(fā)募資規(guī)模的大小、定向增發(fā)所發(fā)新股比重、大股東參與定向增發(fā)的比例),公司基本面(資產(chǎn)大小、杠桿率)、市場(chǎng)景氣程度和估值特點(diǎn)(市場(chǎng)整體市凈率、行業(yè)市凈率)、描述內(nèi)幕交易可能的(大股東定向增發(fā)前的持股比例、設(shè)定模擬窗口的超額累計(jì)收益率及平均日換手率)、虛擬變量(發(fā)行對(duì)象、行業(yè)分類、定向增發(fā)頻繁程度)等,建立多元回歸模型,進(jìn)行相關(guān)及顯著性檢驗(yàn),進(jìn)一步回歸分析及樣本內(nèi)檢驗(yàn)。 基于Wind數(shù)據(jù)庫(kù)“股權(quán)融資統(tǒng)計(jì)”中對(duì)歷史定向增發(fā)案例的披露,所運(yùn)用的統(tǒng)計(jì)軟件為Eviews6.0,對(duì)于基礎(chǔ)資料進(jìn)行如下的挑選：由于研究主體為外部人,排除只針對(duì)大股東群體發(fā)行的股票(大股東群體包括公司大股東及其關(guān)聯(lián)方),以及排除只對(duì)境外投資者和境內(nèi)非機(jī)構(gòu)人士發(fā)行的股票(數(shù)量極少),由于戰(zhàn)略投資者很有可能成為公司未來(lái)的股東,且有望在未來(lái)進(jìn)駐公司的管理層,戰(zhàn)略投資者參與定向增發(fā)的情況給予排除。在樣本挑選的規(guī)則限定下,整體定向增發(fā)禁售期基本為一年期。樣本統(tǒng)計(jì)的股票為2006年后成功實(shí)施定向增發(fā),且在2013年末之前已經(jīng)解禁(參與認(rèn)購(gòu)的機(jī)構(gòu)投資者解禁即可)的樣本,符合條件的樣本數(shù)達(dá)647個(gè)。 通過(guò)相關(guān)性檢驗(yàn)以及回歸分析647個(gè)定向增發(fā)樣本數(shù)據(jù),檢驗(yàn)了只面向機(jī)構(gòu)投資者以及混合對(duì)象發(fā)行的定向增發(fā)股票的超額收益影響因素。根據(jù)回歸結(jié)果,重要變量的影響情況為： (1)定向增發(fā)所發(fā)新股占原股本的比重：與定向增發(fā)超額收益率顯著正相關(guān),主要體現(xiàn)在折價(jià)收益率上,筆者認(rèn)為原因?yàn)?定向增發(fā)的比例越大,意味著公司擴(kuò)張?jiān)V求較大,以公司現(xiàn)有體量來(lái)看,定向增發(fā)所投入的項(xiàng)目的駕馭難度以及不確定性的提高下,公司需要給予更高的折價(jià)來(lái)作為大規(guī)模擴(kuò)張的風(fēng)險(xiǎn)補(bǔ)償。 (2)定向增發(fā)募資規(guī)模的大小(scale):與超額收益率存在顯著的負(fù)相關(guān),分解看,折價(jià)收益率與定向增發(fā)募資規(guī)模的大小并無(wú)顯著的關(guān)系,筆者認(rèn)為原因?yàn)椋旱谝稽c(diǎn),定向增發(fā)規(guī)模較大的公司一般為對(duì)資金擁有較大話語(yǔ)權(quán)的大型國(guó)資企業(yè),較好信用平臺(tái)的支持可使其以較低折價(jià)率進(jìn)行定向增發(fā)。第二點(diǎn),定向增發(fā)規(guī)模較大的公司往往是大盤股,市場(chǎng)對(duì)其投資熱情較低,炒作動(dòng)力不足。第三點(diǎn),發(fā)行規(guī)模較大意味著未來(lái)的不確定性及風(fēng)險(xiǎn)較大,投資者對(duì)其未來(lái)看淡。 (3)大股東參與定向增發(fā)的比例(ratio):大股東定增的比例(ratio)與超額收益率并沒(méi)有顯著的相關(guān)關(guān)系。而且從分解看,與折價(jià)收益率也沒(méi)有顯著的相關(guān)關(guān)系�？梢�(jiàn),在我國(guó)A股市場(chǎng)上,機(jī)構(gòu)投資者可以參與的定向增發(fā)中,整體上不存在大股東利用其控制力,有意抬高折扣率獲取利益、損害其他原股東利益的行為。 (4)市場(chǎng)市凈率：市場(chǎng)市凈率與超額收益率存在顯著的負(fù)相關(guān)關(guān)系,分解看,主要體現(xiàn)在二級(jí)市場(chǎng)反應(yīng)體現(xiàn)的禁售期收益率,在市場(chǎng)已趨勢(shì)性向上的情況下,參與定向增發(fā)獲取超額收益的情況并非擁有大概率支持,如果只考慮歷史的相關(guān)情況,在較為穩(wěn)定的市場(chǎng)環(huán)境中參與定向增發(fā)為較為良好的選擇。 (5)行業(yè)分類：新型行業(yè)的公司通常會(huì)擁有較高的定向增發(fā)發(fā)行折價(jià)率,原因?yàn)椋旱谝�、新型行業(yè)信息不對(duì)稱程度高,第二、信用平臺(tái)較弱�？煽闯�,行業(yè)類別作為虛擬變量與超額收益率、禁售期收益率沒(méi)有顯著的相關(guān)性,源于樣本時(shí)間跨度大,市場(chǎng)經(jīng)歷了完全的投資風(fēng)格轉(zhuǎn)換。 (6)關(guān)于內(nèi)幕交易存在可能的變量(CAR與TR)：選取相關(guān)性最為顯著的變量進(jìn)行回歸,CAR(-15,1)僅對(duì)分解來(lái)看的折價(jià)收益率存在顯著的正相關(guān)關(guān)系,而與二級(jí)市場(chǎng)所反映的禁售期收益率并無(wú)顯著的相關(guān)關(guān)系,可見(jiàn)內(nèi)幕交易的是否存在并不影響中長(zhǎng)期的股價(jià)走勢(shì)。也可以看出,平均相對(duì)換手率TR(-1,1)對(duì)于折價(jià)收益率與禁售期收益都存在顯著的正相關(guān)關(guān)系,不過(guò)回歸的斜率值較小,具體到絕對(duì)值看,變量的實(shí)際影響有限,對(duì)超額收益率的存在不具備較好的解釋力。 經(jīng)過(guò)分析得出“外部人”考慮一級(jí)市場(chǎng)參與投資定向增發(fā)的股票時(shí)一些可供參考的決策,首先要在相對(duì)短期歷史情況下,市場(chǎng)整體估值水平低的情況參與定向增發(fā),其次要選擇增發(fā)規(guī)模小,但增發(fā)比例較高的股票。也可以選擇新興行業(yè)的公司,能夠獲得比較高的增發(fā)折扣,從而確保投資收益。假設(shè)前期市場(chǎng)經(jīng)驗(yàn)可以有適當(dāng)?shù)膮⒖純r(jià)值,對(duì)于投資者在一級(jí)市場(chǎng)參與定向增發(fā)的選擇意見(jiàn)有：宏觀層面上,優(yōu)先在整體市場(chǎng)估值水平較為穩(wěn)定的環(huán)境中參與。行業(yè)層面上,優(yōu)先選擇處于新型行業(yè)的公司,不過(guò)歷史經(jīng)驗(yàn)看,其超額收益情況主要取決于發(fā)行時(shí)的折價(jià)水平。公司層面上,優(yōu)先選擇小規(guī)模公司,募資規(guī)模較小,但是定向增發(fā)發(fā)行新股數(shù)占總股本總數(shù)較高的定向增發(fā)的情況。
[Abstract]:Since 2006 , China ' s A - share market has experienced a lengthy IPO moratorium . Since 2006 , it has been the most important way for China ' s A - share market to exert its equity financing function . Since 2006 , total financing has been increasing . In 2006 - 2013 , the total financing size of A - share listed company has reached 210 billion yuan , and the total financing amount has exceeded the total amount of funds raised by other re - financing methods in the same period ( such as allotment , public issuance and warrants rights , etc . ) .

In recent years , institutional investors have been interested in the development of the primary market oriented increase , and some researches have shown that there are significant excess returns . In recent years , institutional investors have been involved in the development of the first - level market oriented increase , and have already made research shows that there are significant excess returns . On the other hand , the investors can invest in the new shares issued by the targeted increase in the first - level market indirectly through the investment collection , financial products and so on .

In order to be able to study the excess yield of the targeted increase , the author defines the " inner person " participating in the targeted increase as the major shareholder group and strategic investor , while the " external person " is the institutional investor , considering the possibility of the information advantage of " insider " and the complexity of the investment purpose .

Based on the review and arrangement of the literature and theory , the influence factors of the revenue from three angles are analyzed logically : the cost of the issuing phase ( information asymmetry degree , distribution proportion , increasing size ) , the reason for the oriented increase ( whether there is interest transfer , the use of raised funds , the participation of large shareholder groups ) , the market prosperity degree and the valuation preference ( the phase characteristics of market valuation , the timing of the issuing party ) . Four assumptions are put forward : ( 1 ) the more serious information asymmetry , the higher the discount rate , the discount rate is regarded as the information compensation to the investor . ( 2 ) The company with larger capital scale may exist . ( 3 ) If the company with large capital scale needs to pay more information compensation , the discount rate may be given higher .

Based on the logic analysis and the previous research experience , the author sets out the explanatory variables : the distribution stage ( the proportion of the new share , the proportion of the large shareholder participating in the targeted increase ) , the basic surface ( asset size , leverage ratio ) , the market depression degree and the valuation characteristics ( the proportion of the shareholder ' s participation in the targeted increase ) , the virtual variable ( the issue object , the industry classification , the degree of directional increase ) , and the like , establishes the multiple regression model , carries out the correlation and significance test , and further returns the analysis and the intra - sample inspection .

The statistical software used is Eviews6.0 based on the disclosure of historical oriented increase cases in the Wind database ' Equity Financing Statistics ' . As the subject of the study is an external person , the stock issued only for large shareholder groups ( large shareholder groups including large shareholders and related parties ) is excluded . As the strategic investors are likely to become the future shareholders of the Company , and the strategic investors are expected to participate in the orientation increase in the future .

According to the regression results , the influence of important variables is as follows :

( 1 ) The proportion of the original share capital of the new share issued by the director is positively correlated with the excess return on the directional increase , which is mainly reflected on the discount rate of return , which means that the larger the expansion of the company , the greater the management difficulty and the uncertainty of the project invested by the targeted increase in the existing mass of the company , the company needs to give higher trade discount as the risk compensation for the large - scale expansion .

( 2 ) The scale of the scale of the scale of the orientation increase and increase the size of the scale : There is a significant negative correlation with the excess yield . The reason is : First , the company with large scale of orientation increases the size of the large - sized state - owned enterprise with relatively large discourse power . The second point is that the company with larger scale is often the big stock market , and the market has low investment enthusiasm and underpower . At the third point , the large scale of the distribution means the uncertainty and the risk of the future , and the investors are indifferent to their future .

( 3 ) There is no significant correlation between the ratio of the shareholder ' s participation in the targeted increase and the ratio between the proportion of the large shareholder and the excess return .

( 4 ) Market rate of market : There is a significant negative correlation between market net rate and excess yield , which mainly embodies the rate of return in the second - stage market reaction . In the case of the upward trend of the market , the situation of participating in the targeted increase and increase of excess earnings is not a big probability support . If only the relevant circumstances of history are taken into account , it is a good choice to participate in the targeted increase in the more stable market environment .

( 5 ) Industry classification : Companies in the new industry usually have higher distribution and distribution discount rate , the reason is : First , new industry information asymmetry degree is high , second , credit platform is weak . It can be seen that industry category as virtual variable and excess return rate have no significant correlation , resulting from the large sample time span , the market experienced full investment style conversion .

( 6 ) With respect to the possible variables ( CAR and TR ) in the insider trading , the most prominent variables are selected for regression , CAR ( -15 , 1 ) has significant positive correlation with the discount rate of discount , but the average relative turnover TR ( -1 , 1 ) does not affect the long - term stock price trend . It can also be seen that the average relative turnover TR ( -1 , 1 ) has a significant positive correlation to the yield of discount and the benefit of the selling period , but the actual effect of the variable is limited , and the existence of the excess yield is not better explained .

Based on the analysis , it is concluded that the " external person " takes into account the decision of the first - level market to participate in the investment - oriented increase . First , in the case of relatively short - term history , the overall valuation level of the market participates in the targeted increase . However , it is also possible to select the companies in the emerging industry to take part in the relatively stable environment . However , the historical experience shows that the excess returns are mainly dependent on the discount level at the time of the issuance . However , in the company level , it is preferable to select small - scale companies , but the private placement is smaller , but the new share of the targeted increase issue accounts for a higher proportion of the total capital stock .
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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