本文關(guān)鍵詞：牛熊背景下上市公司定增終止對股票價格的影響　出處：《北京外國語大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 定增終止 事件研究 宣告日效應(yīng) 牛熊市 超額收益

【摘要】：我國上市公司存在較大的再融資需求,增發(fā)、配股和可轉(zhuǎn)換債券等是目前我國上市公司進(jìn)行再融資時采取的主要方式,其中定向增發(fā)由于門檻較低、流程相對簡單,成為很多公司再融資時的首選方案。上市公司定增的原因有很多,比如流動資金短缺、項目實施資金配套等,在不同的市場行情下,定增對公司股價造成的影響是不一樣的。近幾年上市公司的定增價格與二級市場交易價格存在一定的差異,通常會有一定的折價,這樣的折價會對原有股東的利益造成一定的損害,在不同階段這些損害會有不同程度的放大,從而造成二級市場股價的大幅波動。近年來由于中國IPO燕塞湖的現(xiàn)狀,再融資規(guī)模遠(yuǎn)遠(yuǎn)超過了首發(fā)規(guī)模,上市公司得以利用再融資政策及時為自身輸血,使業(yè)務(wù)擴(kuò)張相對迅速,資本市場儼然成為上市公司獲取資金最為便利的渠道,由此造成的上市公司與非上市公司差距越來越大。正是由于上市公司有如此眾多的優(yōu)勢,排隊上市的企業(yè)不見減少,而殼價也水漲船高,成為中國資本市場的一大現(xiàn)象。為了規(guī)范上市公司再融資行為,2017年2月17日證監(jiān)會發(fā)布再融資新政,加之已經(jīng)加速的IPO審核,資本市場的融資格局有望迎來新的改變。隨著資本市場的成熟以及監(jiān)管的變嚴(yán),上市公司定增受阻的壓力越來越大,再融資新政發(fā)布的一個月時間內(nèi)就已經(jīng)有半數(shù)的融資申請開始主動撤回,其實隨著上市公司數(shù)量的增多,定增規(guī)模會越來越大,其中定增半途終止的案例將會越來越多。此前專家學(xué)者們關(guān)于定增的研究,大多數(shù)是針對定增成功實施的公司而言的,這其中很大一部分原因是由于定增在中國出現(xiàn)的時間比較晚,且定增終止的案例在以前是比較少的,由于樣本數(shù)量的缺陷,很難進(jìn)行大規(guī)模定量研究。本文認(rèn)為目前中國的資本市場已經(jīng)相對成熟,且近年來定增融資規(guī)模的迅速膨脹,定增終止的公司數(shù)量已經(jīng)足夠進(jìn)行針對性的研究,因此本文將對象鎖定為定增終止的那部分公司,通過事件研究和計量經(jīng)濟(jì)學(xué)的方法來研究定增終止對二級市場的影響,其研究結(jié)果既可以彌補(bǔ)國內(nèi)這些方面的不足,同時也可以為社會各界提供定增終止對股價影響的相關(guān)素材。首先本文進(jìn)行了事件研究,由于最近五年中國股市經(jīng)歷了震蕩市、熊市、牛市、崩盤等較為復(fù)雜的行情局面,單一的來研究定增終止對市場的影響顯得不妥,故本文在一開始對行情進(jìn)行了分類,將最近五年的行情分為熊市和牛市,并截取相應(yīng)的時間區(qū)間進(jìn)行研究,以期望進(jìn)一步明晰定增終止在不同市場行情下對股市的影響。將牛熊市區(qū)間分清楚之后,本文分別對其進(jìn)行事件研究,以定增終止公告發(fā)布日為事件發(fā)生日,前后各順延15個交易日共同組成事件窗口,通過觀察事件窗口的股票超額收益率是否顯著非零從而決定事件發(fā)生的影響力。在本文進(jìn)行了事件研究之后,為了更加深入地了解股票超額收益的影響因素,本文繼續(xù)以市場行情、板塊類別、定增終止原因三個變量為解釋變量進(jìn)行計量研究,最終得出了以下結(jié)論:(1)定增終止存在強(qiáng)烈的宣告日效應(yīng):無論牛市還是熊市,在定增終止宣告日那天,股票超額收益率顯著為負(fù);(2)熊市期間定增終止不會對股價造成太大影響:熊市期間股價低位徘徊,定增發(fā)布股價上漲動力有限,定增終止股價下跌幅度有限,整體而言,定增終止不會對股價造成太大影響;(3)牛市期間定增終止會對股價造成正向影響:牛市期間,內(nèi)外部新聞面偏暖,投資者風(fēng)險偏好上升,導(dǎo)致利好消息長短皆利好,利空消息短期利空長期利好,定增終止引起資金關(guān)注,股價上漲;(4)中小創(chuàng)板塊股票向上空間比主板大:中小創(chuàng)企業(yè)成長性較高,預(yù)期高導(dǎo)致估值高,資金青睞推動股價上漲,資金離去導(dǎo)致股價下跌,盤面小帶來股價波動性高;(5)內(nèi)部決策的定增終止對股價造成負(fù)面影響:最了解企業(yè)的人永遠(yuǎn)是內(nèi)部人,內(nèi)部決策的定增終止帶給投資者的信息整體偏負(fù);(6)牛市期間股票波動性顯著放大:牛市的資金效應(yīng)、投資者活躍度、羊群效應(yīng)等共同放大了股票的波動幅度。
[Abstract]:The listed companies of our country are large refinancing needs, issuance, allotment of shares and convertible bonds are currently listed companies take the major means of refinancing, the private placement due to the lower threshold, the process is relatively simple, becomes the first choice for many companies refinancing. There are many reasons given by the listed company for example, the liquidity shortage, the implementation of the project funds supporting, in different market conditions, will increase the impact on the company's stock price is not the same. There are some differences between the price set by the listed companies in the past few years and two secondary market transaction price, will usually have some discount, this discount will be on the original shareholders cause some damage, in the different stages of the damage will have varying degrees of amplification, resulting in sharp fluctuations in two stock market. In recent years due to the status of IPO China Yansai lake, refinancing The scale of capital is far more than the size of the first, the listed companies to use the refinancing policy in a timely manner for their own blood transfusion, the relatively rapid business expansion, the capital market has become a listed company to obtain funds for the most convenient channel, the listed company and the non-listed company gap caused by more and more. It is because of the listed company has so many advantages, queuing listed companies does not decrease, but housing prices have gone up, become a major phenomenon in China capital market. In order to standardize the financing behavior of Listed Companies in February 17, 2017, the Commission issued refinancing deal, and audit IPO has accelerated the capital market financing pattern is expected to usher in a new change. With the maturity of capital market and regulation changed, pressure is given by the listed company is more big, the refinancing deal released within a month of time has been financing for half In fact, with the increase began to withdraw, the number of listed companies, will increase the scale will become increasingly large, the case will be more and more determined by the stop. Research on the previously set by the experts and scholars, mostly for a given increase in the successful implementation of the company, which is a large part of the reason is due to the scheduled increase in Chinese appear late, and set by the termination of the case is relatively rare in the past, due to defects in the number of samples, it is difficult to study large-scale quantitative. This paper argues that the current China capital market has been relatively mature, and in recent years the rapid expansion of the constant increase in the scale of financing, the amount set by the termination of the company has enough for the study, this paper will target for that part of the company will increase the termination, through case studies and econometric methods to study the influence on the two level set by the termination of the market, The research results can not only make up for the deficiency of domestic, but also can provide relevant material set by the termination of the price impact to the community. The first event study, due to the recent stock market has experienced five years China concussion City, bear market, bull market, market crash situation more complex, a single set of to increase the impact on the market is not terminated, so this paper at the beginning of the market are classified, the last five years the market is bearish and bullish, research and interception of the corresponding time interval, in the hope of clarifying the termination set by the impact on the stock market in different market conditions. The bull and bear markets clear, this paper makes research on the event, as set by the termination announcement date for the event, and the extended 15 days together constitute the event window, through the observation window. Excess return rate of stock is significantly non zero to determine the event's influence. After the event was studied in this paper, in order to better understand the influence factors of excess stock returns, this paper continues to market the plate category, set by the reason for the termination of the three variables as explanatory variables to measure research, finally draws the following conclusions: (1) set by the end there is a strong announcement effect: whether bull or bear market, the increase in fixed termination announcement day stock excess return rate is significantly negative; (2) the bear period set by the termination will not cause too much impact on the stock price: During the bear market low, set by the release of price rising power Co., set by the termination of the share price decline is limited, overall, set by the termination will not cause too much impact on the stock price; (3) set by the termination of bull market caused the stock price positive effects: during the bull market, inside and outside News warmer, rising investor risk appetite, leading to good news is bad news is positive, the short-term bearish long-term positive, set by the termination caused by financial concerns, the stock price will rise; (4) a small plate stock up space than the motherboard: small record business growth is high, is expected to lead to high valuations, promote funds favor the stock price rise, leaving fund share prices drop, small disk bring stock price volatility is high; (5) the internal decision-making set by the termination of a negative impact on the stock price: the understanding of the people is always internal, internal decision-making set by the end of the message to investors and the overall negative; (6) during the bull market stock volatility significant amplification effect of bull market funds: investors, activity, herding and other common enlarge the stock volatility.

【學(xué)位授予單位】：北京外國語大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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