發(fā)布時(shí)間：2017-12-30 20:35

  本文關(guān)鍵詞：上市公司定向增發(fā)短期市場(chǎng)效應(yīng)的實(shí)證研究　出處：《北京外國(guó)語(yǔ)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： 定向增發(fā) 短期 市場(chǎng)效應(yīng) 事件研

【摘要】：2005年4月29日經(jīng)國(guó)務(wù)院批準(zhǔn),中國(guó)證券監(jiān)督委員會(huì)(簡(jiǎn)稱"中國(guó)證監(jiān)會(huì)")發(fā)布了《關(guān)于上市公司股權(quán)分置改革試點(diǎn)有關(guān)問題的通知》,股權(quán)分置改革試點(diǎn)工作開始啟動(dòng)。定向增發(fā)作為我國(guó)資本市場(chǎng)股權(quán)分置改革后推出的一種新型權(quán)益融資方式,現(xiàn)在已經(jīng)超過(guò)首次公開發(fā)行(IP0),成為資本市場(chǎng)權(quán)益再融資最主要的來(lái)源之一。對(duì)于發(fā)行人而言,相對(duì)于公開增發(fā)和配股融資,定向增發(fā)具有多重優(yōu)勢(shì),但近年來(lái)定向增發(fā)的快速發(fā)展也使得市場(chǎng)亂象叢生,引發(fā)了業(yè)界和學(xué)術(shù)界對(duì)于定向增發(fā)的廣泛關(guān)注和探討。本文圍繞定向增發(fā)短期市場(chǎng)效應(yīng)展開實(shí)證分析,運(yùn)用事件研究法,選取滬深兩市A股2016年1月1日至2016年12月31日期間公布定向增發(fā)公告的794家上市公司樣本作為研究對(duì)象,通過(guò)數(shù)據(jù)篩選得到了 488次定向增發(fā)的有效樣本數(shù)據(jù),以定向增發(fā)預(yù)案公告日為事件日T+0,事件窗口期為從[T-5,T+15]共21個(gè)交易日,估計(jì)窗為[T-120,T-30]共90個(gè)連續(xù)交易日,通過(guò)CAPM市場(chǎng)模型估計(jì)上市公司的正常收益率,進(jìn)而得出定向增發(fā)公告事件的超額收益率以及累計(jì)超額收益率,并對(duì)其進(jìn)行假設(shè)檢驗(yàn)。本文的主要的研究結(jié)論包括:市場(chǎng)對(duì)于定向增發(fā)公告不存在提前反應(yīng);定向增發(fā)公告短期內(nèi)對(duì)股價(jià)影響顯著,且市場(chǎng)效應(yīng)為正,定向增發(fā)公告窗口期內(nèi)的累計(jì)超額收益率為4.782345%;上市公司進(jìn)行定向增發(fā)權(quán)益融資時(shí)具有折價(jià)發(fā)行的偏好,488個(gè)有效樣本數(shù)據(jù)中共有421家上市公司采用了折價(jià)發(fā)行的方式進(jìn)行定向增發(fā),占比為所有上市公司的86.27%;發(fā)行價(jià)格是定向增發(fā)短期市場(chǎng)效應(yīng)的影響因素,折價(jià)發(fā)行的公司股價(jià)累計(jì)超額收益均值高于不折價(jià)發(fā)行的公司股價(jià)累計(jì)超額收益率均值;大股東是否參與并不是定向增發(fā)短期市場(chǎng)效應(yīng)的影響因素,非面向大股東增發(fā)的公司股價(jià)累計(jì)超額收益均值與面向大股東增發(fā)的公司股價(jià)累計(jì)超額收益率均值不存在顯著差異;企業(yè)性質(zhì)是定向增發(fā)短期市場(chǎng)效應(yīng)的影響因素,國(guó)企背景的公司股價(jià)累計(jì)超額收益均值高于非國(guó)企背景的公司股價(jià)累計(jì)超額收益率均值。本文深入探究和分析了定向增發(fā)公告短期內(nèi)的股價(jià)效應(yīng),進(jìn)而研究了不同的分組因素對(duì)于上市公司股票價(jià)格的影響,以期為定向增發(fā)的發(fā)行人主體、投資參與者、以及政府監(jiān)管層面提供借鑒,同時(shí)也為定向增發(fā)權(quán)益融資的理論研究、實(shí)踐活動(dòng)和政策實(shí)施提供相關(guān)參考和建議。
[Abstract]:In April 29th 2005, with the approval of the State Council, the China Securities Regulatory Commission (CSRC) issued a notice on the issues related to the pilot reform of the split share structure of listed companies. The pilot work of split share structure reform began. As a new type of equity financing mode after the split share structure reform in China's capital market, it has now exceeded the initial public offering (IP0). As one of the most important sources of capital market equity refinancing, for issuers, compared with public issuance and rights issue financing, targeted additional issuance has multiple advantages. However, the rapid development of private placement in recent years also makes the market chaos, which has caused the industry and academia to pay close attention to and discuss the issue of placement. This paper focuses on the short-term market effect of targeted placement to carry out an empirical analysis. By using the event research method, 794 samples of listed companies in Shanghai and Shenzhen A-shares from January 1st 2016 to December 31st 2016 were selected as the research objects. The effective sample data of 488 additional directional issuance were obtained through data screening. The date of announcement of the plan for directional additional issuance was the event day T _ 0, and the window period of the event was from the beginning of the event. [T-5T 15] has a total of 21 trading days, with an estimated window of. [T-120-T-30] has 90 consecutive trading days, and estimates the normal return rate of listed companies through CAPM market model. Then we get the excess return rate and cumulative excess return rate of the announcement event, and test their hypotheses. The main conclusions of this paper are as follows: the market does not have an early reaction to the announcement; The short-term effect of directional issuance announcement on stock price is significant, and the market effect is positive. The cumulative excess return rate in the window period of directional additional issuance announcement is 4.782345; There are 488 valid sample data of listed companies which have the preference of discount issue when financing the rights and interests of the listed companies. A total of 421 listed companies have adopted the method of discount issuance to carry out the directional additional issuance. The proportion is 86.27% of all listed companies; The issue price is the influence factor of the short-term market effect of the directional additional issue. The average accumulated excess return of the stock price of the discounted company is higher than the average of the cumulative excess return of the company's share price issued at the same price. Whether the majority shareholder is involved is not the influence factor of the short-term market effect. There is no significant difference between the average value of cumulative excess return of stock price of the company which is not oriented to the issuance of large shareholders and the average value of the cumulative excess return of the stock price of the company facing the issuance of large shareholders; The nature of the enterprise is the influence factor of the short-term market effect of the directional issuance. The average cumulative excess return of the stock price of the state-owned enterprise background is higher than that of the non-state-owned enterprise background. This paper deeply explores and analyzes the stock price effect in the short term of the directional placement announcement. Then it studies the influence of different grouping factors on the stock price of listed companies, in order to provide reference for the issuer, investment participants and government supervision. At the same time, it also provides relevant references and suggestions for the theoretical research, practical activities and policy implementation of equity financing.
【學(xué)位授予單位】：北京外國(guó)語(yǔ)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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