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论文编号：	3232
作者编号：	2120092395
上传时间：	2011/6/5 17:30:33
中文题目：	我国上市公司定向增发新股公告效应的实证研究
英文题目：	Empirical Study on Announcement Effect of Private Placement in Chinese Stock Market
指导老师：	余娟
中文关键字：	定向增发 公告效应 事件研究法 投资者类别
英文关键字：	Private placement Announcement effect Event study Investor category
中文摘要：	资金是企业的血液，企业如何筹集项目投资和生产经营所需资金一直是财务管理学实务界和学术界关注的重点。配股、公开增发新股和定向增发新股是我国上市公司股权再融资的三种方式。随着《上市公司证券发行管理办法》的公布和股权分置改革的顺利实施，定向增发新股成为上市公司股权再融资的主要方式，2006~2010年定向增发共融资15821.13亿元，几乎接近前10年配股和公开增发融资之和。由于我国定向增发起步较晚，国外学者对定向增发的研究很少涉及我国证券市场实际情况，国内学者的研究也大多局限在理论层面。为了弥补这一不足，本文将通过理论分析和实证研究相结合的方式，对我国上市公司定向增发新股进行深入、系统的研究，以便为证券监管部门完善融资政策提供理论依据，同时为社会公众投资者参与定向增发提供新的指导。本文研究内容主要包括以下三个方面： 首先，从融资理论、融资目的和融资政策三个层面揭示定向增发成为我国上市公司股权再融资主要方式的原因。从融资理论（信息不对称）角度分析，定向增发的发行对象是控股股东和机构投资者，他们具有信息优势，当其愿意认购定向增发发行的股份时，向二级市场传递出公司价值被低估的积极信息，从而引起股票价格上涨。从融资目的角度分析，定向增发后控股股东实际控股比例提高，上市公司更容易获得控股股东的优质资产，推动公司未来市场价值提高。从融资政策角度分析，定向增发相对于配股、公开增发，不仅没有财务上的硬性要求，而且操作简便，定价方式更灵活，程序简单。基于上述原因，本文提出定向增发新股是我国上市公司股权再融资的最优选择。 其次，本文采用事件研究法，以2006年5月8日~2010年12月31日宣告定向增发新股的460家上市公司作为研究样本，以预案公告日为事件发生日，定义一个在事件发生日前后21天的事件窗口，通过计算样本公司超额收益率和累计超额收益率，对定向增发的公告效应进行测度。实证结果表明：（1）上市公司定向增发新股可以在定向增发公告日获得正的公告效应，平均超额收益率AAR为1.83%，且在1%的水平上高度显著；（2）定向增发的公告效应主要集中在定向增发公告日附近，距离定向增发公告日越近，公告效应越明显，CAR(-2,2)为1.52%，CAR(-1,1)为2.30%，且分别在5%、1%的水平上高度显著。 最后，本文建立多元回归模型探讨了投资者类别与定向增发新股公告效应的关系。实证结果表明：（1）向关联股东定向增发的公告效应要好于向非关联股东定向增发的公告效应；（2）公司规模越大，定向增发的公告效应越小；（3）关联股东认购比例越高，定向增发的公告效应越好。这是由于我国证券市场存在信息不对称，当向关联股东定向增发新股或关联股东认购比例较高时，向市场传递出公司价值被低估、公司具有良好未来前景的积极信号，从而公司短期股票价格表现会更好。而公司规模越大，说明信息不对称程度越小，定向增发的公告效应就越小。
英文摘要：	The fund is the blood of the company. The academic and practical fields of financial management focus on the issue of how to raise the money that the corporate investment and production need. There are three ways to refinance in China, including placement, public issuance and private placement. With the announcement of “Administrative Measures for the issuance of securities of listed companies” and the implementation of the split share structure reform, private placement becomes the main method of re-financing. From 2006 to 2010, private placement refinances 1.58 trillion. Because the private is short, foreign scholars’ research never concerns about our actual situation, Chinese scholars spend their most time on the theoretical field. To compensate this shortcoming, this paper researches the private placement through theoretical analysis and empirical study in order to provide a theoretical basis to securities regulatory and new guidance to public investors. This paper includes three parts: Firstly, this paper reveals the reason why the private placement becomes the main method to refinance through the theory, purpose and policies. From financing theory (information asymmetry) perspective, the object of private placement is the controlling shareholder and institutional investors; they have information superiority, when they are willing to subscribe the shares issued by private placement, it sends a message that the company is undervalued to secondary market. From the purpose perspective, the proportion of controlling shareholder will increase after the private placement, it is easier to get the quality assets and promote the company’s future market value increase. From the policies perspective, compared with the placement and public issuance, private placement doesn’t have the rigid financial requirements, easy to operate, the pricing is more flexible. For these reasons, this paper proposes that the private placement is the best way of re-financing. Secondly, this paper uses event study method, makes the listed companies that announced private placement as study samples from 2006 to 2010, defines a 21 days as the event window. By calculating the abnormal return and the cumulative abnormal return of sample companies, this paper measures the announcement effect of private placement. The empirical results show that: (1) the listed companies can get a positive announcement on the private placement announcement date, the average abnormal return is 1.83% and has the highly significant in 1% level; (2) private placement announcement effect is mainly near the announcement date, the cumulative abnormal return is 1.52 in event window (-2,2), the cumulative abnormal return is 2.30% in event window (-1,1), and they are highly significant in level 5% and 1%. Finally, this paper uses the multiple regression models to study the relationship between the type of investor and the announcement effect of private placement. The empirical results show that: (1) the announcement effect of private placement to related shareholders better than the announcement effect of private placement to non-related shareholders; (2) the larger the company, the smaller the announcement effect of private placement; (3) the higher the proportion of the related shareholders to subscribe, the better the announcement effect of private placement. This is due to Chinese securities market information asymmetry, when the private placement sends the shares to related shareholders, it gives good information to market that the company has a good future, so the company short-term stock price has a better job. When the company is large, it indicates that the degree of asymmetric information is small, so the announcement effect of private placement is small.
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