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论文编号：	3255
作者编号：	2120092319
上传时间：	2011/6/6 11:46:11
中文题目：	我国上市公司定向增发长期市场反应及其影响因素研究
英文题目：	Research on Long-run Performance following Private Placements of Equity and its influencing factors
指导老师：	陆宇建
中文关键字：	定向增发，长期市场反应， 发行对象，利益输送
英文关键字：	private equity placement, long-run performance, subscribers, tunneling
中文摘要：	随着我国股票市场的蓬勃发展，上市公司定向增发无论从数量还是金额都呈现出大幅增长之势，关于定向增发的研究也随之更加深入。和我国相比，国外的资本市场发展较早，对定向增发进行了较为深入的研究。国外学者研究显示，定向增发有显著为正的短期股价效应，而长期表现普遍不佳，表现出宣告时投资者对定向增发上市公司价值的估计过高的现象。 然而，我国市场由于起步较晚，定向增发的有关法律法规还有待完善和落实，关于定向增发的相关研究才刚刚起步，尤其是关于定向增发的长期市场反应还研究较少。2006年5月中国证监会颁布的《上市公司证券发行管理办法》规定，机构投资者所认购股份锁定期为一年，大股东及关联方购买股份锁定期为三年。因此本文主要对上市公司长期市场反应及其影响因素进行了研究。 本文选择了我国A股市场2006年和2007年定向增发的90家上市公司为研究样本，运用买入-持有超额收益模型计算了这些公司增发后三年长期超额收益，使用了行业规模配对和规模市值比配对两种配对方法选择了配对公司。 本文通过事件研究法和多元线性回归，得出以下研究结论：我国上市公司定向增发后的长期超额收益为负，并且呈现逐年下降趋势；定向增发的上市公司中发行对象中包括大股东的公司所获得长期收益明显高于针对机构投资者增发的公司；定向增发中利益输送程度与定向增发长期股价超额收益呈显著负相关关系。
英文摘要：	As the booming development of the stock market of our country, more and more listed companies are resorted to private placement resulted in increasing amount of money raised. And more researches have been done about this subject. According to the early development of foreign stock markets, foreign scholars have a large number of researches about private placement and also much deeper than that in our country. Researches show that public firms that place equity privately experience positive announcements effects, with negative post-announcement stock-price performance. Investors are overoptimistic about the prospects of firms issuing equity. However, since the stock market in China is not as mature as foreign markets, our laws and regulations are not very specific and perfect. The regulations about private placement are put forward since 2006. As a result, the researches about this subject are not very complete and intensive, especially about the long-run performance after the announcement day. According to our regulations, specific investors are banned to sell their stocks subscribed in the private placement, which is 1 year for institutional investors and 3 years for major shareholders. Based on that background, this dissertation mainly discusses about 3 year post-announcement stock-price performance of the listed companies and the influence factors. In this dissertation, 90 samples of the listed firms which resort to private placement in 2006 and 2007 are chosen to be the research samples. Also, buy-and-hold models are used to calculate the long-run stock abnormal return. The comparing samples are adjusted by industry-size and size-book-to-market-ratio separately. By event study and multiple linear regressions, we come to the conclusion that listed companies in China have negative after- announcement performance which shows a descending trend in 3 years time. The listed companies whose shares are all subscribed by the major shareholders over perform the others. Also, the extent of tunneling is negatively related to the long-run performance after the announcement day.
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