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论文编号：	834
作者编号：	2120061988
上传时间：	2008/6/26 12:51:52
中文题目：	中国上市公司增发新股公告效应实
英文题目：	Empirical study on the announc
指导老师：	刘建
中文关键字：	公开增发;　非公开增发;　公告效
英文关键字：	Public seasoned equity offerin
中文摘要：	增发融资自1998年6月在我国正式采用以来，增发新股数量、增发新股融资额及其占市场融资总额的比重均迅速增长，增发融资已成为我国上市公司重要的再融资手段之一。随着股权分置改革的不断深化，增发融资呈现出与以往模式不同的新特点，公开增发遭到上市公司的冷遇，而非公开增发则受到上市公司青睐，成为再融资市场的新贵。面对增发融资的新特点，投资者对增发后公司股票的价值的看法则是仁者见仁、智者见智，增发融资公告后股价的波动也呈现出不同的变动趋势。本文主要对投资者对增发公告的反应体现在股价上的变化的大小和影响股价变动的因素进行研究。本文以2003年1月1日至2008年2月28日期间上市公司的公告增发事件为样本，采用规范分析和实证分析相结合的方法对我国上市公司增发新股公告效应及其影响因素进行研究。本文首先对国内外有关增发新股公告效应的理论和实证研究成果进行回顾和梳理，并以此为理论基础，结合我国的具体情况，检验我国增发新股的公告效应并分析影响我国上市公司增发公告效应的可能因素。在对增发新股公告效应进行实证分析时，本文主要采用事件研究法对上市公司增发新股公告期间股票的平均异常收益率和累计平均异常收益率进行检验，并将增发分为公开增发和非公开增发、股权分置改革前和股权分置改革后进行分析，分别检验是否具有公告效应。在分析公告效应各影响因素时，本文以增发公告期(-1，+3)的累计平均异常收益率为被解释变量，以代表各影响因素的指标为解释变量，建立了多元线性回归模型以考察各指标是否对公告效应有显著影响。对公告效应的检验结果表明，我国上市公司增发具有显著负公告效应。其中，公开增发具有显著的负公告效应，非公开增发在公告日具有正的平均异常收益率，但不显著；股权分置改革前后增发新股均存在负的公告效应，但是股权分置改革后负公告效应显著小于股改前。对增发新股各影响因素进行回归分析的结果显示，我国上市公司成长性、大盘走势、增发前的资金储备以及股权分置改革与公告期累计平均异常收益率显著相关；非流通股比例、增发前资产负债率、高管持股比例、增发相对发行量和募集资金的相对数量与公告期累计异常收益率没有显著的相关性。最后，根据本文的研究结论提出相应的政策建议。
英文摘要：	Since seasoned equity offering(SEO) was adopted in 1998, it has been getting popular rapidly and become an important way of equity refinancing for Chinese listed companies. With the reform of non-tradable share, SEO is showing a different mode and feature. Non-public SEO is more popular than Public SEO. Because of the new feature, investors have different opinion about the price of the stock after SEO, and the stock price has taken a different trend of change. This paper is to do the research of the amount of share price fluctuating resulted from SEO announcement and the factors influencing share price. In order to analyze the announcement of SEO, the author uses the sample data of the listed companies from January 1st, 2003 to February 28th, 2008. By using the methods of theoretical analysis and empirical analysis, this paper examines the impact of seasoned equity offering on shareholder wealth and identifies the relevant factors that explain the associated price reactions. At first, we review the foreign domestic documents of seasoned equity offerings, and find some factors that influence the announcement effect. The author uses the method of Event study to analyze the announcement effect of SEO by testing the AAR and CAR. Then the author analyzes the announcement effect of Public SEO and Non-public SEO and makes a comparison of the announcement effect before non-tradable share reform and after non-tradable share reform. At last, regarding these factors as independent variable and abnormal return on announcement day as dependent variable, we establish a linear regression model to analyze the influencing factors. The empirical results of this paper show significant negative announcement effects of seasoned equity offering. Public SEO has significant negative announcement effects and Non-public SEO shows a positive AAR on the announcement day. The announcement effects before non-tradable share reform and after non-tradable share reform both have the significant negative announcement effects, but the announcement effect after non-tradable share reform is smaller. Then we examine the linear regression model. The multivariate regression results show growth opportunities, management holding stock proportion, circulating stock capital, stock market trend and non-tradable share reform have significant effects on CAR. Non-tradable proportion, the DBIT, management holding stock proportion, stock shares and the financing capital have insignificant negative effect on CAR. At last, according to research conclusions, this paper gives some suggestion.
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