我国上市公司定向增发公告效应的实证研究

华中科技大学硕士学位论文我国上市公司定向增发公告效应的实证研究姓名：张晶晶申请学位级别：硕士专业：企业管理指导教师：夏新平20080430I2006583025%IIAbstractSinceequityprivateplacementwasadoptedinChina,ithasbeengettingpopularrapidlyandbecomeanimportantwayofequityrefinancingforChineselistedcompanies.Beoppositetothepublicofferings,announcementsofequityprivateplacementsgeneratepositivestockpriceeffects.Theannouncementoftheequityprivateplacementisdefinedasthemarketreactiononeachoftheannouncementdatefortransaction.Thispaperchosethelistedcompaniesthatstartequityprivateplacementfromtheeighth,May,2006,thedaybeginsManagementoflistedcompaniestoissuesecurities,asthesamples.Byusingthemethodsoftheeventstudy,weexaminestheannouncementeffectofequityprivateplacementandfindsomefactorsthatinfluencetheannouncementeffect.Atfirst,wereviewtheforeignanddomesticdocumentsofequityprivateplacement,thenexaminestheabnormalreturnandcumulativeabnormalreturnoftheeventdate,andfindsomefactorsthatinfluencetheannouncementeffect.Regardingthesefactorsasindependentvariable,andabnormalreturnonannouncementdayasdependentvariable,weestablishalinearregressionmodel.WeanalyzethemarketreactionontheannouncementdatesoftheDirectors’BoardMeeting,theShareholders’Boardmeeting,theChinaSecuritiesRegulatoryCommission’spermission,andthecompletionoftheequityprivateplacement.Ourstudyfindsthat,thereisasignificantpositiveannouncementeffectsonthefourdays.Wealsofindthattheannouncementseffectsweakensastheprocessoftheequityprivateplacementgoeson.Theregressionresultsshowthat,theownershipconcentrationintherange(25%),thegrowthopportunities,financialrestructuringandthesharechangeofthelargestshareholderhavesignificantpositiveeffectonthediscount-adjustedabnormalreturn.KeywordsEquityprivateplacementAnnouncementeffectAbnormalreturnMonitoringhypothesisInformationhypothesis111.11IPO2SEO3452006582008414265.4111441.221.2.11.2.22002(1)(2)A31.3(1)122t(2)2“”3“”44“”5“”6“”1-11-1522.1(IPO)(SEO)(PublicOffering)(RightIssue)(PrivatePlacement)(AnnouncementEffect)AR(AbnormalReturn)ititAR=itRmtR(2-1)itRmtRCAPM()APT()CAPM70APT6(1)(2)(3)itiimiitRRαβε=++αβαβ2.22.2.1(InformationalEfficiency)7Fama(1965)(EMH)“”“”Roberts(1967)(1)(2)(3)(1)(Weak-FormEfficiency)(2)(Semi-strong-FormEfficiency)(3)(Strong-FormEfficiency)82.2.2(1)ModiglianiMiller(1958)MMMMMMDeAngeloMasulis(1980)(2)(asymmetricalinformation)“”Ross(1977)“”“”Ross“——”LelandPyle(1977)9MyersMajluf(1984)“”MillerRock(1985)LucasMcdonald(1990)10HerztelSmith(1993)MyersMajluf(1984)MyersMajlufHerztelSmith(1993)MyersMajluf(3)(PeckingOrder)Myers(1984)Myers(4)11JensenMeckling(1976)“”Jensen(1986)Jensen“”“”(5)MyersMajluf12MillerRock(1985)AmbarishKoseWilliams(1987)CooneyKalay1993MyersMajluf1984“”(6)Scholes(1972)ScholesKalayShimrat(1986)13(7)GalaiMasulis(1976)(8)Wruck(1989)(0%5%)(25%)(5%25%)142.3Wruck(1989)1979-1985992006059204.41%2.52%1.89%0.0095%0.0345-25%-0.00105%25%0.0135%HertzelSmith(1993)1980111987531106(-90)(-30)3.28%1.72%5%(-29-10)(-2910)4.99%8.78%1%Wruck(-30)0.6281%150.0785%-0.0791%EuricoJ.FerreiraLeRoyD.Brooks(1999),(-30)3.02%(-30)4.40%JohanMolin(1996)1987-1994762.74%1%3.21%1%25-50%1%HamishD.Anderson,LawrenceC.Rose,StevenF.Cahan(2006)19901120021231557016PROMV()1%INVHertzelSmith(1993)HertzelSmith(1993)2.4XuepingWu,ZhangWangandJunYao(2004)1989-1997(2006)2002-2005(2007)573011.8%17“”70%“”“”20%“”14.12%.(2007)“”(1)(2)(3)(2007):(1)(2)(3)(4)“”(5)18(6)(2006)2.51933.1:(1)()();(2);(3)(1)AAABBA(2)(3)(4)(5)(6)1227943203.23.2.1(EventStudy)3.2.2213.2.3itAR(2002)(MarketModel)i,itR=iα+iβ*,mtR+,itε(3-1),itEε=0,itVARε=2,itσ(3-2),itR=(),,1ititPP−−/,1itP−(3-3),mtR=(),,1mtmtPP−−/,1mtP−(3-4)RititRmtmt22PititPmtmtiαiβiitεiαiβ(-180-31),itAR=,itRiαiβ*,mtR(3-5),itARit3.2.4ARCARtttAR0H0:tAR=0,H1:tAR≠0ttAR=1n,1nitiAR=∑(3-6)()tVARAR=()2,111nittiARARn=−−∑(3-7)t=()ttARVARARn(3-8)CARH0CAR(t1t2)=0H1CAR(t1t2)≠012(,)tt()12,CARtt=1211(,)niiCARttn=∑(3-9)23()12(,)VARCARtt=()2121211(,)(,)1niiCARttCARttn=−−∑(3-10)12(,)iCARtti12(,)tt:12(,)iCARtt=21,tititAR=∑(3-11)3.3Wruck(1989)0%5%25%5%25%5%243.43.4.190%Wruck(1989)0adjAR()00001*offeradjPPSARARSP−−∆=+(3-12)S∆0S,0P1P−offerP0adjAR0AR3.4.2(1)(()OwnershipConci∆)Wruck(1989)iOwnership1OwnershipOwnership1level1OwnershipOwnership=Ownership1level11Ownershiplevel=252OwnershipOwnership1level2Ownership=0Ownership1level2level2Ownership=1Ownershiplevel−;Ownership2level2Ownership=21levellevel−;3OwnershipOwnership2level3Ownership=0Ownership2level3Ownership=2Ownershiplevel−iOwnershipafterbeforeiiOwnershipOwnership−()OwnershipConci∆(2)(FirmSize)“”(3)(IssueSize)Scholes(1972)(4)(IssueSize/FirmSize)(5)(MV/BV)26(6)(Control)LelandPyle(1977)3.4.3(1)(Control)10(2)(FinancialRestrucuring)2710.(3)(InsiderInvestor)103-13-10adjAR()0001*offerPPSARSP−−∆+(1)()1OwnershipConc∆11afterbeforeOwnershipOwnership−(2)()2OwnershipConc∆22afterbeforeOwnershipOwnership−(3)()3OwnershipConc∆33afterbeforeOwnershipOwnership−FirmSizeIssueSize*IssueSize/FirmSize/MV/BV/ControlControl10FinancialRestrucuring10InsiderInv