A股市場定向增發(fā)超額收益分析
發(fā)布時間：2018-08-02 09:19
【摘要】：自2006年5月8日頒布實施的《上市公司證券發(fā)行管理辦法》首次明確給出了非公開發(fā)行股票（即定向增發(fā)）的條件和程序，由于定向增發(fā)具有不增加即期擴容壓力、門檻低、發(fā)行周期短等獨特優(yōu)勢，很快成為中國上市公司再融資最重要方式。截至2012年12月31日，全體A股上市公司已成功實施定向增發(fā)907例，融資規(guī)模達到18018.94億元。 因為定增價格一般較市場價格存在一定折扣，且參與起點很高，法律規(guī)定參與對象不得超過10人，因此定向增發(fā)在一級市場上的頗受機構(gòu)投資者青睞。 歷史上一級市場參與定向增發(fā)的超額收益顯著，從2006年1月至2012年底（剔除尚未解禁或無法查詢解禁日期的284只定增股），以滬深300為基準，一級市場定向增發(fā)超額收益平均達到77%，獲得正向收益的概率達到76.6%，絕對收益上，，平均收益達到82.5%，獲得正向收益的概率超過64.%。其中允許機構(gòu)投資者參與的定增項目同樣收益頗豐，據(jù)筆者統(tǒng)計，相對于滬深300超額收益上，平均收益達到52.7%，獲得正向收益的概率達到74%。 然而，定向增發(fā)項目依舊難逃打經(jīng)濟大勢的影響。隨著市場走弱，定增破發(fā)率越來越為人所關注。好買基金研究中心統(tǒng)計1，定增項目的收益率與破發(fā)率基本呈反比的走勢。在2006年，整個定向增發(fā)的市場回報了投資者300%以上的回報，在隨后的2007年-2010年，市場每年的回報在50%以上。但2011年開始單邊下行的市場，給定增市場帶來了重創(chuàng)。2011年定增市場整體的收益為13.03%，破發(fā)率高達64.25%。 那么，究竟是什么因素影響了定向增發(fā)在一級市場上的超額收益表現(xiàn)，二級市場的投資者是否同樣有機會在定向增發(fā)中獲益？定增一級和二級市場交易收益在2011年下半年以來出現(xiàn)的較大回撤是否意味著定增優(yōu)勢已成歷史？ 綜合上述現(xiàn)象，本文回顧國內(nèi)外關于定向增發(fā)的主要研究文獻；梳理了A股市場定向增發(fā)的歷程、基本流程和現(xiàn)象；隨后選取2006年1月1日至2012年12月31日之間的623只已解禁定增個股作為統(tǒng)計樣本，通過市場情緒、財務股本、定增方案、定增供求四大維度的量化指標，剖析影響定向增發(fā)一級市場與二級市場超額收益的關鍵變量，建立定增公告日折溢價模型和定增公告日后超額收益模型，進而探討在定增市場中尋找超額收益的機會。
[Abstract]:Since May 8, 2006, the "measures for the Administration of Securities issuance of listed companies" has for the first time clearly given the conditions and procedures for the non-public issuance of shares (i.e., directional additional issuance). Due to the fact that additional directional issuance does not increase the pressure of immediate expansion, the threshold is low. Short issuance cycle and other unique advantages soon become the most important way of refinancing listed companies in China. As of December 31, 2012, all A-share listed companies have successfully implemented 907 additional targeted offerings, with a financing scale of 1.801894 trillion yuan. Because the fixed increase price generally has a certain discount than the market price, and the starting point of participation is very high, the law stipulates that the object of participation must not exceed 10 people, so directional additional issuance in the primary market is favored by institutional investors. From January 2006 to the end of 2012 (excluding 284 listed shares that have not yet been lifted or unable to inquire about the date of lifting the ban), the first-level market participation in the placement of additional shares has been remarkable, taking the CSI 300 as a benchmark. In the first order market, the average excess income of directional issuance is 77, the probability of obtaining positive income is 76.66.The absolute income is 82.5, and the probability of obtaining positive income is more than 64.00. According to the author's statistics, compared with the Shanghai and Shenzhen 300 excess returns, the average income is 52.7, and the probability of obtaining positive income is 74. However, the targeted issuance project is still difficult to escape the impact of the economic trend. As the market weakens, will increase break rate more and more people pay attention to. Good buy fund research center statistics 1, the yield of fixed increase project and break rate basically show the trend of inverse proportion. In 2006, the overall market returned more than 300 percent of investors' returns, followed by an annual return of more than 50 percent from 2007 to 2010. But the markets that started falling unilaterally in 2011 were hit hard by a given increase. Overall earnings for 2011 were 13.03, with a break rate of 64.25. So, what factors affect the performance of additional placement in the primary market, whether investors in the secondary market also have the opportunity to benefit from targeted placement? Does the large pullback of trading earnings in the primary and secondary markets since the second half of 2011 mean that the fixed growth advantage has become a thing of the past? Synthesizing the above phenomena, this paper reviews the main research literature on the placement of the A share market at home and abroad, combing the course, basic process and phenomenon of the A share market. Then, 623 stocks that have been released from January 1, 2006 to December 31, 2012, are selected as statistical samples. Through market sentiment, financial equity, fixed increase scheme and quantitative index of four dimensions of increasing supply and demand, This paper analyzes the key variables that affect the excess returns in the primary and secondary markets, establishes the models of the daily discount premium of the fixed increase announcement and the excess return after the fixed increase announcement, and then probes into the opportunities of looking for the excess returns in the fixed increase market.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51
本文編號：2158974
[Abstract]:Since May 8, 2006, the "measures for the Administration of Securities issuance of listed companies" has for the first time clearly given the conditions and procedures for the non-public issuance of shares (i.e., directional additional issuance). Due to the fact that additional directional issuance does not increase the pressure of immediate expansion, the threshold is low. Short issuance cycle and other unique advantages soon become the most important way of refinancing listed companies in China. As of December 31, 2012, all A-share listed companies have successfully implemented 907 additional targeted offerings, with a financing scale of 1.801894 trillion yuan. Because the fixed increase price generally has a certain discount than the market price, and the starting point of participation is very high, the law stipulates that the object of participation must not exceed 10 people, so directional additional issuance in the primary market is favored by institutional investors. From January 2006 to the end of 2012 (excluding 284 listed shares that have not yet been lifted or unable to inquire about the date of lifting the ban), the first-level market participation in the placement of additional shares has been remarkable, taking the CSI 300 as a benchmark. In the first order market, the average excess income of directional issuance is 77, the probability of obtaining positive income is 76.66.The absolute income is 82.5, and the probability of obtaining positive income is more than 64.00. According to the author's statistics, compared with the Shanghai and Shenzhen 300 excess returns, the average income is 52.7, and the probability of obtaining positive income is 74. However, the targeted issuance project is still difficult to escape the impact of the economic trend. As the market weakens, will increase break rate more and more people pay attention to. Good buy fund research center statistics 1, the yield of fixed increase project and break rate basically show the trend of inverse proportion. In 2006, the overall market returned more than 300 percent of investors' returns, followed by an annual return of more than 50 percent from 2007 to 2010. But the markets that started falling unilaterally in 2011 were hit hard by a given increase. Overall earnings for 2011 were 13.03, with a break rate of 64.25. So, what factors affect the performance of additional placement in the primary market, whether investors in the secondary market also have the opportunity to benefit from targeted placement? Does the large pullback of trading earnings in the primary and secondary markets since the second half of 2011 mean that the fixed growth advantage has become a thing of the past? Synthesizing the above phenomena, this paper reviews the main research literature on the placement of the A share market at home and abroad, combing the course, basic process and phenomenon of the A share market. Then, 623 stocks that have been released from January 1, 2006 to December 31, 2012, are selected as statistical samples. Through market sentiment, financial equity, fixed increase scheme and quantitative index of four dimensions of increasing supply and demand, This paper analyzes the key variables that affect the excess returns in the primary and secondary markets, establishes the models of the daily discount premium of the fixed increase announcement and the excess return after the fixed increase announcement, and then probes into the opportunities of looking for the excess returns in the fixed increase market.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51
【參考文獻】
相關期刊論文 前3條
1 章衛(wèi)東;;定向增發(fā)新股與盈余管理——來自中國證券市場的經(jīng)驗證據(jù)[J];管理世界;2010年01期
2 汪超;;從定向增發(fā)中尋找超額收益[J];股市動態(tài)分析;2011年27期
3 周勤業(yè),劉宇;上市公司股權(quán)再融資創(chuàng)新的比較與分析[J];證券市場導報;2005年09期
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