【摘要】：國(guó)內(nèi)外學(xué)者研究都表明市場(chǎng)擇時(shí)現(xiàn)象普遍存在。所謂市場(chǎng)擇時(shí)是指公司在股價(jià)被高估的時(shí)候發(fā)行權(quán)益進(jìn)行融資,股價(jià)被低估的時(shí)候則回購(gòu)權(quán)益或者通過負(fù)債進(jìn)行融資。中國(guó)資本市場(chǎng)上存在融資管制。不同時(shí)期,針對(duì)首次公丌發(fā)行股票和股權(quán)再融資制定了不同的發(fā)行上市制度。因此引入政府管制背景研究我國(guó)資本市場(chǎng)的擇時(shí)行為十分重要。它有可能會(huì)更好的解釋中國(guó)資本市場(chǎng)上,公司管理層融資決策的現(xiàn)象及本質(zhì)。其次,本文還結(jié)合中國(guó)股票發(fā)行上市制度,研究上市公司融資決策在市場(chǎng)擇時(shí)程度上的不同表現(xiàn),探討市場(chǎng)時(shí)時(shí)理論在我國(guó)資本市場(chǎng)上的適用性。 本文以1996-2010年在我國(guó)滬深兩市進(jìn)行股權(quán)融資的上市公司為樣本,首先檢驗(yàn)了我國(guó)上市公司進(jìn)行股權(quán)融資時(shí)是否存在擇時(shí)行為,然后,結(jié)合我國(guó)融資管制的制度背景,分析研究了不同融資類型(IPO、再融資)市場(chǎng)擇時(shí)的程度的差異以及不同股票發(fā)行制度下市場(chǎng)擇時(shí)程度的異同,并進(jìn)一步檢驗(yàn)了產(chǎn)權(quán)性質(zhì)對(duì)公司市場(chǎng)擇時(shí)程度的影響。本文借鑒Pagano、Panetta和Zingales (1998)以及Alti(2006)的方法,以行業(yè)超常市值賬面比(行業(yè)市值賬面比的均值、中位數(shù)減去行業(yè)歷年平均水平)衡量公司的擇時(shí)時(shí)機(jī),研究發(fā)現(xiàn)：公司會(huì)選擇市場(chǎng)時(shí)機(jī)較好的時(shí)候進(jìn)行股權(quán)融資,并且行業(yè)市值賬面比較高時(shí)(市場(chǎng)行情好時(shí)),公司股權(quán)融資規(guī)模更大,會(huì)籌集更多的資金。鑒于管制程度的差異,我國(guó)上市公司再融資(SEO、配股)市場(chǎng)擇時(shí)程度高于IPO的擇時(shí)程度；并且對(duì)于IPO而言,核準(zhǔn)制下公司股權(quán)融資市場(chǎng)擇時(shí)程度更高；保薦制實(shí)施之后,公司股權(quán)融資的市場(chǎng)擇時(shí)程度高于保薦制實(shí)施之前。進(jìn)一步檢驗(yàn)發(fā)現(xiàn),產(chǎn)權(quán)性質(zhì)也會(huì)對(duì)公司的市場(chǎng)擇時(shí)程度產(chǎn)生影響：民營(yíng)企業(yè)的擇時(shí)程度高于國(guó)有企業(yè)；國(guó)有企業(yè)樣本中,再融資的擇時(shí)程度高于IPO時(shí)的擇時(shí)程度；民營(yíng)企業(yè)樣本中,再融資的擇時(shí)程度和IPO時(shí)擇時(shí)程度沒有顯著差異。本文按照融資類型對(duì)總樣本進(jìn)行了分組,發(fā)現(xiàn)：首次公丌發(fā)行(IPO)時(shí),民營(yíng)企業(yè)擇時(shí)程度高于國(guó)有企業(yè)；再融資時(shí),民營(yíng)企業(yè)的市場(chǎng)擇時(shí)程度高于國(guó)有企業(yè)。在區(qū)分現(xiàn)金持有量的分組樣本中,現(xiàn)金充裕的民營(yíng)企業(yè)IPO時(shí)的市場(chǎng)時(shí)機(jī)和市場(chǎng)擇時(shí)程度更高；現(xiàn)金緊缺的民營(yíng)企業(yè)再融資時(shí)的市場(chǎng)時(shí)機(jī)和市場(chǎng)擇時(shí)程度更高；現(xiàn)金充裕和現(xiàn)金緊缺的國(guó)有企業(yè)再融資時(shí)的市場(chǎng)時(shí)機(jī)和市場(chǎng)擇時(shí)程度均更高。IPO核準(zhǔn)制下,民營(yíng)企業(yè)的擇時(shí)程度更高；保薦制實(shí)施之后相比于實(shí)施之前,民營(yíng)企業(yè)的市場(chǎng)擇時(shí)程度更高。
[Abstract]:Scholars at home and abroad have shown that market timing phenomenon exists widely. The so-called market timing is when the company issues equity financing when the stock price is overvalued, and when the stock price is undervalued, it repurchase the equity or finance through the debt. There are financing regulations in China's capital market. In different periods, different systems of IPO and equity refinancing are established. Therefore, it is very important to introduce the background of government regulation to study the timing behavior of China's capital market. It may better explain the phenomenon and essence of financing decision in Chinese capital market. Secondly, this paper also studies the different performance of the financing decision of listed companies in the market timing degree, and discusses the applicability of the market time theory in China's capital market. Based on the sample of listed companies in Shanghai and Shenzhen stock markets from 1996 to 2010, this paper first examines whether there is timing behavior in equity financing of listed companies in China, and then combines with the institutional background of financing control in China. This paper analyzes and studies the different degree of market timing in different financing types (IPO, refinancing) and the similarities and differences of market timing degree under different stock issuance systems, and further tests the influence of property rights on the market timing degree of companies. Based on the methods of Pagano,Panetta, Zingales (1998) and Alti (2006), this paper measures the timing of a company by the book value ratio (the average value of the industry market to book ratio, the median minus the average of the industry average in the past years). The study found that companies choose better times for equity financing, and when the market capitalisation is higher (market conditions are good), companies raise more equity financing on a larger scale. In view of the difference of regulatory level, the market timing degree of refinancing (SEO,) of listed companies in China is higher than that of IPO, and for IPO, the timing degree of corporate equity financing market is higher under the system of approval. After the implementation of the sponsorship system, the market timing of corporate equity financing is higher than that before the recommendation system. It is found that the property right nature also affects the market timing degree of the company: the degree of timing of private enterprises is higher than that of state-owned enterprises, and the timing degree of refinancing is higher than that of IPO in the sample of state-owned enterprises; In the sample of private enterprises, there is no significant difference between the timing degree of refinancing and that of IPO. This paper classifies the total sample according to the type of financing, and finds that the degree of timing of private enterprises is higher than that of state-owned enterprises at the first time of public opening and issuing (IPO), and the market timing degree of private enterprises is higher than that of state-owned enterprises in refinancing. In the grouping samples of distinguishing cash holdings, the market timing and market timing of cash-rich private enterprises are higher when they are IPO, and the market timing and market timing of cash-scarce private enterprises are higher when they refinance. The market timing and market timing degree of state-owned enterprises with abundant cash and cash shortage are higher. Under IPO approval system, private enterprises have higher timing; After the implementation of the sponsorship system, private enterprises have a higher market timing than before.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F275

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