【摘要】：隨著我國A股再融資市場規(guī)模逐步擴(kuò)大，定向增發(fā)作為一種主要的再融資手段，在發(fā)行過程中出現(xiàn)的折價(jià)現(xiàn)象值得關(guān)注。國內(nèi)外學(xué)者已經(jīng)提出了一些有影響力的假說，例如監(jiān)控成本假說、信息不對稱假說、管理塹壕假說等。A股市場定向增發(fā)的股份一般具有1到3年的鎖定期，而鎖定期所帶來的流動(dòng)性約束成本對定向增發(fā)折價(jià)影響的相關(guān)研究明顯不足。本文旨在通過研究流動(dòng)性約束對定向增發(fā)折價(jià)的影響，在此基礎(chǔ)上進(jìn)一步研究大股東利益輸送和定向增發(fā)折扣間的關(guān)系。 理論分析中，本文參考Longstaff et al.(2003)[1]的非流動(dòng)資產(chǎn)定價(jià)理論，在此基礎(chǔ)上建立定向增發(fā)的流動(dòng)性約束理論模型，理論上說明了定向增發(fā)中因?yàn)殒i定期而帶來的流動(dòng)性約束成本對新增股份發(fā)行折價(jià)的影響。參考黃建歡與尹筑嘉(2008)[2]通過構(gòu)建在資產(chǎn)注入情形下定向增發(fā)中控股股東和中小股東之間的利益均衡模型，從理論上說明定向增發(fā)中控股股東有通過注入資產(chǎn)方式實(shí)現(xiàn)利益輸送的動(dòng)機(jī)。理論分析部分通過運(yùn)用Matlab計(jì)算出理論模型下的流動(dòng)性約束非常顯著，鎖定期為1年的資產(chǎn)，流動(dòng)性約束成本引起的折價(jià)約占定向增發(fā)上市公司市場價(jià)格10%-30%。 考慮到國內(nèi)股權(quán)結(jié)構(gòu)集中的現(xiàn)狀，在實(shí)證研究中，將投資者分為機(jī)構(gòu)投資者和控股股東及其關(guān)聯(lián)方兩類，這兩類投資者中前者有著市場績效的強(qiáng)約束，，而后者重視上市公司未來的現(xiàn)金流(La Porta etal.(1999)[35])，因此在定向增發(fā)中面臨著不同的流動(dòng)性約束。通過實(shí)證研究定向增發(fā)折扣和流動(dòng)性約束成本的變量之間關(guān)系，得出的結(jié)論是機(jī)構(gòu)投資者相比控股股東面臨更大的流動(dòng)性約束成本。進(jìn)一步的實(shí)證研究認(rèn)為控股股東的高折扣認(rèn)購新發(fā)行股份在發(fā)行日稀釋了中小股東的權(quán)益，定向增發(fā)后上市公司業(yè)績表現(xiàn)并不足以補(bǔ)償中小股東，因此大股東通過定向增發(fā)實(shí)現(xiàn)了利益輸送。定向增發(fā)的高折扣源自控股股東對增發(fā)發(fā)行的定價(jià)權(quán)，以及對擬投資項(xiàng)目或擬注入資產(chǎn)擁有的信息不對稱優(yōu)勢。
[Abstract]:With the expansion of the A share refinancing market in China, as a major means of refinancing, the phenomenon of discount in the issuing process is worthy of attention. Some influential hypotheses have been put forward by domestic and foreign scholars, such as monitoring cost hypothesis, information asymmetry hypothesis, management trench hypothesis and so on. However, the effect of liquidity constraint cost brought by locking time on the discount of directional placement is obviously insufficient. The purpose of this paper is to study the effect of liquidity constraint on the discount of directional additional offering, and on this basis, to further study the relationship between the interest transmission of large shareholders and the discount of directional additional offering. In the theoretical analysis, this paper, referring to the pricing theory of non-current assets proposed by Longstaff et al. (2003 [1], establishes the liquidity constraint theory model of directional placement. This paper theoretically explains the effect of liquidity constraint cost on the discount of new stock issuance. Referring to Huang Jianhuan and Yin Zuojia (2008) [2], by constructing the model of interest balance between controlling shareholders and minority shareholders in the case of asset injection, It is theoretically explained that the controlling shareholder has the motive to realize the transmission of benefits by injecting assets. In the theoretical analysis part, the liquidity constraints under the theoretical model are calculated by using Matlab. The assets with a lock period of one year, the discount caused by the liquidity constraint cost is about 10 to 30 percent of the market price of the listed companies. Considering the present situation of concentrated ownership structure in China, investors are divided into institutional investors, controlling shareholders and their related parties in the empirical research. The former of the two types of investors have strong constraints on market performance. The latter pays attention to the future cash flow of listed companies (La Porta etal. (1999) [35], so they face different liquidity constraints in the IPO. Based on the empirical study of the relationship between the variables of directional additional offering discount and liquidity constraint cost, the conclusion is that institutional investors face greater liquidity constraint cost than controlling shareholders. Further empirical research shows that the high discount of controlling shareholders in the new issue diluted the rights and interests of minority shareholders on the issue day, and the performance of the listed companies after the targeted placement is not enough to compensate the minority shareholders. As a result, the major shareholders through the directional issuance of the realization of the benefits of transmission. The high discount of directional placement originates from the pricing power of the controlling shareholder to the additional issue and the information asymmetry advantage to the project to be invested or the assets to be injected.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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