配股对股票长期收益的影响：基于改进三因子模型的研究

Long-run Return Performance Following Listed Rights Issue:Based on the Improved Three-factor Model

在中国证券市场中,配股一直是上市公司再融资的主要途径。配股行为是否影响公司股票的长期收益,这一问题具有重要的研究意义。本文以1999-2005年中国A股市场所有配股公司为样本,采用日历时间回归方法考察了配股后的股票长期收益。研究发现,配股样本主要集中于大公司,配股样本的股票收益和传统方法构造的因子收益时序上高度相关,配股后股票收益的长期低绩效并不是配股公司所特有的现象。本文进一步从模型设定偏误的角度改进了三因子模型,模型定价能力显著改善,并且从整体上减弱了配股发行的长期低绩效。

Rights issue is the primary type of listed Second Equity Offering （SEO） in Chinese securities market. It is important to examine that if the long-run return performance is affected by rights issue. This paper uses calendar-time regression and studies the long-run return performance following listed fight issue from 1999 to 2005. The results find that underperformance is concentrated primarily in big issuing firm and the underperformed firms have time series returns that covary with factor return constructed from classical three-factor model. The authors conclude that the underperformance is not unique to the issuing firms. Further study shows that the ability to price is improved through reconstructing the three-factor model and the improved model reduces the underperformance following listed rights issue as whole.