中国股票市场A股增发折价研究

An Empirical Analysis of SEO Underpricing of Chinese A-share Companies

本文通过一个基于二元股权结构下流通权价值的简单模型刻画增发股份的折价现象,导出增发股份上市首日收益与增发新股在增发后总股本中的比例正相关的结论。统计结果显示申购增发新股在上市首日可以获得平均为13%的超额收益,大大超出美国市场上的发行折扣。实证研究基本支持模型的结论,进一步证实了流通权价值的存在性。同时,发行价格倒数、发行规模、每股净资产、每股收益和交易所虚拟变量对首日收益也有比较显著的解释能力。实证研究的结果支持信息不对称与价格不确定性假说,但与价格压力假说不一致。

Dual ownership structure makes SEO underpricing and the relevant initial return important issues in security market. We put forward one simple model based on value of 'liquidity power' under this dual structure, and derive two implications: (ⅰ) investors of SEO can earn abnormal return when the seasoned equity become marketable; (ⅱ)the return is positively correlated to the ratio of new shares to total shares after the issue. We find average underpricing of about 13%, which is much higher than the discount in U. S market. Empirical evidences support the two implications above and hypothesis based on asymmetric information and uncertainty about value, but is not consistent with price pressure hypothesis.