增发市场反应研究及理论解释

Reaction to the Seasoned Equity Offerings and Theoretical Interpretation

本文针对2001年以来国内股票市场先抑后扬的增发现象,在归纳中西方增发反应理论解释的基础上,提出了六种理论猜想,并分别建立了由四个待检验假设构成的检验模型。在此基础上,本文以实证数据为依据分析了每种理论的适用性,并得出预期代理问题是导致国内增发负反应的主要原因。最后,通过对理论和实证的总结得出三点启示:第一,代理问题已经成为国内股民普遍关注的问题,并在很大程度上影响着市场反应;第二,上市公司随意的融资行为会向市场传递不可逆转的负面信号,这种负面影响不会随着释放这一信号的行为的消失而消失;第三,增发负反应是投资人理性化的表现,它有助于约束上市公司的非理性行为,而监管机构过度的市场保护和包办一切的态度可能会阻碍投资人的成熟。

The puzzle on the discount of seasoned equity offerings has been well studied by both western economists and domestic scholars. However, most of them viewed the problem from a static point. In this paper, we focused on the down-up reaction to the Seasoned Equity offerings in China's stock market since 2001. To explain the phenomena, based on a summary of western theories, we propose six academic supposes, and established a four-hypothesis model to test each of them. Inconsistent with the statistical result in O. S., our empirical work doesn't support the traditional Information Asymmetry theory or Agency theory, which are widely used to interpret the negative reaction to Equity offerings. Furthermore, we have also observed some conflicts between the market reaction and some domestic common beliefs, such as the efficiency of a risen threshold for Equity Offerings. In fact, we discovered that the negative reaction of the market shows a significant relationship with the pre-offer cash holdings and debt levels of the offering companies, which follows the Agency Theory. However, the study of the canceled offerings shows that the discount is beyond retrieval. These made us believe that the principle driver of the negative reaction to Seasoned Equity Offerings in China is the Expected Agency Problem, which means that the shareholders took the suspicious financing action as a signal for the agent's over-financing preference and required a premium for the expected agency problem.