股票流动性与增发配股费用——来自中国上市公司的经验证据

Stock Liquidity and the Flotation Costs of SEO:Evidence from China’s Listed Companies

基于中国上市公司A股公告日在2000年7月1日至2005年4月29日间的增发与配股事件为样本,采用高频交易数据构造的相对有效价差和相对报价价差对股票流动性增发与配股费用进行考察,结果表明股票流动性越高、增发配股费用越低。同时,使用不同费用的代理变量,以及使用Tobit回归以减轻证监会对承销费率管制的影响,均没有改变研究结论。

With the sample of SEO from China＇s listed companies during the period of July, 1, 2000 to April 29, 2005, this paper explores the relationship between stock liquidity and the flotation costs of SEO by employing the relative effective spread and relative quoted spread of the high-frequency trading data. The result shows that the higher the stock liquidity, the lower the flotation costs. Meanwhile, both the proxy variables of different costs and the Tobit regression model are used to reduce the impact of China Securities Regulatory Commission on the regulation of underwriting rate, however, the result remains the same.