我国股票增发效应的实证研究

The Empirical Analysis on the Effect of Seasoned Equity Offerings in China

本文以A股新股增发为研究对象,对新股增发的效应进行实证分析。研究发现,全流通状态下新股增发对所有老股东都有财富有负效应,在流通股与非流通股分裂的二元结构下,非流通股股东和新增发股东获得较高的超额收益率,流通股股东收益则受到较大损失,而且流通股股东的超额收益率与利润增长率和折扣率显著正相关。从增发的时间效应看,流通股股东在增发公告出现显著短期负效应的基础上,中长期内仍然出现较强的负效应。

Setting the seasoned equity offerings of A shares as the research object, the paper makes an empirical analysis on the effect of the seasoned equity offerings. The research finds that the issuance of new shares has a negative effect on the wealth of all old shareholders under the situation of the full share circulation. In a dual structure of tradable shares and non-tradable shares, the non-tradable shareholders and the new shareholders get higher excess returns, while shareholders of tradable shares are subject to in-come loss. Moreover, the excess returns of shareholders of tradable shares are positively correlated with profit growth rate and the dis-count rate. Form the time effect of seasoned equity offerings, on the basis of significant short-term negative effects of issuance an-nouncement, the announcement effect on tradable shareholders is strong negative effect in a longer term.