异质信念、错误定价与定向增发折价

Heterogeneous Beliefs, Market Mispricing and Private Placement Discount

本文以2006-2013年上市公司定向增发事件为研究对象，通过路径分析法考察异质信念是否通过错误定价影响定向增发折价，并检验这一机理在不同增发对象和认购方式中的差异性。实证结果显示：异质信念与定向增发折价正相关；错误定价在异质信念对定向增发折价的影响中发挥了中介作用。区分增发对象和认购方式考察发现：仅大股东认购、大股东和机构投资者同时认购，以及仅机构投资者认购三种情形下，错误定价的中介效应程度依次增强；大股东采用资产认购时，错误定价的中介效应程度弱于现金认购。

Based on the event of private placement in Chinese listed companies from 2006 to 2011, this paper adopts path analysis method to study whether heterogeneous beliefs among investors affect private placement discount via market mispricing, and then exam-ines the difference of effect mechanism in subsamples divided by additional target and payment. This research shows that: the hetero-geneity of investors' beliefs is positively related to private placement discount; market mispricing has the significant mediated effect to the relation between investors' heterogeneous beliefs and private placement discount; the mediation of market mispricing increases with institutional investors' entrance or major shareholders' exit subscription for non-public offering; the mediation of market mispricing in asset subscription is higher than that in cash subscription.