定向增发项目收益率影响因子及机理研究——来自我国上市公司的经验证据

Research on the Effect and Mechanism of Directional Add Issuance Earnings under Different Circumstances

随着我国再融资制度的不断完善,上市公司融资与投资者财富效应间的联系得到强化,这深刻影响着金融市场参与主体的认知习惯和投资行为,使得定向增发项目备受青睐。本文在市场有效性理论的基础上,基于预案条款、财务状况和市场情绪三个维度,构建定向增发项目影响因子指标体系,研究机构投资者可参与的定增项目在不同情境下收益影响机理。研究表明,增发比例越高、锁定期越长,越有利增强投资者信心,定增收益显著提升;公告日前定增票表现越好,定增折价越高;股票的账面市值比与收益成显著负相关关系;市场情绪越好,越有利于提升定增的收益。研究结论为上市公司和承销商合理确定定增价格提供新的启示,同时为投资者进行科学的投资决策提供指导性建议。

As continuous improved by re-financing supervisory laws, regulations strengthens the connection between financing for listing corporations and wealth effect for investors, and that had profound influence to the habits of individual cognitive and investment behavior. As a result, directional add issuance has gained popularity. Based on efficient market theory and three dimensions of plan clause, financial condition and market emotion, we establish the impact factor rating system for directional add issuance in order to study the effect and mechanism of directional add issuances earnings under different circumstances which are available for institutional investors. The result indicates that the higher proportion of add and the longer lock-up period, which makes for investors＇ confidence stronger and the directional add issuance earnings significantly improve. The better the performance of directional add tickets before the date of declaration, the higher the discount. The connection between book-to-market ratio and earning is clear negative. The better the market emotion, the more equipped to promote earnings. In all, the conclusions inspire listing corporations and underwriters in pricing and provide some reasonable guidance for investment.