机构投资者认知视角下创业板定向增发折价成因研究

The Causes of the Discount of the Private Placement of Gem Stocks from the Perspective of Institutional Investors' Cognition

为了探究创业板定向增发折价的成因,利用2012-2016年第一季末创业板公司实施定向增发的观察数据,从内在价值视角考察机构投资者认知对创业板定向增发市场折价的影响及其作用路径,数理推导及实证分析结果表明:定向增发宣告效应以及市场波动带来的系统风险与市场折价率显著正相关,机构投资者认知与市场折价率显著正相关,即当市场出现错误定价时机构投资者未起到"市场稳定器"的作用;引入交互项后发现,当增发对象不含关联股东时,信息不对称程度与折价率显著正相关,但信息不对称弱化了机构投资者认知水平与市场折价率的正相关关系。

To explore the causes of the private placement discount of GEM stocks, this paper studied how institutional investors cognition affected private placements of equity discounts by employing the sample of the private place- ments of GEM listed firms from 2012 to the first season of 2016. The results showed that the announcement effects of the private placement and the systemic risks brought about by market fluctuations maintained a positive correla- tion with market discount rate; a positive correlation also existed between institutional investor＇ s cognition and mar- ket discount rate--- institutional investors do not play a ＂market stability＂ role when the market made mistakes. Moreover, when the object does not contain additional related shareholders, a positive correlation existed between in- formation asymmetry and the discount rate, but the asymmetry weakens the positive correlation between institutional investor＇ s cognition and market discount rate.