我国上市公司定向增发的收益波动率择时效应研究

Volatility Timing Effect of Private Placement for Chinese Listed Firms

定向增发是我国资本市场最重要的股权再融资方式。本文实证检验我国上市公司定向增发前后一年收益波动率的变化,发现定向增发存在“倒U型”的收益波动率择时效应,即支持大股东利益侵占假说。进一步地,异质性检验结果表明,非国有企业、年轻公司、控股股东控股权高的公司和无形资产占比高的公司,它们的定向增发收益波动率择时效应更强。最后,本文分析定向增发收益波动率择时效应的经济后果,结果表明,我国上市公司定向增发前存在增发折价,但定向增发后公司股价出现显著上升。本文的实证发现不仅丰富了定向增发理论,而且为完善我国定向增发市场提供政策参考,同时为投资者量化择股择时提供投资参考。

Privateplacement is the most important approach to refinance equity in China’s capital market.As a transition economy,China has many state-owned enterprises(SOEs)in the capital market;these SOEs are more likely to obtain seasoned equity offering by virtue of their natural political connections.Besides,it is common that Chinese listed companies have the controlling shareholders,hence CEOs of listed companies would like to consider more interests of major shareholders in decision-making.The volatility changes during one year before and after the private placement of Chinese listed companies is empirically examined.An inverted Ushaped volatility timing effect can be observed from empirical results,represented as the expropriation of major shareholders in Chinese listed companies.Then,the robustness tests are proceeded by using board meeting day as the benchmark day of the private placement,setting the beginning year of studying period as 2006,applying fixed-effect panel model,adopting the data during threespecial sample periods,respectively.As expected,the results of robustness tests can support our main conclusions.Furthermore,the results of heterogeneity tests show that the volatility timing effect of private placements is stronger for non-SOEs,young companies,companies with high shares proportion of controlling shareholder,and those with high ratio of intangible assets,which confirms the more severe encroachment of major shareholders in these types of listed companies.Finally,the economic consequences of the volatility timing effect for private placements in Chinese listed companies is analyzed.The empirical results prove that there is a pricing discount before the private placements,but the stock prices rise significantly after the private placements.Investment in private placement companies yields an average 37.32%arbitrage premiumafter one year,compared with investing in stock from public offerings.Therefore,our empirical findings not only enrich the theories of private placement,but also contribute to practice.The policy references are provided to improve China’s private placement market,as well as some investment guidance for investors in quantitative selection of assets and trading timings.