我国上市公司定向增发折价率影响因素的研究

Research on Influential Factors of Private Placement Discount Rate in China’s Listed Companies

本文采用主成分分析法,对选取的众多影响定向增发折价率的变量进行提取分类,以期确定这些主成分对定向增发折价率的影响程度,本文的主要研究结论如下:1) 在影响定向增发折价率的诸多因素中,信息不对称因素对其影响最大,且与其呈正相关关系;2) 市场行情影响程度次之,且与其呈正相关关系;3) 发行对象、大股东认购比例以及大股东认购比例与原持股比例的差额这三个代表利益输送因素的指标均与折价率存在正相关关系,从而佐证了利益输送假说。4) 代表流动性约束成本因素的两个指标,个股波动率和个股系统性风险均与折价率呈正相关关系,即个股波动率越大,个股系统性风险越高,从而流动性约束成本越高,折价率越高。这在一定程度上验证了流动性成本假说。5) 公司内在价值因素与定向增发折价率并不存在显著的相关关系,这一结论与理论分析及前人研究结果存在出入。

In this paper, we use principal component analysis to extract and classify many variables that af-fect the discount rate of private placement, in order to determine the extent to which these prin-cipal components affect the discount rate of private placement. The main conclusions of this paper are as follows: 1) Among the many factors affecting the rate of private placement discount, information asymmetry factors have the greatest impact on it and have a positive correlation with it. 2) Market conditions are the second largest factor and have a positive correlation with it. 3) The object of distribution, the subscription ratio of major shareholder and the difference between the subscription ratio of the major shareholder and the original shareholding ratio, all of these have positive correlations with the discount rate, and then verify the hypothesis of benefit transfer. 4) The volatility of individual stocks and the systematic risk of individual stocks which represent the cost constraint of liquidity constraints, are all positively correlated with the discount rate. In other words the larger the volatility of individual stocks, the higher the systemic risk of individual stocks, and the more liquidity constraint costs high, the higher the discount rate, and then verifies the liquidity cost hypothesis to a certain extent. 5) There is no significant correlation between the company intrinsic value and the private placement discount rate. This conclusion is different from the theoretical analysis and the predecessor research results.