商业研究

商业研究

• 财经纵横 • 上一篇    下一篇

定增择时与折价率及股价的长期市场表现 ——来自我国A股上市公司定向增发的经验证据

张强1，佘杰2   

  1. （上海财经大学 1.金融学院；2.信息管理与工程学院，上海 200433）
  • 收稿日期:2018-03-16 出版日期:2018-11-10
  • 作者简介:张强(1987-)，男，山东潍坊人，上海财经大学金融学院博士研究生，研究方向：公司金融、资产定价；佘杰(1988-)，女，湖南常德人，上海财经大学信息管理与工程学院博士研究生，研究方向：金融大数据。
  • 基金资助:
    国家自然科学基金项目“定向增发的折价策略及其‘支持’与‘掏空’机制：理论与实证”，项目编号：71672107。

Market Timing of Private Placement,Price Discount and Long Run Share Price Performance: Evidence from A-share Firms

ZHANG Qiang1,SHE Jie2   

  1. ( 1. School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China; 2.School of Information Management and Engineering, Shanghai University of Finance and Economics,Shanghai 200433, China)
  • Received:2018-03-16 Online:2018-11-10

摘要： 在股权再融资的过程中，公司是否存在市场择时是学术界关注的热点问题。本文以我国A股市场2006-2016年间完成定向增发的上市公司为研究对象，分析其在定增过程中的择时行为及对定增折价率和公司股价长期市场表现的影响，发现上市公司对于定价基准日和股票发行日的选择存在明显的择时行为，无论何种类型的定向增发，只有定价基准日的择时能力显著影响公司股价的长期市场表现；对于面向控股股东和机构的定向增发，上市公司分别通过对定价基准日和发行日的择时来影响折价率；对于混合定向增发，上市公司的择时行为对折价率没有显著影响；对机构定增或混合定增时，上市公司股价的长期超额回报为负，且对定价基准日择时能力越强，股价长期表现越差。上述研究结果深化了对我国上市公司融资择时行为的认知，为完善我国定向增发定价规则的制定以及加强中小投资者利益的保护提供了参考。

关键词: 择时定向增发, 折价率, 股价市场表现

Abstract: In the process of equity refinancing, whether the company has market timing is a hot issue in the academic circle.This paper investigates market timing behavior of company′s private placement and its influence on price discount and firms′ long run share price performance based on China′ s listed companies from 2006 to 2016. The paper finds that firms timing the choices of pricing ex-date and stock issue date,no matter what the type of private placement is, only the market timing ability of pricing ex-date affects the company′s long run share price performance; for private placement for controlling shareholders and institutions, listed companies affect the discount rate by choosing the base date of pricing and the issuance date, respectively;for mixed private placement, the timing behavior of listed companies has no significant impact on the discount rate; for institutional or mixed private placement, the long-term excess return of the stock price of listed companies is negative, and the stronger the timing ability of the pricing benchmark, the worse the long-term performance of the stock price.The above research results deepen the understanding of financing timing behavior of listed companies in China, and provide a reference for improving the formulation of pricing rules for private placement and strengthening the protection of the interests of small and medium-sized investors.

Key words: market timing of private placement, price discount, share price performance