中小企业板上市公司定向增发公告效应实证的研究.pdfVIP

中小企业板上市公司定向增发公告效应实证研究 摘 要 定向增发作为近年来我国股票市场股权融资的一颗新星，在短短几年内逐渐代替配股、 公开增发等成为上市公司的一种主流再融资方式，相关问题也受到了人们的日益关注。但是， 专门针对对中小企业板上市公司定向增发问题的研究在国内并不多见，而中小板上市公司因 其高成长性往往对股权再融资的需求更为迫切，也因而更频繁地发生定向增发。本文以 2009-2010 年 86 家首次发布定向增发公告的中小企业板上市公司为研究对象，运用事件 分析法对其定向增发公告的短期市场效应的研究发现，中小企业板上市公司定向增发公告在 事件窗口存在正向短期市场效应，同时公告日前约三个交易周内基本不存在内幕交易活动 （或者说难以推断存在内幕交易，尽管公告信息有被提前一天泄漏的现象）。 在此基础上， 结合中国股票市场的实际情况，我们进一步讨论了定向增发事件市场效应的影响因素，结果 发现定向增发公司超额平均累计收益率只与上市公司的每股净资产和股票市场换手率显著 正相关，两者合计可以解释超额平均累计收益率变异来源的22.2%。 关键词 ：定向增发 ；中小企业板； 市场效应 ；内幕交易 JEL G30 Abstract Directional add-issuance has in recent year become a new rising star in the Chinese equity market. The practice has replaced allotment and public add-issuance in a time span of merely a few years. Thus directional add -issuance has caught the attention throughout the domestic capital market; and numerous scholars from home and abroad focused the issue at the center of their studies. However, studies of issues concerning directional add-issuances by listed companies in the SME (Small and Medium Enterprises) Board are rare. Since SME Board companies enjoy higher growth rates and normally have greater desires for refinancing, they tend to practice directional add-issuances on a higher frequency. The paper studies data collected from the event window of directional add-issuance announcements publicized by 86 listed SME Board companies. By studying the short term market effect and internal trading events, the paper is able to conclude that a positive correlation exists between directional add -issuance announcements and the stock prices of the announcing SME Board companies; and that internal trading almost unexist before announcement dates. Based on grounds proposed by previous studies, and by integrating the actual situation on the domestic market, the