中国股市SEO后股票收益及公司业绩的双重长期弱势表现.pdfVIP

2006 05　总第337 期 商业研究 　COMMERCIAL RESEARCH 文章编号:1001-148X (2006)05-0160-05 中国股市SEO 后股票收益及 公司业绩的双重长期弱势表现 陈　科, 董新春 ( 开大学金融工程学院, 天津　300071) 摘要:以中国股市于2000 年和2001 年间进行新股增发的33 支A 股股票为样本研究发现, 增发后SEO 股票无论是在投资收益方面还是在公司业绩方面, 长期内都表现出显著的弱势现象。在进一步研究弱 势表现的原因时发现, SEO 前发行公司过度的盈余管理导致了发行后经营业绩的长期弱势表现;SEO 前, 投资者对即将增发的股票存在着系统性高估, SEO 后的长期股票收益弱势是投资者根据发行后公 司的实际业绩对原本过度乐观的预期逐步进行理性调整的结果。 关键词:新股增发;股票收益率;经营业绩;盈余管理 中图分类号:F830.91　　　　文献标识码:A The Long-run Decline inPost-issueInvestment Performance and OperatingPerformance of SEO Firms in Chinese stock market CHEN Ke, DONG Xin-chun (School of Financing Engineering ,Nankai University , Tianjin 300071, China) Abstract:This p per shows the long-run decline in post-issue investment perform nce nd oper ting perform nce of SEO firms in Chin stock m rket.There is the signific nt positive rel tionship between post-SEO oper ting perform nce nd the level of pre-SEO e rnings m n gement.With the post-issue decline in m rket expect tions to future e rnings of SEO firms, it concludes th t the post-SEO decline in oper ting perform nce is due to pre-SEO over m n gement in e rnings nd th t investors overestim te the future e rnings of issuers before issuing.However, they still gr du lly djust their expect tion when poor post-SEO oper ting perform nce is discovered, which m y le d to the signific nt underperform nce in stock m rket. ey words:se soned equity offerings;stock returns;oper ting perform nce;e rnings m n gement 　　一、 理论文献综述 票, 而SEO 后股票收益率的长期弱势是投资者对原 新股增发 (Se soned Equity Offerings, SEO )后的 本过于乐观的预期逐渐进行理性调整的结果。随后, 长期弱势现象一直是金融理论中颇具争议的热点问题 Spiess nd Affleck -Gr ves (1995 )、 K ng, Kim 和 Stulz 之一。这种所谓弱势现象是指上市公司在增发以后,