投资者异质信念与定向增发股价长期市场表现

近年来,基于异质信念的行为金融理论已经成为国际学术界的重要研究前沿。本文结合中国资本市场特殊制度背景,首次从投资者异质信念视角实证检验了上市公司定向增发后股价长期市场表现。研究结果表明:投资者异质信念越大,上市公司实施定向增发后公司股价长期市场表现越差;当发行对象为机构投资者时,异质信念对定向增发后股价的负向作用更加显著。此外,本文还进一步发现公司定向增发后的经营业绩变化也与投资者异质信念呈显著负相关关系。本文的研究结论丰富了投资者异质信念假说在公司股权再融资领域中的研究范畴。     

投资者关注与投资者权益保护：定向增发视角研究评述

上市公司股票定价是定向增发的核心，对中小投资者权益影响较大。在定向增发过程中存在着上市公司大股东锁定较低发行价格的自利行为以及投资者非理性情绪推动股票价格的大幅涨跌，使其权益遭受损失的现象。如何保护投资者权益？本文基于投资者关注这一视角，分别围绕投资者关注的分类与度量、投资者关注与资产定价、定向增发一级市场定价效率与权益保护、定向增发折价问题成因与权益保护四个方面对国内外文献进行梳理与分析，并针对现有不足提出未来研究方向与重要议题。     

我国上市公司定向增发融资效应研究——基于中小投资者视角北大核心

定向增发是我国上市公司重要的融资手段。在当前我国资本市场相关制度尚不完善以及中小投资者自我保护意识不足的情况下,规模日益扩大的定向增发融资给上市公司侵害中小投资者利益提供了操作空间,这不利于资本市场持续稳定发展。以我国沪深A股作为研究样本,以上市公司定向增发公告前后的股票价格、财务绩效变化为研究对象,运用事件研究法和财务指标分析法测算定向增发的短期股价效应、长期股价效应、长期业绩效应,以此评估定向增发对中小投资者利益的影响。实证研究结果表明:样本期内,定向增发预案公告对短期股价有提升作用且可能存在信息泄露现象,对长期股价虽有正向推动作用,但定向增发后样本公司业绩并没有得到改善,尤其是定向增发过程中如果有关联股东参与,其股价上涨而业绩无实质性改善的现象更为突出。为防范上市公司通过定向增发侵害中小投资者利益,一方面需要完善定向增发融资的相关制度,加强对定向增发事项的监管;另一方面要加强中小投资者风险教育,引导中小投资者理性认识定向增发、提高信息甄别能力、减少盲目跟随投资。     

发行对象、市场行情与定向增发折扣

定向增发股票的发行折扣的影响因素已经引起国内外财务学界和实务界的关注，取得了很多对现实具有一定解释力的研究成果，但是由于各国证券市场不同的发展阶段以及独特的制度文化环境使得具有普适性的解释理论的可能性力大为减弱。本文研究了大股东和机构投资者认购股票的价格折扣之间的关系，在对中国证券市场各种特征进行分析的基础上，提出在排除“同股不同价”样本后大股东的发行折扣与机构投资者发行折扣不存在显著差别这一与现有理论相左的假说；在分析中国特殊的市场环境和制度背景的基础上，提出了“牛”市定向增发折扣大于“熊”市定向增发折扣的假说；系统实证研究了定向增发折扣、市场行情以及发行对象之间的关系。本文进一步分析指出，不同发行对象发行折扣存在差异的原因来自于“同次发行不同价格”的定向机制，2006年-2007年的牛市行情所引起的二级市场投资者非理性的乐观情绪是我国定向增发高折扣的主要根源之一，而核准制下的我国定向增发存在发行周期长是导致这一现象存在的深层制度背景，并在此基础上对中国上市公司定向增发定价政策提出了建设性对策。     

上市公司定向增发股票分析

定向增发降低了上市公司再融资的门槛,也是兼并收购及反向并购的有效工具。定向增发中会出现融资权力过于集中于董事会、定向增发管理过于宽松、认购资产质量良莠不齐、增发价格易被操控等问题。为此,提出约束规范董事会在定向增发中的作用及行为,严格管控定向增发,把握好增发中资产质量问题等建议。     

投资者进出对股票市场波动性影响研究——基于投资者异质信念定价模型

本文假设股票市场上存在基础价值投资者、趋势投资者和噪声交易者三种类型投资者,以投资者异质信念定价理论的BH模型为基础,引入投资者的进出机制,并构建了投资者进出机制的BH模型,研究股票市场波动的系统性因素对股票市场波动性的影响。研究结果表明,不同类型投资者之间转换强度越大,股票市场波动性越大;投资者数目的变化和投资者对投资策略过去表现的依赖程度并不是导致股票市场波动的显著性因素。     

定向增发对象对发行定价影响的实证研究

根据发行对象将实行定向增发的公司分为三组:完全向大股东的发行、向大股东和机构投资者的发行和完全向机构投资者的发行.通过对比三组之间的发行相对价格,发现机构投资者的参与显著提高了发行价格.而完全向大股东进行定向增发的发行相对价格最低,这可能损害了其他股东的利益.     

上市公司定向增发融资偏好分析

股权分置改革以来,定向增发成为我国资本市场的一种主流融资方式。我国宽松的政策条件及上市公司自身的利益驱动使上市公司对定向增发方式比较青睐。针对此现象,分析定向增发偏好的外在、内在原因,采取相应措施,规范制度变迁中定向增发融资。     

定向增发公司盈余管理研究

文章按照定向增发公司发行对象分组,分析了各组公司在发行前后共计11个季度的盈余管理情况。发现公司只对大股东发行股份时,发行前没有操纵利润,但发行后存在较强盈余管理;当机构投资者参与定向增发时,企业在发行前后都进行了盈余管理,发行后盈余管理的程度有所降低。机构投资者参与定向增发的程度越大,企业在增发过程中盈余管理的持续性和程度都越大。盈余管理的动机可能是为了保证企业承诺业绩的实现。     

Optimal Portfolio Choice under Heterogeneous Beliefs

This paper analyzes how an investor who is convinced that he can``beat the market' should behave when the equilibrium priceprocess is endogenous. The investor's optimal portfolio is shownto consist of three components: (1) a tangency portfolio, (2) ahedge portfolio against changes in the market's valuation ofsecurities, and (3) a hedging position against changes in thedivergence between the investor's and the market's beliefs. Thesign and magnitude of this third component will depend on investorpreferences and on the divergence in the investor's and themarket's quality of information. A numerical example illustratesthat the effect of heterogeneous beliefs on optimal portfolioallocations can be significant.     

非公开发行股票定价机制与发行价差研究——兼评非公开发行新规

非公开发行(定增)是支持上市公司持续发展的重要融资手段之一。2017年2月定增新规2发布之前,定增定价机制允许上市公司在董事会决议公告日、股东大会决议公告日和发行期首日中选择定价基准日,且多数上市公司选择董事会决议公告日作为定价基准日,容易引发价差陷阱。本文通过对2012年至2015年期间的1714例定增的样本数据进行实证研究,分析发现了定增中存在的资源错配问题以及控股股东的掏空行为,并从定价机制、审批流程以及事中事后监管方面提出了进一步改革定增制度的政策建议。     

Private Placement of Common Equity and Earnings Expectations

We examine earnings forecast revisions by analysts subsequent to the announcement of private equity placements. Results show that analysts make significant upward revisions to their forecasts for current-year earnings. Furthermore, these forecast revisions are significantly related to announcement-period abnormal returns, but not to the risk changes accompanying the equity placement. These findings are consistent with the information hypothesis, which suggests that private equity placements convey favorable information about future earnings.     

Heterogeneous Beliefs, Speculation, and the Equity Premium

Agents with heterogeneous beliefs about fundamental growth do not share risks perfectly but instead speculate with each other on the relative accuracy of their models' predictions. They face the risk that market prices move more in line with the trading models of competing agents than with their own. Less risk‐averse agents speculate more aggressively and demand higher risk premiums. My calibrated model generates countercyclical consumption volatility, earnings forecast dispersion, and cross‐sectional consumption dispersion. With a risk aversion coefficient less than one, agents' speculation causes half the observed equity premium and lowers the riskless rate by about 1%.     

定增如虎

460亿元的定向增发预案一经爆出,市场一片哗然。
　　7月25日,京东方发布公告称,拟增发95亿~224亿股,募集资金净额不超过460亿元。
　　一轮“圈钱”的指控尚未平息,房地产企业再融资开闸的传言再度风生水起。
　　8月2日,停牌良久的新湖中宝和海印股份双双抛出了定增预案。其中新湖中宝拟融资55亿元用于棚户区改造项目,海印股份则拟融资8.34亿元主要用于旗下的商业地产项目。尽管证监会并未就房企再融资给出明确回应,但市场分析人士判断,房地产公司再融资将会有条件开启。     

定增逆市“盛宴”

在IPO关闸近10个月、大盘摇摇欲坠的背景下,资本市场却并非一片死寂。今年年初以来,定向增发市场火暴异常,与IPO市场的“悄无声息”状态形成了鲜明对比。
　　ChinaVenture投中集团向本刊提供的数据显示,截至2013年7月底,共有143家A股上市公司实施了定向增发方案,融资金额总计2295.8亿元,与2012年同期的1647.1亿元相比增加了39.4%。     

The Future of Private Equity

After a period of robust growth, the private equity industry has experienced a marked decline. In the wake of the 2008 economic crisis, the future of the venture and buyout industries seems unclear. This speech discusses four possible scenarios for the future of the private equity industry by examining the short‐ and long‐run determinants of private equity supply and demand. Possible scenarios include Recovery, Back to the Future, The Limited Partners' Desertion, and A Broken Industry. Although support is given for each of the scenarios, a clear prediction for the future remains difficult. The future of the private equity market is likely to be the subject of debate for some time to come.     

The Future of Private Equity

A distinguished University of Chicago financial economist and longtime observer of private equity markets responds to questions like the following:

• ? With a track record that now stretches in some cases almost 30 years, what have private equity firms accomplished? What effects have they had on the performance of the companies they invest in, and have they been good for the economy?
• ? How will highly leveraged PE portfolio companies fare during the current downturn, especially with over $400 billion of loans coming due in the next three to five years?
• ? With PE firms now sitting on an estimated $500 billion in capital and leveraged loan markets shut down, are the firms now contemplating new kinds of investment that require less debt?
• ? If and when the industry makes a comeback, do you expect any major changes that might allow us to avoid another boom‐and‐bust cycle? Have the PE firms or their investors made any obvious mistakes that contribute to such cycles, and are they now showing any signs of having learned from those mistakes?

Despite the current problems, the operating capabilities of the best PE firms, together with their ability to manage high leverage and the increased receptiveness of public company CEOs and boards to PE investments, have all helped establish private equity as “a permanent asset class.” Although many of the deals done in 2006 and 2007 were probably overpriced, the “cov‐lite” deal structures, deferred repayments of principal, and larger coverage ratios have afforded more room for reworking troubled deals. As a result of that flexibility, and of the kinds of companies that get taken private in leveraged deals in the first place, most troubled PE portfolio companies should end up being restructured efficiently, thereby limiting the damage to the overall economy. Part of the restructuring process involves the use of the PE industry's huge stockpile of capital to purchase distressed debt and inject new equity into troubled deals (in many cases, their own). At the same time the PE firms have been working hard to rescue their own deals, some have been taking significant minority positions in public companies, while gaining some measure of control. Finally, to limit overpriced and overlev‐eraged deals in the future, and so avoid the boom‐and‐bust cycle that appears to have become a predictable part of the industry, the discussion explores the possibility that the limited partners and debt providers that supply most of the capital for PE investments will insist on larger commitments of equity by sponsors to their own funds and individual deals.