配股对股票长期收益的影响：基于改进三因子模型的研究

在中国证券市场中,配股一直是上市公司再融资的主要途径。配股行为是否影响公司股票的长期收益,这一问题具有重要的研究意义。本文以1999-2005年中国A股市场所有配股公司为样本,采用日历时间回归方法考察了配股后的股票长期收益。研究发现,配股样本主要集中于大公司,配股样本的股票收益和传统方法构造的因子收益时序上高度相关,配股后股票收益的长期低绩效并不是配股公司所特有的现象。本文进一步从模型设定偏误的角度改进了三因子模型,模型定价能力显著改善,并且从整体上减弱了配股发行的长期低绩效。

Long-run Return Performance Following Listed Rights Issue:Based on the Improved Three-factor Model

Rights issue is the primary type of listed Second Equity Offering(SEO)in Chinese securities mar- ket.It is important to examine that if the long-run return performance is affected by rights issue.This paper u- ses calendar-time regression and studies the long-run return performance following listed right issue from 1999 to 2005.The results find that underperformanee is concentrated primarily in big issuing firm and the underper- formed firms have time series returns that covary with factor return constructe...