论文部分内容阅读
本文通过一个基于二元股权结构下流通权价值的简单模型刻画增发股份的折价现象,导出增发股份上市首日收益与增发新股在增发后总股本中的比例正相关的结论。统计结果显示申购增发新股在上市首日可以获得平均为13%的超额收益,大大超出美国市场上的发行折扣。实证研究基本支持模型的结论,进一步证实了流通权价值的存在性。同时,发行价格倒数、发行规模、每股净资产、每股收益和交易所虚拟变量对首日收益也有比较显著的解释能力。实证研究的结果支持信息不对称与价格不确定性假说,但与价格压力假说不一致。
In this paper, a simple model based on the value of liquidity in binary shareholding structure is used to characterize the discount of additional shares, and the conclusion is drawn that the first-day return of listing of additional shares is positively correlated with the proportion of new shares in the total share capital after the issuance. The statistical results show that the subscription of new shares issued on the first day of accession can get an average of 13% of the excess returns, much higher than the US market discounts on the issue. The conclusion of the basic support model of the empirical research confirms the existence of the value of the right of circulation. At the same time, the issue price countdown, issue size, net assets per share, earnings per share and exchange-listed virtual variables also have a more significant ability to explain the first day returns. The empirical results support the hypothesis of asymmetric information and price uncertainty, but not consistent with the price pressure hypothesis.