上市公司股票增加发行定价效率研究
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摘要
一个有效的证券市场能够对发行的股票进行合理定价,能够将影响价格的各种信息反映到股票价格中,因此发行定价效率作为证券市场效率重要衡量指标,直接反映了证券市场的健全程度。自2006年实施《上市公司证券发行管理办法》,重新启动新股融资以来,上市公司股票增加发行已经取代配股、可转债等成为股权再融资的主流方式。然而,在增发融资过程中,其发行定价存在比较严重的折价现象,上市公司股票增加发行的价格普遍低于二级市场交易价格。较高的折价幅度影响了新股发行筹集资金的效率,给企业所有者带来了损失。与此同时,折价现象也影响了资本市场资源配置功能的发挥和市场效率的提高。
在此背景下,探讨上市公司股票增加发行及其定价效率对股票定价、资产组合管理等具有重要的理论价值,对增发市场监管、上市融资决策与资本运营以及投资者决策有着重要的实践意义。本文以中国上市公司为研究对象,从理论和实证两方面探讨上市公司股票增加发行及其定价效率。
首先,对当前中国证券市场的股票增加发行行为进行描述,概括分析当前股票增发市场的状况以及股票增加发行的制度约束,对股票增加发行的影响因素进行探析,并从理论和实证角度对上市公司股票增加发行的决策影响因素进行分析。接着,分析上市公司股票增加发行的定价方法,界定上市公司股票增加发行、相对定价效率、绝对定价效率等概念；并在此基础上分析企业特征、信息特征、发行特征以及市场特征对股票增加发行定价效率的影响。
然后,在相对定价效率的视角下,构建了基于抑价率和收益率调整天数的定价效率评价模型和影响因素模型。以2006年4月26日至2009年12月30日的实施过股票增加发行的上市公司为研究样本,发现上市公司平均抑价率为19.16%,因此基于抑价率的平均定价效率为80.84%,而从收益率调整天数来看,样本平均调整天数为2.4940天。从定价效率影响因素来看,成长能力指标、发行前平均价格、收益率波动率指标、发行成本、发行日与上市日间隔之差、发行前20日超额收益率、大股东及关联方认购比例、限售股比例对基于抑价率的定价效率产生了显著影响,而在基于收益率调整天数的模型中,只有成长能力指标、发行前平均价格以及超额收益率指标进入了最终的定价效率分析模型。
其后,引入投入—产出分析技术,运用随机前沿分析模型探讨上市公司股票增加发行的绝对定价效率和影响因素。实证研究发现中国上市公司股票增加发行的定价效率偏低,样本的平均定价效率约68.25%,从发行类型来看,公开增发定价效率高于定向增发的定价效率；从效率影响因素来看,营运能力、成长能力、盈利能力、平均价格、每股盈利、发行规模、承销商声誉、现金认购比例、发行对象数量、限售股比例与定价效率正相关,而信用风险、波动率、间隔之差、发行成本、大盘收益率、超额收益率、大股东及关联方认购比例、财富转移程度与定价效率负相关。最后,以相对效率和绝对效率分析的结果为先验信息,运用Bayesian随机前沿分析模型进一步检测股票增加发行的定价效率。模型的研究结果表明,市场平均定价效率为65.33%,发行企业和承销商在增发定价过程中损失了超过30%的定价效率,这与随机前沿模型的定价效率结果基本一致。
最后,基于定价效率分析结果,提出股票增加发行监管的政策建议。为了提高发行定价效率,应从源头上把关,提高上市公司质量,完善信息披露制度,完善发行机制,并结合市场环境进行监管改革。
An efficient security market can price stock reasonalbly, and embell all kinds of information to the stock price, thus pricing efficiency, as an important efficiency indicator of security market, directly reflects the health degree of a security market. Since the implementation of Measures for the Administration of the Listed Company Issuing New Shares and restarting the equity refinancing in2006, the seasoned equity offering has become a main way of equity financing instead of rationed shares and convertible bonds. Nevertheless, during the process of seasoned equity offering, there is a significant phenomenom named underpricing, that is to say, the offering price is lower than the trading price in secondary market. The underpricing affects the financing efficiency, and brings the loss to the issuing company, mean while, it restricts the allocation function and efficiency of the capital markets.
Under this back ground, it is theoretically important to detect the seasoned equity offering behavior and the its pricing efficiency for the stock pricing and portfolio management, besides, it is also meaningful to seasoned equity offering market supervison, financing decision and capital operation of a listed caompany, and investment decision for investors. For above reason, this paper adopts the listed companies in China as the research objects, and analyzes the seasoned equity offering behavior and its pricing efficiency both theorectically and empirically.
Firstly, the thesis describes the seasoned equity offering behavior, summarizes the current situation and system restrains of Seosoned euity offering, and analyzes the factors that influence the seasoned equity offering. Meanwhile, the influence factor of SEO decsion is theoretically and empirically analyzed.
Secondly, the thesis analyzes the pricing methods of the seasoned equity offering. Then the price efficiency, relative pricing efficiency and absolute pricing efficiency are defined. On the basis of the pricing methods and above definition, the thesis analyzes the mechanism that enterprise characteristics, information characteristics, issuing characteristics and market characteristics influence the pricing efficiency.
Thirdly, the pricing efficiency models and influencing factor models based on underpricing level and return adjusting day are constructed. The listed companies which refinanced from26, April in2006to31, December in2009are adopted as the emprical samples. The study finds that the average underpring is19.16%, and pricing efficiency is80.84%. Judging by the retun adjusting day, the average adjusting day is2.4940. Meanwhile the empirical results show that growth ability)、average price prior to issuing day、return volatility、issue cost、spread between issue day and listing day、cumulative abnormal return prior to the issue day、purchasing ratio of controllers and ratio of restricted share influence the pricing efficiency based on underpricing level, and the growth ability, average price prior to issuing day and cumulative abnormal return have statistical influence on pricing efficiency base on return adjusting day.
Forthly, the absolute pricing efficiency of seasoned equity offering is analyzed by using stochastic frontier analysis model and bayesian stochastic frontier model from the aspects of input-output. The empirical results of stochastic frontier model find that that the average pricing efficiency is low at an average level of68.25%, and the pricing efficiency of public offering is higher than private placement. Judging from the models, operation ability, growth ability, profitable ability, average prices, EPS, scale, underwriter reputation, return of market, cummulative abornomal return, cash purchased ratio, issuing number, ratio of restricted share are positively related to the technical efficiency, while debt-paying ability, volume volatility, return volatility, spread between announcement day and first trading day, issue cost, purchasing ratio of controllers, benefits transter degree have negative influence on pricing efficiency respectively. Lastly, adopting relative pricing efficiency and absolute pricing efficiency as the prior information, the thesis further analyzes the pricing efficiency of the seasoned equity offering. The results show that the efficiency of pricing is65.33%, and the issuing company and the underwriter lose about40%pricing efficiency, this result is in line with the result of stochastic model.
Lastly, based on the pricing results, some policy suggestions about seasoned equity offering supervision are provided. In order to promote the pricing efficiency of the seasoned equity offering, the quality of the listed company should be promoted, the information disclosure system and issue system should be improved, and the reform should also be considerd according to the market enviroments.
在此背景下,探讨上市公司股票增加发行及其定价效率对股票定价、资产组合管理等具有重要的理论价值,对增发市场监管、上市融资决策与资本运营以及投资者决策有着重要的实践意义。本文以中国上市公司为研究对象,从理论和实证两方面探讨上市公司股票增加发行及其定价效率。
首先,对当前中国证券市场的股票增加发行行为进行描述,概括分析当前股票增发市场的状况以及股票增加发行的制度约束,对股票增加发行的影响因素进行探析,并从理论和实证角度对上市公司股票增加发行的决策影响因素进行分析。接着,分析上市公司股票增加发行的定价方法,界定上市公司股票增加发行、相对定价效率、绝对定价效率等概念；并在此基础上分析企业特征、信息特征、发行特征以及市场特征对股票增加发行定价效率的影响。
然后,在相对定价效率的视角下,构建了基于抑价率和收益率调整天数的定价效率评价模型和影响因素模型。以2006年4月26日至2009年12月30日的实施过股票增加发行的上市公司为研究样本,发现上市公司平均抑价率为19.16%,因此基于抑价率的平均定价效率为80.84%,而从收益率调整天数来看,样本平均调整天数为2.4940天。从定价效率影响因素来看,成长能力指标、发行前平均价格、收益率波动率指标、发行成本、发行日与上市日间隔之差、发行前20日超额收益率、大股东及关联方认购比例、限售股比例对基于抑价率的定价效率产生了显著影响,而在基于收益率调整天数的模型中,只有成长能力指标、发行前平均价格以及超额收益率指标进入了最终的定价效率分析模型。
其后,引入投入—产出分析技术,运用随机前沿分析模型探讨上市公司股票增加发行的绝对定价效率和影响因素。实证研究发现中国上市公司股票增加发行的定价效率偏低,样本的平均定价效率约68.25%,从发行类型来看,公开增发定价效率高于定向增发的定价效率；从效率影响因素来看,营运能力、成长能力、盈利能力、平均价格、每股盈利、发行规模、承销商声誉、现金认购比例、发行对象数量、限售股比例与定价效率正相关,而信用风险、波动率、间隔之差、发行成本、大盘收益率、超额收益率、大股东及关联方认购比例、财富转移程度与定价效率负相关。最后,以相对效率和绝对效率分析的结果为先验信息,运用Bayesian随机前沿分析模型进一步检测股票增加发行的定价效率。模型的研究结果表明,市场平均定价效率为65.33%,发行企业和承销商在增发定价过程中损失了超过30%的定价效率,这与随机前沿模型的定价效率结果基本一致。
最后,基于定价效率分析结果,提出股票增加发行监管的政策建议。为了提高发行定价效率,应从源头上把关,提高上市公司质量,完善信息披露制度,完善发行机制,并结合市场环境进行监管改革。
An efficient security market can price stock reasonalbly, and embell all kinds of information to the stock price, thus pricing efficiency, as an important efficiency indicator of security market, directly reflects the health degree of a security market. Since the implementation of Measures for the Administration of the Listed Company Issuing New Shares and restarting the equity refinancing in2006, the seasoned equity offering has become a main way of equity financing instead of rationed shares and convertible bonds. Nevertheless, during the process of seasoned equity offering, there is a significant phenomenom named underpricing, that is to say, the offering price is lower than the trading price in secondary market. The underpricing affects the financing efficiency, and brings the loss to the issuing company, mean while, it restricts the allocation function and efficiency of the capital markets.
Under this back ground, it is theoretically important to detect the seasoned equity offering behavior and the its pricing efficiency for the stock pricing and portfolio management, besides, it is also meaningful to seasoned equity offering market supervison, financing decision and capital operation of a listed caompany, and investment decision for investors. For above reason, this paper adopts the listed companies in China as the research objects, and analyzes the seasoned equity offering behavior and its pricing efficiency both theorectically and empirically.
Firstly, the thesis describes the seasoned equity offering behavior, summarizes the current situation and system restrains of Seosoned euity offering, and analyzes the factors that influence the seasoned equity offering. Meanwhile, the influence factor of SEO decsion is theoretically and empirically analyzed.
Secondly, the thesis analyzes the pricing methods of the seasoned equity offering. Then the price efficiency, relative pricing efficiency and absolute pricing efficiency are defined. On the basis of the pricing methods and above definition, the thesis analyzes the mechanism that enterprise characteristics, information characteristics, issuing characteristics and market characteristics influence the pricing efficiency.
Thirdly, the pricing efficiency models and influencing factor models based on underpricing level and return adjusting day are constructed. The listed companies which refinanced from26, April in2006to31, December in2009are adopted as the emprical samples. The study finds that the average underpring is19.16%, and pricing efficiency is80.84%. Judging by the retun adjusting day, the average adjusting day is2.4940. Meanwhile the empirical results show that growth ability)、average price prior to issuing day、return volatility、issue cost、spread between issue day and listing day、cumulative abnormal return prior to the issue day、purchasing ratio of controllers and ratio of restricted share influence the pricing efficiency based on underpricing level, and the growth ability, average price prior to issuing day and cumulative abnormal return have statistical influence on pricing efficiency base on return adjusting day.
Forthly, the absolute pricing efficiency of seasoned equity offering is analyzed by using stochastic frontier analysis model and bayesian stochastic frontier model from the aspects of input-output. The empirical results of stochastic frontier model find that that the average pricing efficiency is low at an average level of68.25%, and the pricing efficiency of public offering is higher than private placement. Judging from the models, operation ability, growth ability, profitable ability, average prices, EPS, scale, underwriter reputation, return of market, cummulative abornomal return, cash purchased ratio, issuing number, ratio of restricted share are positively related to the technical efficiency, while debt-paying ability, volume volatility, return volatility, spread between announcement day and first trading day, issue cost, purchasing ratio of controllers, benefits transter degree have negative influence on pricing efficiency respectively. Lastly, adopting relative pricing efficiency and absolute pricing efficiency as the prior information, the thesis further analyzes the pricing efficiency of the seasoned equity offering. The results show that the efficiency of pricing is65.33%, and the issuing company and the underwriter lose about40%pricing efficiency, this result is in line with the result of stochastic model.
Lastly, based on the pricing results, some policy suggestions about seasoned equity offering supervision are provided. In order to promote the pricing efficiency of the seasoned equity offering, the quality of the listed company should be promoted, the information disclosure system and issue system should be improved, and the reform should also be considerd according to the market enviroments.
引文
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