基于政策监管下的新股增发与股市波动研究
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财经研究 2005 年 第 31 卷第 06 期, 页码：121 - 132
摘要
参考文献
摘要
文章选取增发公司样本,利用多种方法对增发事件重要日期逐一考察,获得增发新股存在负价格效应的最终结论。根据证监会对增发政策的规定,文章选取增发数量、现金流量增长率和资产负债率三个变量,考察其与超额报酬的相关关系,研究发现现金流量增长率与超额报酬正相关,支持信息非对称假说。此外,文章对交易量进行检验,发现存在内幕交易的可能性。
①上市日前后股本变化,对超额交易量的检验存在一定偏差,因此我们按照相同的换手率(成交量/股本)对上市日及上市日后的交易量进行了调整,以排除股本稀释的影响。
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[2]AvnerKalay,AdamShimrat.Firm value and seasoned equity issues:PricePressure,Wealth redistribution, orNegative information[J]Journal ofFinancialEconomics19,1987:109~126
[3]BeaverW H The information content of annual earnings announcements[J]Journal ofAccountingResearch(Supplement),1968:67~92
[4]BoehmerE,MusumeciJ,PoulsenA Event study methodology under conditions ofEvent induced variance[J]Journal ofFinancialEconomics30,1991:253~272
[5]BrownS,WarnerJ Measuring security price performance[J]Journal ofFinancialEco nomics8,1980:205~258
[6]BrownS,WarnerJ Using daily stock returns:The case of event studies[J]Journal ofFinancialEconomics14,1985:3~31
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[8]LelandHayne,DavidPyleInformation asymmetries,financial structure and financial in termediation[J]Journal ofFinance32,May,1977:371~387
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[19]证监会上市公司向社会公开募集股份暂行办法[Z]证监会公告,20000430
[20]证监会关于做好上市公司新股发行工作的通知[Z]证监会公告,20010315
[21]证监会关于上市公司增发新股有关条件的通知[Z]证监会公告,20020724
[1]AsquithPaul,DavidW MullinsEquity issues and offering dilution[J]Journal ofFinan cialEconomics15,MarchApril,1986:61~89
[2]AvnerKalay,AdamShimrat.Firm value and seasoned equity issues:PricePressure,Wealth redistribution, orNegative information[J]Journal ofFinancialEconomics19,1987:109~126
[3]BeaverW H The information content of annual earnings announcements[J]Journal ofAccountingResearch(Supplement),1968:67~92
[4]BoehmerE,MusumeciJ,PoulsenA Event study methodology under conditions ofEvent induced variance[J]Journal ofFinancialEconomics30,1991:253~272
[5]BrownS,WarnerJ Measuring security price performance[J]Journal ofFinancialEco nomics8,1980:205~258
[6]BrownS,WarnerJ Using daily stock returns:The case of event studies[J]Journal ofFinancialEconomics14,1985:3~31
[7]GalaisD,R W MasulisThe option pricing model and the risk factor of stock[J]Journal ofFinancialEconomics3,JanuaryMarch,1976:53~82
[8]LelandHayne,DavidPyleInformation asymmetries,financial structure and financial in termediation[J]Journal ofFinance32,May,1977:371~387
[9]LoughranT,J R RitterThe new issues puzzle[J]Journal ofFinance50,1995:23~52
[10]Masulis,RonaldW.The effects of capital structure change on security prices:A stud y of exchange offer[J]Journal ofFinancialEconomics38,January,1983:107~126
[11]MasulisRonaldW,AshokN KorwarSeasoned equity offerings:An empirical study[J]Journal ofFinancialEconomics15,1986:91~118
[12]MillerM,RockDividend policy under asymmetric information[J]Journal ofFinance40,June,1985:1031~1051
[13]MyersStewartC,NicholasS MajlufCorporate financing and investment decisionswhen firms have information that investors do not have[J]Journal ofFinancialEco nomics13,June,1984:187~222
[14]费方域控制内部人控制[J]经济研究,1996,(6)
[15]胡乃武,阎衍,张海峰增发融资的股价效应与市场前景[J]金融研究,2002,(5)
[16]刘力,王汀汀,王震中国A股上市公司增发公告的负价格效应及其二元股权结构解释[J]金融研究,2003,(8)
[17]张人骥,陆懋祖,耿广琪分割市场中的系统风险的长期趋势与传递效应[J]数量经济技术经济研究,2003,(9)
[18]张人骥,王怀芳,王耀东,朱海平上海证券市场系统风险趋势与波动的实证分析[J],金融研究,2000,(1)
[19]证监会上市公司向社会公开募集股份暂行办法[Z]证监会公告,20000430
[20]证监会关于做好上市公司新股发行工作的通知[Z]证监会公告,20010315
[21]证监会关于上市公司增发新股有关条件的通知[Z]证监会公告,20020724
引用本文
张人骥, 刘春江. 基于政策监管下的新股增发与股市波动研究[J]. 财经研究, 2005, 31(6): 121–132.
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