定向增发中的市场时机行为研究
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摘要
定向增发已经迅速发展成为我国上市公司最主要的股权再融资方式，因此也成为我国上市公司股权融资行为研究的一个热点。但目前相关研究始终没有脱离传统财务学框架，无法完全解释我国上市公司定向增发的相关现象。本文从我国证券市场的实际发展状况出发，引入市场时机理论对我国上市公司的定向增发行为进行研究。本文首先基于我国新兴资本市场的背景，结合发行管制的影响，对我国的市场时机行为特征进行分析，发现我国资本市场上既存在基于股市条件的价格时机，又存在基于发行管制的政策时机。因此，本文从价格时机和政策时机两个维度出发，研究上市公司如何根据市场时机的变化来决定是否完成定向增发，然后在上述市场时机行为结果（完成或者终止）的基础上，探讨市场时机对定向增发发行折扣和经济后果的影响。
本文以2006年至2009年间实施或终止了定向增发的上市公司为样本，使用logit回归模型，考察再融资审核过程中市场时机的变化对定向增发终止概率的影响，并根据发行目的将样本进一步分为项目融资型和资产注入型，检验不同发行目的定向增发的市场时机特征的差异。研究发现，定向增发的完成或者终止，是上市公司市场时机行为的结果。再融资审核过程中市场时机的变化情况，对定向增发的终止概率有显著影响。相对于预案公告，结果公告时公司的市值账面比越低，再融资管制越严格，则定向增发终止概率越高。项目融资类定向增发比资产注入类定向增发因为市场时机变化而终止的概率更高。
以2006年至2011年间完成的定向增发为样本，本文从市场时机理论的角度为定向增发的发行折扣提供了一种新的解释：发行完成时的二级市场价格会受基于发行公司估值水平的市场时机行为的影响，而一级市场的定价会受基于再融资管制水平的市场时机行为的影响，因此发行折扣在一定程度上是上市公司市场时机行为的结果。研究发现，相对于预案公告，结果公告时公司的市值账面比越高，再融资管制越宽松，则定向增发发行折扣越高。在再融资管制时机变化相同的情况下，大股东或者其关联方参与的定向增发的折扣要高于仅有机构投资参与的定向增发，因此不同发行对象之间的发行折扣的差异，在一定程度上是上市公司基于再融资管制的政策时机对大股东低价发行而造成的。
以2006年至2009年间完成或者终止了定向增发的上市公司为样本，发现定向增发完成时有显著的正向公告效应，发行完成后三年内的购买持有超额收益显著为正；终止公告时的公告效应显著为负，但终止后三年内的购买持有超额收益显著为正。进一步研究表明，上市公司基于公司估值水平变化的市场时机行为是定向增发经济后果的一个重要影响因素，预案公告至发行公告期间公司估值水平的变化与定向增发完成时的公告效应显著负相关，与发行后的长期股价显著负相关。
本文的研究表明，我国上市公司定向增发中存在明显的市场时机行为，这种市场时机行为会进一步影响定向增发的发行折扣和经济后果。本文为定向增发的相关研究提供了一个全新的视角，同时也拓展了市场时机理论在我国资本市场的应用，对理解上市公司的再融资活动具有重要意义，对于监管层制定和完善相关政策也具有一定的参考价值。
The private placement of common stocks of listed companies has developed into themost prevalent financing way in China, and therefore has become a hot topic in theresearches on listed companies’ equity financing behavior. Existing studies are based onthe framework of traditional corporate finance theory and cannot fully explain the relatedphenomena of private placements in China. Based on the characteristics of Chinese stockmarket，this paper explores the market timing theory to examine listed companies’ privateplacements in China. This paper first analyzes the characteristics of the market timing inthe background of emerging capital market and security regulations, and identifies twotiming dimensions: timing on the valuation in the stock market and timing on the level ofsecurity regulations. Therefore, this paper first examines how these two dimensions oftiming affect listed companies’ decisions on whether to complete or withdraw theirpreviously announced proposals of private placements. Based on the completion/withdrawal decisions, this paper further examines the impact of market timing on the pricediscount and economic consequences of private placements.
Using a sample of firms that completed or withdrew private placements in2006to2009, this paper uses logit regressions to examine the impact of market timing on thewithdrawal probabilities of private placements. Based on their offering purpose, privateplacements are further classified into project-investment type and capital-restructuringtype to examine the impact of offering purpose on the timing behavior. It is found that thecompletion or withdrawal of private placements is resulted by the issuing companies’timing behavior. We find a significant relationship between the withdrawal probability ofprivate placementand the changes in market conditions during the approving process byChina Securities Regulatory Commission (CSRC). A firm’s probability to withdraw itsprivate placement proposal is negatively related to the changes in its market-to-book ratioand changes in the CSRC regulation level during the approving process. Privateplacements of project-investment type are more likely to be withdrawn due to changes inmarket timing than private placements of capital-restructuring type.
Using a sample of firms that completed private placements in2006to2011, this paper provides a new explanation for the price discount of private placements from theperspective of market timing. Timing on valuation affects the issuing company’s price inthe secondary market, while timing on regulation affects the issuing company’s pricing ofnew shares in the primary market, therefore the discount reflects the effect of timingbehavior. It is found that changes in valuations and/or security regulation levels during theperiod between the issuance and proposal announcement are positively related to privateplacement discounts. Given the same changes in the regulation level, private placementsto controlling shareholders and/or their related parties have higher discount than privateplacements to only institutional investors. Therefore, the differences in discount betweendifferent investor types are driven by the low pricing to controlling shareholders and/ortheir related parties resulted from the timing behavior on regulation level.
Using a sample of firms that completed or withdrew private placements in2006to2009, this paper finds positive announcement effects and positive three-year buy-and-holdabnormal returns (BHARs) for the completion of private placements. The withdrawal ofprivate placements is associated with negative announcement effects and has positive andhigher three-year BHARs. Further analyses show that timing behavior on valuations hasimportant impact on the economic consequences of private placements. The changes inmarket valuation between the issuance and proposal announcement are negatively relatedto the price reaction to the completion, as well as the long-run stock performance of thecompleted private placements.
Findings in this paper reveal significant market timing behavior in the privateplacements of listed companies in China, which further affects the price discount andeconomic consequences of private placements. This paper provides a new perspective forresearches on private placements, and at the same time enriches the application of markettiming in Chinese capital market. This paper is of great importance to understand thefinancing activities of listed companies and to improve the regulation policies.
本文以2006年至2009年间实施或终止了定向增发的上市公司为样本，使用logit回归模型，考察再融资审核过程中市场时机的变化对定向增发终止概率的影响，并根据发行目的将样本进一步分为项目融资型和资产注入型，检验不同发行目的定向增发的市场时机特征的差异。研究发现，定向增发的完成或者终止，是上市公司市场时机行为的结果。再融资审核过程中市场时机的变化情况，对定向增发的终止概率有显著影响。相对于预案公告，结果公告时公司的市值账面比越低，再融资管制越严格，则定向增发终止概率越高。项目融资类定向增发比资产注入类定向增发因为市场时机变化而终止的概率更高。
以2006年至2011年间完成的定向增发为样本，本文从市场时机理论的角度为定向增发的发行折扣提供了一种新的解释：发行完成时的二级市场价格会受基于发行公司估值水平的市场时机行为的影响，而一级市场的定价会受基于再融资管制水平的市场时机行为的影响，因此发行折扣在一定程度上是上市公司市场时机行为的结果。研究发现，相对于预案公告，结果公告时公司的市值账面比越高，再融资管制越宽松，则定向增发发行折扣越高。在再融资管制时机变化相同的情况下，大股东或者其关联方参与的定向增发的折扣要高于仅有机构投资参与的定向增发，因此不同发行对象之间的发行折扣的差异，在一定程度上是上市公司基于再融资管制的政策时机对大股东低价发行而造成的。
以2006年至2009年间完成或者终止了定向增发的上市公司为样本，发现定向增发完成时有显著的正向公告效应，发行完成后三年内的购买持有超额收益显著为正；终止公告时的公告效应显著为负，但终止后三年内的购买持有超额收益显著为正。进一步研究表明，上市公司基于公司估值水平变化的市场时机行为是定向增发经济后果的一个重要影响因素，预案公告至发行公告期间公司估值水平的变化与定向增发完成时的公告效应显著负相关，与发行后的长期股价显著负相关。
本文的研究表明，我国上市公司定向增发中存在明显的市场时机行为，这种市场时机行为会进一步影响定向增发的发行折扣和经济后果。本文为定向增发的相关研究提供了一个全新的视角，同时也拓展了市场时机理论在我国资本市场的应用，对理解上市公司的再融资活动具有重要意义，对于监管层制定和完善相关政策也具有一定的参考价值。
The private placement of common stocks of listed companies has developed into themost prevalent financing way in China, and therefore has become a hot topic in theresearches on listed companies’ equity financing behavior. Existing studies are based onthe framework of traditional corporate finance theory and cannot fully explain the relatedphenomena of private placements in China. Based on the characteristics of Chinese stockmarket，this paper explores the market timing theory to examine listed companies’ privateplacements in China. This paper first analyzes the characteristics of the market timing inthe background of emerging capital market and security regulations, and identifies twotiming dimensions: timing on the valuation in the stock market and timing on the level ofsecurity regulations. Therefore, this paper first examines how these two dimensions oftiming affect listed companies’ decisions on whether to complete or withdraw theirpreviously announced proposals of private placements. Based on the completion/withdrawal decisions, this paper further examines the impact of market timing on the pricediscount and economic consequences of private placements.
Using a sample of firms that completed or withdrew private placements in2006to2009, this paper uses logit regressions to examine the impact of market timing on thewithdrawal probabilities of private placements. Based on their offering purpose, privateplacements are further classified into project-investment type and capital-restructuringtype to examine the impact of offering purpose on the timing behavior. It is found that thecompletion or withdrawal of private placements is resulted by the issuing companies’timing behavior. We find a significant relationship between the withdrawal probability ofprivate placementand the changes in market conditions during the approving process byChina Securities Regulatory Commission (CSRC). A firm’s probability to withdraw itsprivate placement proposal is negatively related to the changes in its market-to-book ratioand changes in the CSRC regulation level during the approving process. Privateplacements of project-investment type are more likely to be withdrawn due to changes inmarket timing than private placements of capital-restructuring type.
Using a sample of firms that completed private placements in2006to2011, this paper provides a new explanation for the price discount of private placements from theperspective of market timing. Timing on valuation affects the issuing company’s price inthe secondary market, while timing on regulation affects the issuing company’s pricing ofnew shares in the primary market, therefore the discount reflects the effect of timingbehavior. It is found that changes in valuations and/or security regulation levels during theperiod between the issuance and proposal announcement are positively related to privateplacement discounts. Given the same changes in the regulation level, private placementsto controlling shareholders and/or their related parties have higher discount than privateplacements to only institutional investors. Therefore, the differences in discount betweendifferent investor types are driven by the low pricing to controlling shareholders and/ortheir related parties resulted from the timing behavior on regulation level.
Using a sample of firms that completed or withdrew private placements in2006to2009, this paper finds positive announcement effects and positive three-year buy-and-holdabnormal returns (BHARs) for the completion of private placements. The withdrawal ofprivate placements is associated with negative announcement effects and has positive andhigher three-year BHARs. Further analyses show that timing behavior on valuations hasimportant impact on the economic consequences of private placements. The changes inmarket valuation between the issuance and proposal announcement are negatively relatedto the price reaction to the completion, as well as the long-run stock performance of thecompleted private placements.
Findings in this paper reveal significant market timing behavior in the privateplacements of listed companies in China, which further affects the price discount andeconomic consequences of private placements. This paper provides a new perspective forresearches on private placements, and at the same time enriches the application of markettiming in Chinese capital market. This paper is of great importance to understand thefinancing activities of listed companies and to improve the regulation policies.
引文
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