基于展望理论的股票终止增发效应分析  

Analyses on the Reaction of Canceling Seasoned Equity Offering Based on Prospect Theory

作　　者：赵立力[1] 谭德庆[2] 郭田德[3] 

机构地区：[1]西南交通大学公共管理学院,成都610031 [2]西南交通大学经济管理学院,成都610031 [3]中国科学院研究生院数学科学学院,北京100190

出　　处：《管理评论》2008年第10期8-12,35,共6页Management Review

基　　金：西南交通大学博士创新基金资助项目(200727)

摘　　要：从展望理论的角度对股票市场增发将带来负效应的原因进行了分析,并在此基础上给出了上市公司在宣布增发后又终止增发或弃增改配后,股票价格无法回升到公告前水平的理论证明。投资者对股市所释出的信息会做出自己的主观价值评价,他们做出的评价是损失还是赢得将影响到股市的增发效应,增发的负效应就来自于投资者对增发这一信息做出了将导致损失的主观价值评价,而终止增发或弃增改配后股票价格无法回升到公告前水平的原因在于投资者对于同等强度的利好和利空消息给予了不同权重的主观价值评价。From the perspective of prospect theory, this paper analyzes the reasons of stock market negative reaction caused by the seasoned equity offering (SEO). Based on the analysis, it is theoretically proven that the stock price can't rebound to the same level as that before a SEO is announced in the event that an announced SEO is cancelled or changed to rights issue. Investors will make their own subjective valuation of the released information. This valuation will affect the reaction of SEO whether this valuation is loss or gain. To be specific, in the case of negative reaction, investors' valuation of SEO will be loss. In short, the reason why the stock price can't rebound to the pre-announcement level lies in investors' subjective valuation with different weighting on the equally intensive bad and good news.

关 键 词：展望理论 股票增发 负效应 

分 类 号：F830.91[经济管理—金融学] F224