定向增发公告效应在股市中的异化现象——关于中国证券市场的实证研究  

The Research on the Dissimilation of Announcement Effects of Private Placement between Bull and Bear Markets——An Empirical Research in Chinese Stock Market

作　　者：徐斌[1] 俞静[2] 李娜[1] 陈国强[1] 

机构地区：[1]中央财经大学会计学院,北京100081 [2]河海大学商学院,南京市211100

出　　处：《经济与管理研究》2012年第2期72-81,共10页Research on Economics and Management

基　　金：中央财经大学121人才工程青年博士资助项目(QBJGL201012);国家自然科学基金"随机环境下基于期权视角的兼并价格确定的博弈分析"(71171207)

摘　　要：本文以中国证券市场2006～2008年成功进行定向增发的上市公司为样本,研究了定向增发公告效应在牛市、熊市中的异化现象。研究发现在牛市周期中仅仅公告日当天存在显著的正公告效应,公告日前后都不存在显著的正公告效应;但是在熊市周期中不仅公告日当天存在显著正公告效应,而且从公告日前两天开始一直到公告日后10天都存在显著正公告效应。在不同市场态势下,公告效应与折扣的关系也不相同:在熊市周期中,随着定向增发折扣的增加,公告效应相应减弱,而在牛市周期中公告效应增强。最后,论文给出了基于投资者情绪的理论解释以及相应的启示。In this paper, we investigate the dissimilation of announcement effects of private placement between bull and bear markets by taking these public corporations of announcing private placement from 2006 to 2008 as sampled corporations. We can disclose the following phenomena： in the bull stock market, the significant announcement effect can only be showed in the announcement day, and it couldn＇t be showed during the period of pre - and post - announcement day whereas it can be significantly showed during the whole process including pre - announcement day, announcement day and post - announcement day in the bear stock market. The relationship in the different stock market surroundings between the effects of announcement and price discount will be significantly different, and the announcement effects will be lessened with the increasing of discount whereas it will be swelled in the bull stock market surroundings. In last, some theoretic interpretations will be given according to investor sentiment and the corresponding revelations

关 键 词：定向增发 公告效应 市场周期 牛市 熊市 

分 类 号：F830.90[经济管理—金融学]