大股东减持时机与定向增发套利行为研究  

The Research on Large Shareholders' Holding Reduction Timing and Private Placement Arbitrage Behavior

作　　者：邓鸣茂[1,2] 

机构地区：[1]上海对外经贸大学金融管理学院,上海201620 [2]上海财经大学金融学院,上海200433

出　　处：《审计与经济研究》2016年第3期73-82,共10页Journal of Audit & Economics

基　　金：国家自然科学基金项目(71272009;71473157;71503162)

摘　　要：定向增发过程中的大股东的减持时机可以分为三类:第Ⅰ类型为在定向增发预案公告日前减持;第Ⅱ类型为在定向增发预案公告日到增发公告日之间进行减持;第Ⅲ类型为增发公告日后到定向增发股份解禁前减持。本文研究发现:(1)第Ⅲ类大股东减持的上市公司定向增发折价率最低,第Ⅰ类和第Ⅱ类大股东减持的上市公司在增发过程中存在大股东减持的上市公司定向增发折价率相对较高;(2)第Ⅱ类大股东减持的上市公司,在增发预案公告后具有更好的市场表现,第Ⅲ类大股东减持的上市公司,在定向增发完成后具有更好的市场表现;(3)第Ⅲ类大股东减持的上市公司在定向增发过程中具有最高的套利收益。本文的研究阐述了大股东在定向增发过程中高价减持低价增发的全新套利模式,为监管层加强大股东行为监督,提高中小投资者保护水平提供了依据。Large shareholders' holding reduction includes:1.holding reduction before private placement;2.holding reduction in the process of private placement;3.holding reduction after the private placement.This paper examines tunneling behaviors in large shareholders' holding reduction and private placement.The results from our sample show that:( 1) the lower discounts in private placements if large shareholders sell their stock after private placements,but higher discounts in private placements if large shareholders sell their stock before and in private placements;( 2) there are better long-term market reaction in the process of private placements if large shareholders sell their stock before and in private placements,and there are better longterm market reaction after the private placements announcement date if large shareholders sell their stock after private placements;( 3) there are highest arbitrage profit if large shareholders sell their stock after private placements.This paper explains the new mode of tunneling that large shareholders sell stock in high price and issue in low price.The results suggest that large shareholders expropriate minority shareholders by information announcements and earnings manipulation during their holding reduction and private placement.

关 键 词：大股东减持时机 定向增发新股 套利行为 折价率 盈余管理 企业融资 控股股东 累计超额收益 股票减持 股权分置改革 

分 类 号：F235.99[经济管理—会计学]