定向增发折价的期权特征及其信息内涵  

The Option Characteristics of Discount Rate in Private Placements and Its Information Contents

作　　者：马文杰[1] 曹啸[1] 殷琤 WENJIE MA;XIAO CAO;CHENG YIN(Shanghai University of Finance ＆ Economic)

机构地区：[1]上海财经大学金融学院 [2]万家共赢资产管理有限公司

出　　处：《经济学（季刊）》2018年第1期693-728,共36页China Economic Quarterly

基　　金：国家自然科学基金面上项目(71672107;71473156);上海市哲学社会科学规划课题(2015BGL016)的阶段性成果;上海浦江人才计划(13PJC051)的资助

摘　　要：我国定向增发定价机制赋予了投资者一个由选择认购时机的"认购权证"及认购后获得的"成长期权"构成的"复合期权",增发日的折价率是选择期权最优行权条件的结果。实证结果显示,"认购权证"价值是决定折价率最重要的因素之一,同时,折价率扮演了向市场传递内幕信息的角色。仅管控折价率并不能有效抑制利益输送,可能会引起潜在的利益输送方式的转变,而限定定价时机从而降低"认购权证"的价值对抑制利益输送将更加有效。The pricing mechanism in the private placement of China provides investors a＂compound option＂,which consists of the call warrant for selecting the timing to buy and the growth option of the firm.The discount-rates of private placement depend on the option optimal exercising conditions.The empirical results show that,the call-warrant value is one of the most important factors affected the discount rate,meanwhile,the discount-rate can somehow reflect the inside information.To suppress the tunneling behaviors,limiting the discount rate is not efficient way,which maybe cause the change of tunneling channel,but limiting pricing date is.

关 键 词：定向增发 折价率 认购权证 

分 类 号：F832.51[经济管理—金融学]