基于投资者情绪的定向增发折扣信号博弈模型研究  

Research on the Game Model of Directional Additional Offering Discount Signal based on Investors′Sentiment

作　　者：张莹 李德龙 ZHANG Ying;LI De-long(Business School of Sichuan University,Chengdu 610064,China;School of Management Science and Engineering,Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]四川大学商学院,成都610064 [2]东北财经大学管理科学与工程学院,辽宁大连116025

出　　处：《商业研究》2020年第3期1-10,共10页Commercial Research

摘　　要：定向增发是股权再融资手段之一,具有成本低、程序灵活等特点,但许多定增股份的长期市场表现却差强人意。大量统计研究表明,投资者的盲目乐观是定增股份长期市场表现差的主因。针对投资者情绪演化机制,本文将定增投资者积极表现和消极表现设定为信号,将高、低发行折扣率设定为定增企业策略,构建了基于投资者情绪的投资者和定增企业信号博弈模型,通过分析四种贝叶斯Nash均衡路径及企业商誉收益,推论出了投资者情绪的演化机理。研究发现:积极表现并不意味着投资者属于高情绪型,也可能是定增资格驱动下的积极伪装;在高期望商誉收益影响下,定增企业倾向给予高发行折扣率,不再关注投资者情绪类型;定增企业对长期商誉的轻视是金融异象的主要成因,并可能扰乱投资者整体情绪,对定增市场产生较大负面影响。Private placement is one of the popular means of equity refinancing,which has the characteristics of low cost and flexible procedures,but the long-term market performance of some fixed increase shares is unsatisfactory.A large number of statistical studies show that investors′blind optimism is the main reason for the poor long-term market performance.According to the evolution mechanism of investor sentiment,this paper sets the positive and negative performance of investors as signals,and sets high and low issue discount rate as fixed increase strategies,to construct a signal game model of investors and private placement enterprises based on investor sentiment,and based on the analysis of four Bayesian Nash equilibrium paths and corporate goodwill income,the evolution mechanism of investor sentiment is obtained.It is found that,first,positive performance does not mean that investors are highly emotional,but may also be a positive camouflage driven by fixed increase qualification;under the influence of high expected goodwill income,private placement enterprises tend to give high issue discount rate,and no longer pay attention to investor sentiment type;private placement enterprises′contempt for long-term goodwill is the main cause of financial anomalies,and may disturb investors′overall mood,which has a greater negative impact on the private placement market.

关 键 词：定向增发 投资者情绪 发行折扣率 信号传递博弈 

分 类 号：F830[经济管理—金融学]