个股情绪、定向增发与大股东利益输送——来自中国A股上市公司的经验证据  

Individual Stock Sentiment,Private Placement,and Tunneling:Empirical Evidence from Chinese A-Share Listed Companies

作　　者：王健[1,2] 李明操[1] 郭文轩 蒋忠中 WANG Jian;LI Ming-cao;GUO Wen-xuan;JIANG Zhong-zhong(School of Business Administration,Northeastern University,Shenyang 110167,China;Institute of Behavioral and Service Operations Management,Northeastern University,Shenyang 110167,China;China Banking and Insurance Regulatory Commission Tianjin Office,Tianjin 300050,China)

机构地区：[1]东北大学工商管理学院,辽宁沈阳110167 [2]东北大学行为与服务运作管理研究所,辽宁沈阳110167 [3]天津银保监局,天津300050

出　　处：《中国管理科学》2022年第9期23-35,共13页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71571038,71971046,71971052,71671033);辽宁省“兴辽英才”青年拔尖人才项目(XLYC1907015,XLYC1807252);中央高校基本科研业务费(N2006010,N2006006)。

摘　　要：识别市场情绪对企业融资行为的影响是公司金融领域的重要话题,但直接测度个股情绪,并分析其如何影响上市公司定向增发行为的实证研究较为匮乏。本文采用“隔夜收益法”度量我国上市公司的个股情绪,以股票日开盘价和收盘价的截面特征变化直接衡量单只股票的情绪值,并细致区分高涨与低迷情绪、强烈与缓和情绪,考察其对上市公司定向增发过程中的增发时机、增发规模和大股东利益输送行为产生的影响。结果发现:上市公司存在利用个股情绪选择增发时机和增发规模的行为,且个股情绪越强烈,上市公司越倾向于进行定向增发和提高增发规模;上市公司大股东存在利用个股情绪调整增发中认购比例的利益输送行为,且个股情绪乐观时大股东倾向于向外部投资者增发股票、悲观时则倾向于向内部投资者增发股票;高价股、小市值和非国有特征的上市公司利用个股情绪选择增发时机、增发规模的行为更为明显,高价股和非国有特征的上市公司利用个股情绪进行利益输送的行为更为明显。本研究对于识别个股情绪在上市公司定向增发过程中的独特作用,及规范企业融资行为和制定投资策略具有重要的理论和现实意义。Private placement is the main way for listed companies to carry out equity refinancing after the equity split reform in China.However,empirical studies that directly to measure stock sentiment and analyze how it affects the private placement behavior of listed companies are scarce.The listed companies are selected that successfully implemented the private placement of project financing between Shanghai and Shenzhen from January 1,2005 to December 31,2018 as the research sample.Adopting the“overnight return method”in China for the first time to measure individual stock sentiment,and using Probit and OLS regression model to systematically investigate its impact on the process of private placement,it is aiming to reveal the micro-action mechanism of individual stock sentiment in the corporate financing process and the resulting economic consequences.It is found that:Listed companies use individual stock sentiment to choose the market timing and financing scale,and the stronger the individual stock sentiment is,the more likely the listed companies are to conduct private placement and increase financing scale;Major shareholders of listed companies use individual stock sentiment to adjust the subscription ratio in the additional issuance.When individual stock sentiment is optimistic,major shareholders tend to issue additional stocks to external investors,and when it is pessimistic,they tend to issue additional stocks to internal investors;Listed companies with high stock price,small market value and non-state-owned characteristics use individual stock sentiment to choose the market timing and financing scale is more obvious,and listed companies with high stock price and non-state-owned characteristics used individual stock sentiment to tunneling is more obvious.It makes up for the shortcomings that were only discussed in the past for a specific issue in the process of private placement,helps open the“black box”of private placement of listed companies at the micro level,and give a reasonable explanation to the e

关 键 词：个股情绪 定向增发 增发时机 增发规模 利益输送 

分 类 号：F224[经济管理—国民经济]