发行管制下上市公司定向增发中的市场时机行为研究

This research examines how listed companies' market timing behavior affects the completion or withdrawal of their proposals of private placements in China, and further examines the impact of market timing on the price discount and wealth effects of private placements. Based on the Chinese background with strict government regulations on security offering, we first analyze the characteristics of market timing to listed companies when they are making decisions on private placements, and identify two timing dimensions: timing on the issuer's valuation in the stock market and timing on the strictness of government regulations on security offering. Then, we examine the effects of market timing on the probabilities of private placement proposals and its completion, and the difference in these effects between private placements with different offering purposes. Next, we examine the impact of market timing on private placement discounts, distinguishing between the timing effect on the pricing in the primary market and the timing effect on the valuation in the secondary market. We further examine the different timing effects between private placements to different investors. Finally, we investigate how market timing affects the announcement effect and long-term performance of private placements. This research provides a new perspective for researches on private placements, and at the same time enriches the application of market timing in Chinese capital market. This research is helpful for the government to gain a better understanding of companies' decision on the issuance and pricing of private placements. Therefore, the government can adjust regulations on private placements to improve the efficiency of private placements as a means of financing and asset restructuring, and to provide better investor protection.

本课题研究市场时机行为是否影响上市公司进行定向增发的决策，进而影响定向增发的发行折扣和经济后果。以市场时机理论为基础，结合我国证券发行管制的制度背景，理论分析上市公司在定向增发过程中面临的市场时机的特点，将其分为基于公司估值水平的股价时机和基于发行管制水平的政策时机。在此基础上，分别研究市场时机对上市公司提出定向增发预案的概率和完成定向增发方案的概率的影响，以及在不同发行目的下这种影响的差异。接着，分别研究市场时机对一级市场定价和二级市场估值的影响，探讨市场时机行为对定向增发发行折扣的影响，以及不同发行对象下这种影响的差异。最后，研究市场时机行为对定向增发的经济后果的影响。本课题不仅为定向增发的研究提供了全新的视角，而且拓展了市场时机理论在我国的应用。实践方面有助于监管层了解定向增发中上市公司的发行决策和定价决策动机，进而通过制度调整使定向增发更好地发挥融资和资产重组功能，保护投资者利益。

定向增发是目前我国上市公司最主要的股权再融资方式，也是我国上市公司融资行为研究的一个热点。目前基于传统财务学框架的相关研究，无法完全解释我国定向增发实践中的各种现象。基于我国发行管制的制度背景，本项目引入市场时机理论对定向增发的发行折扣、经济后果进行研究。首先结合我国的再融资管制政策和定向增发的具体实践，从股价时机和政策时机两个维度对市场时机进行了更全面的度量，建立了定向增发决策中市场时机行为的理论框架。在此理论框架下进一步研究市场时机行为如何影响定向增发发行折扣，结果发现基于市场价格的股价时机影响定向增发个股的二级市场估值，基于发行管制的政策时机会影响其在一级市场的定价，二者共同作用导致定向增发具有较大的发行折扣。而不同发行对象之间的发行折扣的差异，在一定程度上是上市公司基于政策时机对大股东低价发行的结果。最后研究市场时机行为对定向增发长期经济后果的影响。用定向增发发行价中的错误定价成分（发行价偏误）度量股价时机，发现定向增发后上市公司长期财务业绩和市场业绩下滑，发行价偏误越高，财务业绩降幅越大，市场业绩降幅也越大。发行价偏误导致的长期财务业绩下滑在有大股东认购或项目融资类的增发中更为明显；发行价偏误水平对长期市场业绩的负面影响在大股东不参与认购或资产重组类的增发公司中更为显著。..本项目从市场时机理论的角度为定向增发的研究提供新的研究视角，同时也拓展了对市场时机理论的研究。此外，本项目对定向增发的长期经济后果进行了系统梳理，区分了市场时机对定向增发后的财务业绩和市场业绩的不同作用机制，为实践中定向增发后的财务业绩和市场业绩的背离提供了理论解释。