摘要
文章选取增发公司样本,利用多种方法对增发事件重要日期逐一考察,获得增发新股存在负价格效应的最终结论。根据证监会对增发政策的规定,文章选取增发数量、现金流量增长率和资产负债率三个变量,考察其与超额报酬的相关关系,研究发现现金流量增长率与超额报酬正相关,支持信息非对称假说。此外,文章对交易量进行检验,发现存在内幕交易的可能性。
For a sample of 42 companies from capital market in year 1999～2001, we make use of event study to test the relationship between SEO and stock price change by three methods. The empirical results show that SEO has a significantly negative effect on stock price. According to SEO policy of CSRC, we select three variables, offering size, cash flow growth and financial leverage, so as to study the relationship between SEO and the abnormal returns. The multivariate regression analysis suggests that the abnormal returns can be explained by cash flow growth.
出处
《财经研究》
CSSCI
北大核心
2005年第6期120-131,共12页
Journal of Finance and Economics
关键词
增发新股
股市波动
政策监管
seasoned equity offering (SEO)
fluctuation in stock market
policy regulation
