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

doi:10.16381/j.cnki.issn1003-207x.2020.1533

中国管理科学 ›› 2022, Vol. 30 ›› Issue (9): 23-35.doi: 10.16381/j.cnki.issn1003-207x.2020.1533

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

王健¹, ², 李明操¹, 郭文轩³, 蒋忠中¹, ²

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

收稿日期:2020-08-10 修回日期:2021-01-20 出版日期:2022-09-20 发布日期:2022-09-01
通讯作者: 蒋忠中(1979-),男(汉族),湖南祁阳人,东北大学工商管理学院院长,教授,博士生导师,研究方向:行为与服务运作管理,Email: zzjiang@mail.neu.edu.cn. E-mail:zzjiang@mail.neu.edu.cn
基金资助:
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)

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

WANG Jian^1,2, LI Ming-cao¹, GUO Wen-xuan³, JIANG Zhong-zhong^1,2

1. School of Business Administration, Northeastern University, Shenyang 110167, China; 2. Institute of Behavioral and Service Operations Management, Northeastern University, Shenyang 110167, China; 3. China Banking and Insurance Regulatory Commission Tianjin Office, Tianjin 300050, China

Received:2020-08-10 Revised:2021-01-20 Online:2022-09-20 Published:2022-09-01
Contact: 蒋忠中 E-mail:zzjiang@mail.neu.edu.cn

摘要/Abstract

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。

关键词: 个股情绪, 定向增发, 增发时机, 增发规模, 利益输送

Abstract: 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.

Key words: individual stock sentiment, private placement, market timing, financing scale, tunneling

中图分类号:

F224

王健, 李明操, 郭文轩, 蒋忠中. 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[J]. 中国管理科学, 2022, 30(9): 23-35.

WANG Jian, LI Ming-cao, GUO Wen-xuan, JIANG Zhong-zhong. Individual Stock Sentiment, Private Placement, and Tunneling: Empirical Evidence from Chinese A-Share Listed Companies[J]. Chinese Journal of Management Science, 2022, 30(9): 23-35.

参考文献

［1］徐辉, 周孝华. 定向增发抑价分解研究——基于双边随机边界分析的新视角［J］. 中国管理科学, 2019, 27(11): 50-60.Xu Hui, Zhou Xiaohua. Research on the underpricing decomposition of private placement: Based on the new perspective of two-tiered stochastic frontier model［J］. Chinese Journal of Management Science, 2019, 27(11): 50-60.
［2］ Baker M, Wurgler J. Market timing and capital structure［J］. Journal of Finance, 2002, 57(1): 1-32.
［3］ Dong M, Loncarski I, Horst J T, et al. What drives security issuance decisions: Market timing, pecking order, or both?［J］. Financial Management, 2012, 41(3): 637-663.
［4］ Alti A, Sulaema J. When do high stock returns trigger equity issues?［J］. Journal of Financial Economics, 2012, 103(1): 61-87.
［5］孙健, 吕璠, 佟岩. 定向增发对象, 目的与预案公告择时行为［J］. 厦门大学学报(哲学社会科学版), 2017, 2: 118-127.Sun Jian, Lv Fan, Tong Yan. Participants, purposes and timing behavior of private placements［J］. Journal of Xiamen University (Arts & Social Sciences), 2017, 2: 118-127.
［6］罗琦, 喻黄颖, 伍敬侗. 媒体情绪, 股权再融资与股东间财富转移［J］. 证券市场导报, 2017, 8: 42-50.Luo Qi, Yu Huangying, Wu Jingdong. Media sentiment, seasoned equity offering and wealth transfer among shareholders［J］. Securities Market Herald, 2017, 8: 42-50.
［7］ Loughran T, Ritter J R. The operating performance of firms conducting seasoned equity offerings［J］. Journal of Finance, 1997, 52(5): 1823-1850.
［8］王志强, 张玮婷, 林丽芳. 上市公司定向增发中的利益输送行为研究［J］. 南开管理评论, 2010, 13(3): 109-116+149.Wang Zhiqiang, Zhang Weiting, Lin Lifang. A study on the tunneling of private placement in Chinese market［J］. Nankai Business Review, 2010, 13(3): 109-116+149.
［9］朱红军, 何贤杰, 陈信元. 定向增发“盛宴”背后的利益输送:现象、理论根源与制度成因——基于驰宏锌锗的案例研究［J］. 管理世界, 2008,183(6): 136-147+188.Zhu Hongjun, He Xianjie, Chen Xinyuan. Offering benefit under the cover of “giving grand banquets”—directional private placement—The phenomenon, the theory and the institutional origin: A study based on the case of Yunnan Chihong Zinc & Germanium Co.,Led［J］. Journal of Management World, 2008,183(6): 136-147+188.
［10］张祥建, 郭岚. 资产注入、大股东寻租行为与资本配置效率［J］. 金融研究, 2008,422(2): 98-112.Zhang Xiangjian, Guo Lan. Asset injection, rent seeking behavior of large shareholders and capital allocation efficiency［J］. Journal of Financial Research, 2008,422(2): 98-112.
［11］ Bayar O, Chemmanur T J, Liu M H. A theory of capital structure, price impact, and long-run stock returns under heterogeneous beliefs［J］. Review of Corporate Finance Studies, 2015, 4(2): 258-320.
［12］李秉祥, 简冠群. 控股股东股权质押、投资者情绪与定向增发股价长期表现［J］. 中央财经大学学报, 2017, 11: 75-84.Li Bingxiang, Jian Guanqun. Stock pledge of controlling shareholders, investors sentiment and long-run performance following private equity placements［J］. Journal of Central University of Finance & Economics, 2017, 11: 75-84.
［13］ Frazzini A, Lamout O A. Dumb money: Mutual fund flows and the cross-section of stock returns［J］. Journal of Financial Economics, 2008, 88(2): 299-322.
［14］花贵如, 刘志远, 许骞. 投资者情绪、管理者乐观主义与企业投资行为［J］. 金融研究, 2011,425(9): 178-191.Hua Guiru, Liu Zhiyuan, Xu Qian. Investor sentiment, managerial optimism and corporate investment［J］. Journal of Financial Research, 2011,425(9): 178-191.
［15］ Loughran T, Mcdonald B. When is a liability not a liability? textual analysis, dictionaries, and 10-ks［J］. Journal of Finance, 2011, 66(1): 35-65.
［16］ Stein, Jeremy C. Rational capital budgeting in an irrational world［J］. Journal of Business, 1996, 69(4): 429-455.
［17］罗进辉, 谭利华, 陈熠. 修改反收购章程条款阻击“野蛮人”: 好消息还是坏消息？［J］. 财经研究, 2018, 12: 113-125.Luo Jinhui, Tan Lihua, Chen Yi. Amending antitakeover provisions: Good news or bad news? ［J］. Journal of Finance and Economics, 2018, 12: 113-125.
［18］王正位, 朱武祥, 赵冬青. 发行管制条件下的股权再融资市场时机行为及其对资本结构的影响［J］. 南开管理评论, 2007,10(6): 40-46.Wang Zhengwei, Zhu Wuxiang, Zhao Dongqing. Market timing in seasoned equity offerings with security issue regulation and its impact on capital structure［J］. Nankai Business Review, 2007,10(6): 40-46.
［19］倪中新, 武凯文, 周亚虹, 等. 终极所有权视角下的上市公司股权融资偏好研究——控制权私利与融资需求分离［J］. 财经研究, 2015, 1: 132-144.Ni Zhongxin, Wu Kaiwen, Zhou Yahong, et al. On listed companies’ preference for equity financing from a perspective of ultimate ownership: Private benefit of control and separation of financing demand［J］. Journal of Finance and Economics, 2015, 1: 132-144.
［20］ Johnson S, La Porta R, Lopez-De-Silanes F, et al. Tunneling［J］. American Economic Review, 2000, 90(2): 22-27.
［21］ Cheung Y L, Rau P R, Stouraitis A. Tunneling, propping, and expropriation: Evidence from connected party transactions in Hong Kong［J］. Journal of Financial Economics, 2006, 82(2): 343-386.
［22］ Lin Chen, Ma Yue, Malatesta P, et al. Corporate ownership structure and the choice between bank debt and public debt［J］. Journal of Financial Economics, 2013, 109(2): 517–534.
［23］ Friedman E, Johnson S, Mitton T. Propping and tunneling［J］. Journal of Comparative Economics, 2003, 31(4): 732-750.
［24］章卫东. 定向增发新股与盈余管理——来自中国证券市场的经验证据［J］. 管理世界, 2010,186(1): 54-63+73.Zhang Weidong. Private placement of new shares and earnings management: Empirical evidence from Chinese securities market［J］. Journal of Management World, 2010,186(1): 54-63+73.
［25］赵玉芳, 余志勇, 夏新平, 等. 定向增发、现金分红与利益输送——来自我国上市公司的经验证据［J］. 金融研究, 2011,425(11): 153-166.Zhao Yufang, Yu Zhiyong, Xia Xinping, et al. Private equity placements, cash dividend and tunneling: An empirical evidences from listed companies in China［J］. Journal of Financial Research, 2011,425(11): 153-166.
［26］徐斌, 俞静. 究竟是大股东利益输送抑或投资者乐观情绪推高了定向增发折扣——来自中国证券市场的证据［J］. 财贸经济, 2010, 4: 40-46.Xu Bin, Yu Jing. Whether it is the transfer of interests of major shareholders or the optimism of investors pushes up the discount of private placement: Evidence from Chinese securities market［J］. Finance & Trade Economics, 2010, 4: 40-46.
［27］ Baek J S, Rang J K, Lee I. Business groups and tunneling: Evidence from private securities offerings by Korean chaebols［J］. Journal of Finance, 2006, 61(5): 2415-2449.
［28］王克敏, 刘博. 公开增发业绩门槛与盈余管理［J］. 管理世界, 2012,187(8): 30-42.Wang Kemin, Liu Bo. SEO performance threshold and earnings management［J］. Journal of Management World, 2012,187(8): 30-42.
［29］宋衍蘅. 权益再融资资金使用方式与再融资以后的经营业绩［J］. 会计研究, 2008, 5: 23-29.Song Yanheng. The use of equity refinancing proceeds and long-term post-issue operating performance［J］. Accounting Research, 2008, 5: 23-29.
［30］ Sloan R G, You H F. Wealth transfers via equity transactions［J］. Journal of Financial Economics, 2015, 118(1): 93-112.
［31］ Aboody D, Even-Tov O, Lehavy R, et al. Overnight returns and firm-specific investor sentiment［J］. Journal of Financial and Quantitative Analysis, 2018, 53: 485-505.
［32］ Larrain B, Urzúa F. Controlling shareholders and market timing in share issuance［J］. Journal of Financial Economics, 2013, 109(3): 661-681.
［33］ Verma R, Verma P. Noise trading and stock market volatility［J］. Journal of Multinational Financial Management, 2007, 17(3): 231-243.
［34］ Graham J R, Leary M T, Roberts M R. A century of capital structure: The leveraging of corporate America［J］. Journal of Financial Economics, 2015, 118(3): 658-683.
［35］刘志远, 靳光辉, 王勇. 截面特征差异、投资者情绪与企业投资［J］. 经济与管理研究, 2012, 5: 89-97.Liu Zhiyuan, Jin Guanghui, Wang Yong. Differences in cross-section features, investor sentiment and corporate investment［J］. Research on Economics and Management, 2012, 5: 89-97.
［36］刘维奇, 刘新新. 个人,机构投资者情绪与股票收益［J］. 管理科学学报, 2014,17(3): 70-87.Liu Weiqi, Liu Xinxin. Individual, institutional investor sentiment and stock returns: Study based on Shanghai A-share market［J］. Journal of Management Sciences in China, 2014,17(3): 70-87.
［37］步丹璐, 狄灵瑜. 治理环境, 股权投资与政府补助［J］. 金融研究, 2017,431(10): 193-206.Bu Danlu, Di Lingyu. Governance environment, equity investment and government subsidy［J］. Journal of Financial Research, 2017,431(10): 193-206.
［38］ Chen C J P, Li Zengquan, Su Xijia, et al. Rent-seeking incentives, corporate political connections, and the control structure of private firms: Chinese evidence［J］. Journal of Corporate Finance, 2011, 17(2): 229-243.
［39］黄小琳, 朱松, 陈关亭. 持股金融机构对企业负债融资与债务结构的影响——基于上市公司的实证研究［J］. 金融研究, 2015,429(12): 130-145.Huang Xiaolin, Zhu Song, Chen Guanting. The effect of shareholding in financial institutions on debt financing and debt structure: Evidence from listed firms［J］. Journal of Financial Research, 2015,429(12): 130-145.
［40］ Chemmanur T J, Michel J S, Nandy D K, et al. Capital structure and security issuance under heterogeneous beliefs［C］//Proceedings of the 6th American Finance Association Annual Meeting, San Francisco, USA, January 3-5, 2009.

[1]	叶志强,张顺明,沈雪晨,郑洁菲. 我国上市公司定向增发的收益波动率择时效应研究[J]. 中国管理科学, 2024, 32(10): 30-40.
[2]	徐辉, 周孝华. 定向增发抑价分解研究——基于双边随机边界分析的新视角[J]. 中国管理科学, 2019, 27(11): 50-60.

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

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 2

Metrics

本文评价

推荐阅读 0