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Listed companies in the private placement price Empirical Study

Author: LiuQiuShengˇˇSunJianˇˇZhangHaiJu From: www.yourpaper.net Posted: 2009-10-25 07:25:04 Read:
Abstract: The private placement is usually that would cause the stock price to decline, which infringe the interests of individual investors. The paper uses event study methodology the announcement excess rate of return before and after the announcement of the private placement to raise funds by listed companies in China from April 2007 to April 2008 to validate the market's reaction to the events, which prove that the private placement of listed companies to raise funds bulletin has significant positive price effect. The research significance of this paper is that empirical shareholders will generally profit private placement to raise funds, which provide a theoretical basis for more listed companies through private placement financing or equity optimization.
Keywords: private placement stock price effects of excess yield

Directional growth stock research review

Since the Commission promulgated and implemented the "Issuance of securities of listed companies from the private placement as a listed company to refinance a way, in the split share structure reform implementation, it is increasingly favored by the listed companies. The impact of the private placement will normally be quickly reflected in the stock price, specifically, if the market believes that the private placement will increase future cash flow per share of listed companies, the company's stock in the incident will rise in the future; Conversely, if the market believes The private placement will not have an impact on future cash flow per share of listed companies, the company's stock at the date of the incident will not rise.
More research about the effect of private placement price at home and abroad, most of the conclusions show a negative effect. The private placement of short-term effects of the most common is the announcement effect, which refers to the listed companies to publish additional information, the stock price of the market reaction. Asquith and Mullins (1986) study shows that the issue of the day and the day before the announcement equity issue of industrial stocks that day and the day before the cumulative excess yield stocks and utilities announcement equity accumulated excess return rate there are obvious decline; Mikkelson and Partch (1986), Lucas and Macdonald (1990) research also shows that in the U.S. stock market, the additional announcement as bad news, for a price significantly decreased by 2% to 3%.
Hu Naiwu, Yan Yan, Zhang Haifeng (2002) study shows that the additional information brought negative impact, particularly evident in the issuance of stock negative effect issuance of listed companies in 2001. Liu Li, Wang Timberlake, Wang Zhen (2003) also confirmed that the additional announcement has significant negative price effect. Zhang Weidong (2007) empirical results show that the listed company declared a private placement of new shares and declared private placement of new shares to Group company listed as a whole has a positive wealth effect.

Sample data selection and research methods designed

(A) sample data, select
The sample interval select to implement private placement in April 2007 to April 2008, the CSI 300 listed companies, a total of 50 screened 40 companies. Screening criteria are as follows: consider only the A-share listed companies, including the B-share and H-share listed company data; must have sufficient stock price movements in the data before and after the orientation announcement Placements; excluding ST and * ST shares. Data and other information from the Wind information using the SAS statistical software for data processing.

(B) research methods designed
In accordance with the general analysis, select a plan announcement for the event day. Plan announcement a non-trading day, the next trading day is recognized as the announcement date. Events before and after the event period to take 20 trading days, that is (20 ,20) for the event window. "Window" of (-100, -21), intuitive window (see Figure 1) is estimated.
This article select market model Rit = ¦Ái ¦ÂiRmt eit calculate the expected rate of return E (Rit) examine the excess return rate and the rate of cumulative abnormal return CAR (Cumulative Abnormal Return), AR (Abnormal Return). Stocks over yield AR equal to the yield of the stock minus the normal rate of return (expected rate of return).
Estimated ¦Á, ¦Â formula is as follows:
Rit = ¦Ái ¦ÂiRmt eit
Where Rit: stock i on day t yields; Rmt: Day t market portfolio and the yield of the (index); ¦Ái: ¦Á estimated value of stock i; ¦Âi: stock i ¦Â the estimated value.
estimation window of 41 days stock yield index yield ¦Á, ¦Â, obtained by regression. Stock daily yield is calculated as: Rit = (Pit-Pit-1) / Pit-1, Pit stock i in the closing price of the trading day t, Pit-1 stock i t-1 trading day's closing price. Tape daily yield is calculated as follows: Rmt = (Indext-Index t-1) / Index t-1, Indext trading day t CSI 300 index closing price.


Estimated using the above values ??of ¦Á, ¦Â, take additional days ago after the announcement (20 ,20) The total of 41 trading days Rmt, you can estimate the expectations of each stock in the event window (20 ,20), yields E (Rit):
E (Rit) = ¦Ái ¦ÂiRmt
Stock i on day t excess yield. ARit = Rit-E (Rit), which, for all samples, the average excess rate of return AARit. Obtained stock i cumulative excess return rate t1 to t2 days. CARit = ¦˛ARit, which, for all samples, the average cumulative abnormal return rate of ACAR system. CAR conducted statistical tests, and the results were analyzed.

Empirical results

The empirical analysis is designed to test the company stock in the private placement process whether there is excess yield, that is, whether investors in a private placement earnings. Private placement for large shareholders or institutional investors, private placement can also be seen as the stakeholders a game. Empirical data partially using EXCEL processing, and other processing and statistical test results are handled by SAS software.

(A) analysis of AR
40 private placement announced additional plans the day after the excess yield basic statistics (see Table 1). Table 1 shows the 29 stocks there are positive excess rate of return (the highest Gold excess rate of return of 8.36%), there were 11 companies with positive excess return (the lowest Zhongfu Industry excess return was -5.3%). Day visits from the time of the company, the market for private placement event there is a reaction, and positive effects accounted for a large proportion.

(B) Analysis of AAR
Throughout the event window, AAR values ??change curve (see Figure 2), can be seen from Figure 2, four days before the event announcement date (22 days), AAR is positive, indicating that the news did not leak before the announcement of the private placement to market. After the publication date of a few days, the market brief additional negative effect, after the negative effects of the market to absorb a portion AAR and then slowly recovered, reduced volatility.
Right AAR basic statistical analysis of the test results (Table 2), seen from Table 2, T = 0.081313, and the P value is greater than 0.9352. The two results that reject the null hypothesis, the stock price of the private placement announcement negative effect was not significant.

(C) Analysis of CAR
Throughout the event window, private placement received continuous positive cumulative excess return rate, and reflect more strongly in a few days after the event announcement date (22 days), the adjustment in place until this effect before the end of the window (see Figure 3 ). Cumulative excess yield a long period of time prior to the announcement date are positive, may be disclosed in advance because the information out to the markets expected. This shows that the market is optimistic about the information disclosed in the announcement.
The CAR basic statistical analysis of the test results (Table 3), seen from Table 3, by assumption HO: car = 0, H1: CAR ˇŮ 0, to give t> 10.04925, and the P-value is less than 0.0001, i.e., significant level 5% to reject the null hypothesis that the presence of the cumulative excess yield, and the cumulative excess return was positive. This also can be seen, the private placement announcement effect on the listed company's share price, market reaction is positive.

The overall sample analysis of the conclusions and the reasons

Excess rate of return and the cumulative excess yield above analysis, the following conclusions:
Significantly different from zero can be seen, the market response to the private placement of information from the event window excess yield. Private placement of listed companies in the the selected CSI 300 samples program is recognized by the market, and investors to obtain short-term gains. Therefore, the listed companies in the private placement due to price effect is positive. Of course, this may be related to the institutional environment with our special, the below split share reform perspective of its impact analysis.
From a macro-level impact of the share reform, the private placement for institutional investors and state regulations within 12 months of the issue of shares (the major shareholders to subscribe for 36 months) can not be transferred directly alleviate the pressure of expansion, short-term within the financial side, nor will it have a significant impact, therefore, does not impact the private placement of the company's share price. Instead, rational investors think this is good news, the market responded well. Stakeholders from the private placement of interests of private placement implementation is conducive to maximize the benefits of the controlling shareholder and minority shareholders.
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