定向增发对股价收益率波动性影响的短期效应研究--以沪、深两市房地产类股票为样本

摘要

Based on 7 representative real estate stocks with Private Equity Placements in Shanghai and Shenzhen security markets in 2007 ,this paper compiles the Private Equity Placements real estate index , and analyzes the volatility of this stock index yields from January 2008 to March 2012 .The research has found that the volatility of Private Equity Placements real estate index yields has increased obviously in short term ,while the volatility of real estate index ,Shanghai index and Shenzhen component index re-maines stable relatively .Based on the reasoning of Asymmetric Information theory and empirical studies , it shows that Private Equity Placements has increased share price and yield volatility of listed company in short term ,while it seems like bring positive effect to yield .%　　选取沪、深两市2007年既进行定向增发又具有行业代表性的7只地产股为样本数据，编制定向增发地产指数，并分析该指数在2008年1月－2012年3月间的收益率波动性。研究发现，定向增发地产指数收益率的波动性在短期内明显增加，而地产指数、上证指数和深证成指在同一时期内的波动性却相对稳定。基于信息不对称学说的推理和在 GARCH 模型中引入虚拟变量的方法实证研究表明，定向增发再融资方式带来收益率正效应的同时，会增加上市公司股价和收益率短期内的波动性。