股价偏差与定向增发择时：行为机理及经济后果

There is a large body of literature on managerial market timing in equity financing. While market timing in public offerings is well documented, evidence on timing in private placements is rare. In this project, we investigate whether private placement could also be used to time the market and how equity mispricing affects behaviors and interactions of managers and private placement investors. In doing so, we try to take advantage of the unique institutional setting of Chinese seasoned equity issues, especially its differential and changing pricing mechanisms for public offerings and private placements. Specifically, we approach this topic from the following perspectives: (1) Whether managers are able to time the private placement market under some unique regulatory environment; (2) Is overvaluation seen at private placement announcements an ex post sign of managerial timing or caused by intentional earnings management beforehand? Is the overvaluation corrected by final issue? (3) Why are sophisticated investors willing to subscribe to overpriced shares and what are their strategies to maximize their profits?. Our logic is market timer are likely resort to private placement market instead to pursue timing opportunities if they encounter significant obstacles in the public market and the pricing of shares place privately depends, at least to some extent, on the market prices. Meanwhile, institutional investors are not necessarily incentivized to monitor the management or to bring overvalued prices back to the fundamental level. Rather than, after investing in overvalued firms, they might turn a blind eye on managers' manipulation of earnings afterwards to mislead the public, so as to resell the overpriced shares to secondary investors in higher prices.

和定向增发不同，现有文献倾向于认为管理层具备在公开增发中进行市场择时的动机和能力。本课题利用中国上市公司公开增发和定向增发不同的定价机制及其变化，研究特殊的监管环境下，定向增发市场是否也有可能成为权益再融资公司管理层择时的场所，管理层择时如何影响机构投资者的行为逻辑及经济利益。具体回答3方面的问题：⑴管理层选择定向增发融资时是否也具有市场择时的动机和能力？管理层在融资决策中如何利用股价偏差实现市场择时？⑵作为市场择时的前提条件，哪些因素造成了定增计划初次宣告时的股价正向偏差？该偏差是否在实际增发前被纠正？(3)市场择时会造成利益转移，机构投资者如何实现自身利益最大化？我们的假设认为，当公开市场择时遭遇重大障碍，管理层会转向定向增发市场，持续向上管理盈余误导市场并在股价偏差顶点附近宣布定增计划锁定底价。机构投资者通过索取认购折扣和纵容管理层在增发后管理盈余，将择时成本转嫁给二级市场投资者。

本课题利用中国上市公司公开增发和定向增发特有的定价机制及制度背景，研究了造成了投资者情绪与股价偏差的关系，股价偏差对公司管理层权益融资决策的影响，管理层是否可以识别并利用定向增发中利用股价偏差，成功实现市场择时三个方面的问题。我们发现，当股价长期被高估且近期处于上升通道时，发起公开增发的概率更高。但由于中国的监管层为定向增发设计了底价机制，当前期股价的正向偏差相对较小时，寻求市场择时机会的管理层会转向定向增发市场。在启动权益融资前，管理层一方面主动向上管理盈余以影响股价，另一方面被动等待投资者情绪和股价偏差达到顶点附近在宣告融资计划。虽然参与定向增发多为机构投资者，借助定价机制给与的便利，管理层有能力成功实现市场择时，在给投资者提供看似较高的折扣的同时，承担较低的发行成本。总体而言，无论是公开增发，还是定向增发，管理层都能有意愿有能力进行市场择时。在融资方式的选择中，管理层需要在定向增发的价格保障和高折扣间权衡。