The Empirical Research On The Pricing Mechanism And Effect Of Announcement Of Right Offer

Raising capital is the foundation of an enterprise's sound and continuous development, while as an important channel for equity capital raising of China's listed companies, right offer has significant influence on further development. Right offer has been developing quickly since 1993, however, due to China's economic environment, it also causes some problems, especially how to price the right offer. From the prospective of pricing mechanism of right offer, this thesis analyzes the abnormal phenomenon of listed companies'pricing of right offer; finds out the factors which truly influence right offer pricing of listed corporations in China by empirical research, then set up a comparatively rational right offer pricing model, analyzes the market reaction to right offer when right offer price is higher and lower by the model and propose some suggestions based on these analysis. First part of this thesis introduces the basic theory of CAPM(capital asset pricing model),including the development of CAPM and other pricing model that derived from the CAPM; then summarize the international proof of the reaction to SEO(seasoned equity offerings) and analyzes the cause. Second part analyzes the evolvement of SEO'modes and the development of right offer, especially situation of right offer in China of late years; theoretically analyzes the pricing mechanism of right offer in Chinese share market and focus on the factors which truly influence right offer pricing. Third part takes the date of announcement day as standard and choose 109 companies from Chinese share market from 2001 to 2003 to analyzes the main factors which truly influence right offer pricing by empirical research; then finds out the second-market price and net assets per share are the main factors, and set up the estimative model of right offer price by the result. Fourth part distinguishes the residual of estimative model, and set up 101 regression models by single-factor model which derive from CAPM; analyzes the reaction to right offer when right offer price is higher and lower by the model by CAR(cumulative abnormal return), and takes the reaction of announcement to the test of significance approach to compare the significance of them. The result proved that there is significant abnormal return in announcement day no matter what the right offer price is higher or lower and there is significant different reaction between the higher price and the lower price. Final part makes suggestions which based on empirical research that how to formulate the right offer price and when to implement the right offer plan are comparatively rational, meanwhile, makes suggestions to restrict the right offer price for regulatory department.