Research On The Impact Of Private Placement Announcement On Market Liquidity Behavior

As an important means of equity refinancing in China's listed companies,private placement has attracted the attention of investors and regulators.As an important source of information for market investors,private placement announcement has become the focus of theoretical and empirical research.In recent years,the theory of market microstructure has become a systematic and important branch of finance.With the emergence of financial crisis caused by liquidity risk,liquidity is increasingly gaining attention.Discussing market reaction to the private placement announcement from the perspective of liquidity helps to understand the mechanism of private placement of Listed Companies in China market and improve the market microstructure theory.The development of information technology makes it possible to acquire and apply high frequency data,and with the deepening and expansion of the research field,the measure of is constantly updated and improved,which laying foundations for comprehensive analysis of liquidity before and after the private placement announcement.Nevertheless,there has not yet been a model of all dimensions of measurable liquidity,and the existing indicators usually focus on one or two dimensions of liquidity,so there may be some differences in their impact factors.Based on this,this paper from two angles of abnormal returns and liquidity to investigate the market reaction of private placement announcement,focusing on private placement of stock liquidity level changes before and after the announcement.Then we discuss the similarities and differences of the change of stock liquidity before and after the announcement of private placement of listed companiesFirst of all,in order to study the stock price and returns during the private placement announcement of Listed Companies in China,this paper uses the market adjustment method to calculate the cumulative abnormal return of sample firms during the event window and compare it to its matching company.The study finds that China's Listed Companies stock price rises on the private placement announcement day,and during the announcement period,the stock has significant positive abnormal return.Next,using low frequency and high frequency financial transaction data,from the perspective of transaction cost,transaction amount,transaction frequency,price impact and information asymmetry,this paper makes a comprehensive analysis of stock liquidity before and after the private placement announcement.The result shows that after the company's private placement announcement,stock liquidity significantly improve.Further,starting from the private placement events,the paper explores the differences of the influence of company trading characteristics on the changes of different liquidity indexes before and after private placement announcement.Finally,we point out the paper's shortcomings and the future research prospect.