An Empirical Study On Short-term Stock Price Effect And Influencing Factors Of A-share Listed Companies

Private placement is a kind of non-public offering of shares by a listed company to a few qualified investors.Compared with other financing methods,the private placement has a low financing threshold,a simple issuance and approval process,and a clear subscription target,the above and many other advantages make listed companies more and more prefer to refinance through private placement,which also makes the private placement market of our country develop rapidly.The 2021 of China’s private placement market has reached RMB899.4 bn.From 2000 to the 2021,the cumulative financing size of China’s private placement market is RMB10,024.5 bn,the cumulative amount of financing initial public offering was 4,024.8 billion yuan,far exceeding the second place among financing methods.Private placement has long been the most important equity financing method in China’s capital market.Through private placement,listed companies can raise funds for promising entity projects or supplement working capital,can also meet the acquisition of high-quality assets,the introduction of foreign strategic investors,the realization of the overall listing and many other demands.In foreign countries,private placement has a long history of development,as an important means of financing is widely used by listed companies.But our country’s private placement system also plays the role of the policy adjustment tool,the supervisory level usually according to the external environment and the listed company financing demand change dynamic adjustment private placement policy gate,due to the change of policy environment and ecological system,the preferences and behavior patterns of market participants usually change according to their own interests.In 2018,our country’s listed companies are faced with the financing problems brought by china-us trade war,economic downturn and poor stock market performance.And the February 2020 issue of the "Non-public offering of listed companies," and further lowered the implementation of private placement of listed companies the threshold.Under the new policy environment,the enthusiasm of private placement of listed companies is stimulated again,and the private placement market recovers rapidly,which provides sufficient samples for this paper to study under the new cycle,the stock price effect of private placement of listed companies and its influencing factors.This paper manually collates the announcement date data of a-share listed companies from the Giant Tide Information Network.The time span is from January 2018 to April 2022,some samples were manually culled to avoid interference from other significant events during the event window.In order to study the short-term stock price effect of private placement,the event analysis method is used in this paper.The event window period is set to five trading days before and after the announcement date of private placement plan,that is,the event window period is set to [-5,5],the estimated period is set to [-140,-6],and further grouping study is carried out according to whether the private placement involves asset restructuring.Then,this paper makes a regression analysis on the influencing factors of short-term stock price effect of private placement of listed companies to test the rationality of the research hypothesis.The empirical results draw the following conclusions: first,listed companies announced the implementation of private placement announcement day has a significant positive excess yield;second,private placement event may have information leakage,third,the private placement events related to asset restructuring will bring higher short-term cumulative excess return rate to listed companies,the proportion of large shareholders’ subscription is positively correlated with the short-term cumulative excess return;fifth,investors prefer discount listed companies under the current policy cycle and issuance environment,there is a positive correlation between the discount rate and the short-term cumulative excess return.Finally,according to the empirical results,some suggestions are put forward to listed companies,secondary market investors and regulators respectively: the management of listed companies should strengthen internal control,especially the construction of information disclosure system to avoid the leakage of inside information,at the same time,we should seize the policy window to actively implement targeted additional issuance to achieve leapfrog development.Investors in the secondary market should not rush up or down the announced private placement,as not all private placement events will lead to positive stock price performance,and some funds will choose to liquidate after the announcement date,caused the share price to fall.Finally,the listed companies that aim at asset reorganization have more investment value,so investors should take institutional factors and policy orientation into consideration when formulating the investment strategy of private placement.The Regulators still need to continue to improve the insider information informant registration system,strengthen the large shareholder collusion to benefit transmission,related party transactions and other violations of the punishment,at the same time,we should adjust the focus of supervision according to the change of the behavior pattern of market participants.