中文摘要：

本文研究了定向增发对股票长期收益的影响。利用2007年1月~2012年12月我国沪深A股市场定向增发股票样本,实证发现定向增发的确导致了股票长期低绩效,但是其低绩效程度不如传统定价模型发现的那样严重,这说明该异象一定程度是由模型设定偏误所造成的。另外,本文发现我国上市公司定向增发存在着显著的市值效应,但不存在显著的账面市值效应,在此基础上本文提出了改进三因子模型,显著改善了模型的定价能力,并从整体上减弱了定向增发的长期低绩效效应。

英文摘要：

This paper aims to provide an explanation to the long-run underperformance of those firms conducting private placements. An empirical study based on sample data of all the stocks in Shanghai and Shenzhen stock markets following private placements during January 2007 and December 2012 finds that they display long-run underperformance, but it is not as serious as traditional pricing model which might be due to the bias of model setting. Furthermore, we find that the market- value size effect exists prominently while the book-to-market effect is not significant in Chinese stock market. In addition, after reconstructing the three-factor model over the two-factor model, the pricing ability is significantly improved and the underperformance effects can be weakened.