CAJ | 학술논문

选取沪、深两市2007年既进行定向增发又具有行业代表性的7只地产股为样本数据，编制定向增发地产指数，并分析该指数在2008年1月--2012年3月间的收益率波动性。研究发现，定向增发地产指数收益率的波动性在短期内明显增加，而地产指数、上证指数和深证成指在同一时期内的波动性却相对稳定。基于信息不对称学说的推理和在GARCH模型中引入虚拟变量的方法实证研究表明，定向增发再融资方式带来收益率正效应的同时，会增加上市公司股价和收益率短期内的波动性。
선취호、심량시2007년기진행정향증발우구유행업대표성적7지지산고위양본수거，편제정향증발지산지수，병분석해지수재2008년1월--2012년3월간적수익솔파동성。연구발현，정향증발지산지수수익솔적파동성재단기내명현증가，이지산지수、상증지수화심증성지재동일시기내적파동성각상대은정。기우신식불대칭학설적추리화재GARCH모형중인입허의변량적방법실증연구표명，정향증발재융자방식대래수익솔정효응적동시，회증가상시공사고개화수익솔단기내적파동성。
Based on 7 representative real estate stocks with Private Equity Placements in Shanghai and Shenzhen security markets in 2007, this paper compiles the Private Equity Placements real estate index, and analyzes the volatility of this stock index yields from January 2008 to March 2012. The research has found that the volatility of Private Equity Placements real estate index yields has increased obviously in short term, while the volatility of real estate index, Shanghai index and Shenzhen component index re- maines stable relatively. Based on the reasoning of Asymmetric Information theory and empirical studies, it shows that Private Equity Placements has increased share price and yield volatility of listed company in short term, while it seems like bring positive effect to yield.