【《中国船舶定向增发的动因和经济后果分析案例》16000字】

③计算出在此期间个股及市场的日收益率。表4-7估计期内个股及市场日收益率交易日期收盘价收盘指数RitRmt交易日期收盘价收盘指数RitRmt2018/6/112.441575.5892018/9/1211.211346.6910.99%-0.04%2018/6/412.271589.665-1.37%0.89%2018/9/1311.361360.7611.34%1.04%2018/6/512.441600.7091.39%0.69%2018/9/1411.261362.68-0.88%0.14%2018/6/612.471603.1640.24%0.15%2018/9/1711.011348.449-2.22%-1.04%2018/6/712.431603.261-0.32%0.01%2018/9/1811.161368.4121.36%1.48%2018/6/8121579.889-3.46%-1.46%2018/9/1911.171383.7320.09%1.12%2018/6/1111.691571.962-2.58%-0.50%2018/9/2011.071381.998-0.90%-0.13%2018/6/1211.681592.391-0.09%1.30%2018/9/2111.191419.6291.08%2.72%2018/6/1311.211582.979-4.02%-0.59%2018/9/2511.311412.2151.07%-0.52%2018/6/1411.21580.284-0.09%-0.17%2018/9/2611.391425.930.71%0.97%2018/6/1510.661567.58-4.82%-0.80%2018/9/2711.21421.964-1.67%-0.28%2018/6/1910.131518.584-4.97%-3.13%2018/9/2811.561443.8283.21%1.54%2018/6/209.681508.649-4.44%-0.65%2018/10/811.371385.474-1.64%-4.04%2018/6/219.351486.803-3.41%-1.45%2018/10/911.421378.9110.44%-0.47%2018/6/229.51499.6781.60%0.87%2018/10/1011.421375.4380.00%-0.25%2018/6/259.371491.53-1.37%-0.54%2018/10/1110.851301.372-4.99%-5.38%2018/6/269.51476.8071.39%-0.99%2018/10/1210.541308.316-2.86%0.53%2018/6/279.551465.650.53%-0.76%2018/10/1510.591290.6380.47%-1.35%2018/6/289.381449.118-1.78%-1.13%2018/10/1610.791268.9451.89%-1.68%2018/6/299.691475.353.30%1.81%2018/10/1710.941277.7151.39%0.69%2018/7/29.441434.562-2.58%-2.76%2018/10/1810.671249.104-2.47%-2.24%2018/7/39.711436.9682.86%0.17%2018/10/1910.761293.170.84%3.53%2018/7/49.581434.324-1.34%-0.18%2018/10/2211.111352.1143.25%4.56%2018/7/59.271430.375-3.24%-0.28%2018/10/2311.071330.903-0.36%-1.57%2018/7/69.41433.1421.40%0.19%2018/10/2411.051330.462-0.18%-0.03%2018/7/99.61462.2822.13%2.03%2018/10/2510.971338.5-0.72%0.60%2018/7/109.621475.2260.21%0.89%2018/10/2610.971331.7720.00%-0.50%2018/7/119.421451.344-2.08%-1.62%2018/10/2910.841296.503-1.19%-2.65%2018/7/129.661472.9792.55%1.49%2018/10/3011.011318.7681.57%1.72%2018/7/139.71478.2340.41%0.36%2018/10/3111.061328.170.45%0.71%2018/7/1610.191467.2075.05%-0.75%2018/11/111.091335.2620.27%0.53%2018/7/1710.471454.7082.75%-0.85%2018/11/211.221379.0581.17%3.28%2018/7/1810.81448.6813.15%-0.41%2018/11/511.481373.3652.32%-0.41%2018/7/1910.791436.299-0.09%-0.85%2018/11/611.51387.290.17%1.01%2018/7/2010.841462.4520.46%1.82%2018/11/711.91367.1363.48%-1.45%2018/7/2311.151479.642.86%1.18%2018/11/812.051359.4021.26%-0.57%2018/7/2411.191497.8910.36%1.23%2018/11/911.911343.847-1.16%-1.14%2018/7/2510.91500.403-2.59%0.17%2018/11/1212.071358.0411.34%1.06%2018/7/2610.91491.1660.00%-0.62%2018/11/1312.151370.5840.66%0.92%2018/7/2710.981487.0960.73%-0.27%2018/11/1411.981368.298-1.40%-0.17%2018/7/3011.061484.5550.73%-0.17%2018/11/1512.051390.2550.58%1.60%2018/7/3111.061487.5440.00%0.20%2018/11/1612.281425.7561.91%2.55%2018/8/110.671469.228-3.53%-1.23%2018/11/1912.281439.2750.00%0.95%2018/8/210.141435.464-4.97%-2.30%2018/11/2012.261402.584-0.16%-2.55%2018/8/310.041417.224-0.99%-1.27%2018/11/2112.571405.3242.53%0.20%2018/8/69.911393.623-1.29%-1.67%2018/11/2213.071403.8783.98%-0.10%2018/8/710.171421.4812.62%2.00%2018/11/2312.461361.818-4.67%-3.00%2018/8/810.261400.0170.88%-1.51%2018/11/2612.71358.8741.93%-0.22%2018/8/910.471427.0792.05%1.93%2018/11/2713.231353.9254.17%-0.36%2018/8/1010.61430.9711.24%0.27%2018/11/2813.191366.906-0.30%0.96%2018/8/1311.131427.425.00%-0.25%2018/11/2913.261341.7210.53%-1.84%2018/8/1411.151421.7830.18%-0.39%2018/11/3013.411348.7061.13%0.52%2018/8/1510.961396.159-1.70%-1.80%2018/12/313.661383.1781.86%2.56%2018/8/1611.141384.7391.64%-0.82%2018/12/413.591390.536-0.51%0.53%2018/8/17111369.107-1.26%-1.13%2018/12/513.421371.712-1.25%-1.35%2018/8/2011.091375.3530.82%0.46%2018/12/613.241345.551-1.34%-1.91%2018/8/2111.431396.7243.07%1.55%2018/12/7131344.277-1.81%-0.09%2018/8/2211.671389.5862.10%-0.51%2018/12/1012.931330.453-0.54%-1.03%2018/8/2311.671385.8090.00%-0.27%2018/12/1112.931336.1340.00%0.43%2018/8/2411.091391.705-4.97%0.43%2018/12/1212.981344.060.39%0.59%2018/8/2711.061411.482-0.27%1.42%2018/12/1313.251358.2062.08%1.05%2018/8/2811.311403.9452.26%-0.53%2018/12/1412.911332.589-2.57%-1.89%2018/8/2911.551397.6382.12%-0.45%2018/12/1712.671338.916-1.86%0.47%2018/8/3011.511386.878-0.35%-0.77%2018/12/1812.581327.966-0.71%-0.82%2018/8/3111.651387.2331.22%0.03%2018/12/1912.221323.809-2.86%-0.31%2018/9/311.571382.1-0.69%-0.37%2018/12/2012.41323.6751.47%-0.01%2018/9/411.741393.9121.47%0.85%2018/12/2112.281309.313-0.97%-1.09%2018/9/511.451369.976-2.47%-1.72%2018/12/2412.491312.4821.71%0.24%2018/9/611.431365.225-0.17%-0.35%2018/12/2512.651300.0091.28%-0.95%2018/9/711.21369.46-2.01%0.31%2018/12/2612.911303.1032.06%0.24%2018/9/1011.011350.775-1.70%-1.36%2018/12/2712.921301.8570.08%-0.10%2018/9/1111.11347.2250.82%-0.26%2018/12/2813.131307.2021.63%0.41%数据来源：根据巨潮资讯数据整理得出将以上数据整合后制作成散点图如下所示：图4-4预期收益率散点图X轴表示的是指数涨跌率即指数收益率，Y轴为个股涨跌率即个股收益率。将数据制成散点图利用Excel表格可以计算出β值和Rf，之后对数据进行简单的线性回归分析，可以得到如下所示的二元一次回归方程：R=0.748Rm+0.00152.3.3事件日前后短期超额收益率研究将中国船舶定向增发事件发生前的15个交易日代入上面的公式计算这一段时间中国船舶股票的预期收益率。得出的收益率即为假设没有该事件的情况下股票的收益率。结果如表所示：表4-6事件日前15个交易日的超额累计收益率情况表交易日期个股涨跌幅指数涨跌幅预期收益率超额收益率累计收益率2019/4/40.00000.01900.0157-0.01570.05452019/4/30.00000.03550.0281-0.02810.07022019/4/20.00000.00370.0042-0.00420.09832019/4/10.00000.02750.0221-0.02210.10262019/3/290.00000.03580.0282-0.02820.12462019/3/280.0000-0.0096-0.00570.00570.15292019/3/270.02220.00180.00280.01930.14722019/3/26-0.0331-0.0232-0.0159-0.01720.12792019/3/250.0501-0.0199-0.01340.06350.14512019/3/220.04990.01340.01150.03840.08162019/3/210.01750.00660.00640.01110.04322019/3/20-0.0444-0.0039-0.0014-0.04300.03212019/3/190.0138-0.00170.00030.01350.07512019/3/180.05000.00820.00760.04240.06162019/3/150.02040.02440.01980.00060.01922019/3/140.0034-0.0223-0.01520.01860.0186数据来源：根据巨潮资讯收集数据整理得出紧接着选取中国船舶公告事件之后的15个交易日的上海国企指数，利用股票进行分析计算，这一阶段中国船舶的股票预期收益率之后，将其与其他综合指数的收益率进行对比分析，中国船舶实施定向增发后，自身股票的超额收益效应。通过两者对比结合公告事件，我们可以分析出股东财富的具体变化波动情况，具体数据变化如下表所示：表4-7事件日后15个交易日的超额累计收益率情况表交易日期个股涨跌幅指数涨跌幅预期收益率超额收益率累计收益率2019/4/26-0.0533-0.0195-0.0131-0.04020.28032019/4/25-0.0122-0.0288-0.02010.00790.32062019/4/24-0.0539-0.0084-0.0048-0.04910.