【作者】 王雪；

【导师】 李国平；

【作者基本信息】 中央财经大学 ， 工商管理硕士（MBA）（专业学位）， 2024， 硕士

【副题名】以H私募股权基金为例

【摘要】 近年来,随着我国资本市场的逐步完善,私募股权基金已成为资本市场的重要参与者。截至2023年12月31日,存续私募股权基金共有31,259只,存续规模已达11.12万亿。在一二级市场估值价差逐渐缩小的市场环境和再融资条件松绑的政策背景下,私募股权基金开始积极参与上市公司定向增发业务。随着越来越多机构进入定向增发市场,其收益率出现不同程度的下降。如何在定向增发市场保持良好的收益率,提高定增选股成功率,实现投资资本的增值保值,是私募股权基金关切的主要问题。本文在介绍研究背景和相关概念的基础上,首先梳理了定向增发市场近些年的发展情况和新变化。2020年再融资新政开始实施,竞价定向增发认购所得股份的锁定期由原来的12个月缩短至6个月,发行底价由原来的定价基准日前20个交易日均价的9折调整至8折,竞价定向增发融资规模得到快速发展。2023年8月,为了完善一二级市场逆周期调节机制,证监会进一步发布相关优化措施,对于存在破发、破净、经营业绩持续亏损、财务性投资比例偏高等情形的上市公司再融资,发布适当限制其融资间隔、融资规模等六项安排,定向增发迎来新的发展阶段。其次,本文以H私募股权基金作为典型案例,H基金以其特有的组织保障、决策机制及风险控制制度,及时根据政策变化,调整其投资策略。本文重点分析了其选股策略和收益结构,对于选股策略,H基金重点关注拟投项目的基本面和投资价格,拟投项目的基本面包括项目所属行业、法务、财务、团队等相关情况保持良好;投资价格的确定是本论文研究的重点,在我国定向增发业务中,本论文在全国同行中率先提出“套牢率”的概念,并将2020年以来上交所和深交所444家上市公司定向增发价格的“套牢率”与其定向增发投资成功率进行统计分析,发现套牢率与定向增发投资成功率存在较强相关性,通过EXCEL和STATA软件,得出定向增发价格的套牢率与定向增发投资成功率之间的数学模型。将定向增发价格的套牢率代入该数学模型,计算出2020年以来定向增发项目成功率,并与实际情况进行定性定量比较,得出以下结论:套牢率小于等于10%,积极参与该定向增发项目;套牢率大于10%小于等于30%,可以参与该定向增发项目;套牢率大于30%小于等于60%,谨慎参与该定向增发项目;套牢率大于等于60%,原则上不参与此次定向增发项目。最后,为降低投资风险,H基金在投资定向增发业务时,将套牢率作为重要选股指标,并提出做大做强单只基金规模,积极为定向增发项目赋能等优化建议。研究结论表明,自2006年《上市公司证券管理办法》颁布以来,定向增发逐渐成为上市公司股权再融资的重要组成部分,近些年,随着政策变化,定向增发融资项目数量和募资规模得到快速发展。H基金近年积极拓展其定向增发业务,其决策体系完善、投研驱动且策略灵活,定量分析不同价格的套牢率和成功率,做出正确的选股决策和投资价格决策,进行稳健而又理性报价。H基金利用其独创的套牢率指标,在近三年取得骄人业绩。未来,H基金将在投资定向增发项目的实践中,逐步完善投资价格的套牢率和成功率的数学模型,为定向增发业务提供理论支撑。更多还原

【Abstract】 In recent years,with the gradual improvement of China’s capital market,private equity funds have become an important participant in the market.As of December 31,2023,there were 31,259 active private equity funds with a total scale of 11.12 trillion yuan.Against the backdrop of a narrowing valuation gap between primary and secondary markets and the relaxation of refinancing conditions,private equity funds have begun to actively participate in the private placement business of listed companies.As more institutions enter the private placement market,their yield rates have varied,with some experiencing declines.A major concern for private equity funds is how to maintain a good yield rate in the private placement market and ensure the appreciation and preservation of investment capital.This paper,after introducing the research background and related concepts,first reviews the recent development and new changes in the private placement market.The new refinancing policy implemented in 2020 shortened the lock-up period for shares obtained through competitive private placement from 12 months to 6 months,and adjusted the issuance floor price from 90%of the average price of the 20 trading days before the pricing benchmark date to 80%,leading to rapid development in the scale of competitive private placement financing.In August 2023,to improve the countercyclical adjustment mechanism of the primary and secondary markets,the China Securities Regulatory Commission further released optimization measures,imposing appropriate restrictions on the financing interval and scale for listed companies with issues such as breakage,net asset value breakage,continuous operating losses,and high proportion of financial investments,ushering in a new stage of development for private placements.Next,the paper takes H Private Equity Fund as a typical case.With its unique organizational guarantee,decision-making mechanism,and risk control system,H Fund timely adjusts its investment strategy according to policy changes.The paper focuses on analyzing its stock selection strategy and revenue structure.For the stock selection strategy,H Fund pays close attention to the fundamentals and investment price of the proposed project,ensuring that the fundamentals of the proposed project,including industry,legal affairs,finance,team,and other related conditions,remain good.The determination of the investment price is the focus of this paper’s research.In China’s private placement business,this paper is the first to propose the concept of“entrapment rate,”and it conducts statistical analysis of the“entrapment rate”of the private placement prices of 444listed companies on the Shanghai and Shenzhen stock exchanges since 2020 and their private placement investment success rates,finding a strong correlation between the entrapment rate and the private placement investment success rate.Using EXCEL and STATA software,a mathematical model between the private placement price’s entrapment rate and the private placement investment success rate is derived.By inputting the private placement price’s entrapment rate into this mathematical model,the success rate of private placement projects since 2020 is calculated and compared qualitatively and quantitatively with the actual situation,leading to the following conclusions:if the entrapment rate is less than or equal to 10%,actively participate in the private placement project;if the entrapment rate is greater than 10%but less than or equal to 30%,participate in the private placement project;if the entrapment rate is greater than 30%but less than or equal to 60%,participate cautiously in the private placement project;if the entrapment rate is greater than or equal to 60%,do not participate in the private placement project in principle.Finally,to mitigate investment risks,H Fund considers the lock-up ratio as a crucial stock selection indicator in its targeted additional offering investment operations,and proposes optimization suggestions such as enlarging and strengthening the scale of individual funds and actively empowering the targeted additional offering projects.The research conclusion shows that since the“Securities Management Measures for Listed Companies”was promulgated in 2006,private placement has gradually become an important part of the equity refinancing of listed companies.In recent years,with policy changes,the number of private placement financing projects and the scale of fundraising have developed rapidly.H Fund has actively expanded its private placement business in recent years,with a perfect decision-making system,research-driven and flexible strategy,quantitative analysis of different prices’entrapment rates and success rates,making correct stock selection decisions and investment price decisions,and making robust and rational quotations.H Fund has achieved impressive performance in the past three years using its original entrapment rate indicator.In the future,H Fund will gradually improve the mathematical model of the investment price’s entrapment rate and success rate in the practice of investing in private placement projects,providing theoretical support for the private placement business.更多还原