Product Design For Investing In Private Placement By Enhancement Strategy

The private placement has already become the main way of refinancing of Chinese A-share companies.Product investing in private placement has also become a favored asset for investors.After the theory research,this paper finds:Compared with the ordinary market stock,investment in private placement has 3 excess returns:discount rate,the volatility of market ?,the growth of company after private placement.The core of traditional product is to snap up private placement project,its return depend on discount rate.But under the blowout of private placement product,the discount rate is shrinking.Many product snap up private placement project when the market is in a high position.Since the restricted stock trade period,many stock below the subscription price.The design of my product is to research enhancement strategy to solve these disadvantages,include:enhancing the ability of screening program,arbitrage strategy when the stock price below the subscription price,time-choose strategy.After that,this paper will validate the effectiveness of the strategy through historical data.Get the conclusion finally through researching and analyzing:Firstly,through the quantitative analysis of the characteristics of private placement program and excess returns during 2008-2015,we should participate in project which has an enough discount rate and is important for company,and avoid project which issues too many shares.Furthermore,the majority-stock-holder's participant is irrelevant to excess returns.Secondly,when the private placement stock is in restricted stock trade period,we buy it if its price bellows the subscription price and sell it if its price rises to a price.By back-test,we find:Consideration of transaction number,excess return,winning percentage,we should buy stock when the range of price drop is in moderation,sell stock when amount of increase is small.Finally,this paper finds when the CSI 300 Index is in a high position,investment in private placement has high yields.We should participate in project as more as possible.Instead,when the CSI 300 Index is in a low position,investment in private placement has low yields.We should invest more fixed incoming assets.