我国A股上市公司首次发行公司债券公告效应的研究
发布时间：2018-07-25 20:25
【摘要】：2007年8月14日,中国证监会正式颁布《公司债券发行试点办法》,这一“办法”的实施为我国上市公司发行公司债券提供了制度上的指引与规范。虽然作为再融资方式之一的公司债在我国存在的时间较短,但近年来其发展较为迅速。国内外的研究中,对上市公司发行股票以及可转债的公告效应的研究较多,但对发行公司债券所产生的公告效应的研究非常匮乏。发行公司债券是否存在公告效应?这种公告效应在不同行业中是否存在差异性?影响公告效应的因素有哪些?这一系列发问值得探究。 首先,本文通过对国内外文献的回顾与评述,发现国内外有关发行公司债所产生的公告效应的研究并不多,大多是关于增发以及可转债的研究,而分行业对样本集进行公告效应的研究,在国内更是无人触及。国外大部分对欧美成熟市场发行证券的公告效应的研究得出的结论都与MM理论中的优序融资顺序相一致,即：发行证券所产生的负向反应中,市场对发行股票所产生的负向反应最为强烈,其次分别为可转债和普通公司债券。但是对于新兴市场如对马兰西亚证券市场发行的伊斯兰债的研究发现,其产生了显著为正的累积异常收益率。国内对于发行公司债的公告效应的研究极少,同时在事件基准日的选择、公告效应实证结论等方面也并不一致。 其次,本文简要介绍了中国公司债券市场的发展现状,并指出中国公司债券市场存在着发展速度缓慢、发行规模小、融资结构不合理等问题。 再次,本文对研究方法、模型构建进行了具体说明。第一,在样本数据的选择上,本文选取2007年8月14日至2011年8月31日间首次公布公司债券发行公告的107家A股上市样本公司为研究对象,并根据清洁样本的选取标准,以董事会关于公司债券发行的决议日、证监会关于核准发行公司债券的核准日两个事件基准日,分别选取了50个和73个样本公司进行实证分析。第二,在本文的研究方法上,本文采取的是事件研究法和横截面分析法,分别考察发行公司债券公告效应的存在性、公告效应的行业差异性以及公告效应影响因素分析。在考察公告效应的存在性和行业差异性上,本文选用日均异常收益率和平均累计异常收益率作为研究指标,并运用SPSS软件对事件窗口期内样本的异常收益率进行统计检验。在考察影响公告效应的相关因素上,本文根据所研究事件在窗口期内公告效应的显著性结果,在公告效应相对显著的窗口期内,通过导入影响累计异常收益率的相关因素,建立横截面数据回归模型,对影响累计异常收益率的因素进行了回归分析。 接着,本文采取事件研究法,对发行公司债券的公告效应进行了研究。首先考察作为投资者最早得到公司可能发行公司债券这一消息的董事会决议日的前后10个交易日的日均异常收益率以及事件窗口期内的平均累积异常收益率的统计显著性,我们发现,以总体样本为研究对象,无论是各个窗口日,还是选取的事件期内的窗口期,日均异常收益率和平均累积异常收益率都不显著,但若将行业进行分类,选取样本集数量相对较多的行业分别进行统计检验,结果发现样本集数量最大的制造行业,在董事会决议日前第8个交易日以及后第6个交易日,均出现了显著为负的日均异常收益率,显著性水平分别为1.1%和4%,相关窗口期的累积异常收益率均不显著；房地产行业的日均异常收益率与平均累积异常收益率也都不显著。总体而言,在董事会关于发行公司债券的决议日的前后10个交易日窗口期间,市场对这一决议公告所做出的反应非常微弱。之后,我们再考察能够使投资者确信公司债券能够得到成功发行的证监会核准日的前后10个交易日的日均异常收益率以及事件窗口期内的平均累积异常收益率的统计显著性。我们发现,以总体样本为研究对象,在证监会核准日前8天和后7天,日均异常收益率显著为正,其显著性水平分别为1.6%,7.5%，，且窗口期内样本公司股票的累积异常收益率均为正值,其中,事件窗口期(0,1)的显著水平为9.4%；若将行业进行分类研究,则发现,对于制造行业,在证监会核准日前后的事件窗口期内,在基准日的前8天、基准日的后1天、后7天,公司股票的日均异常收益率分别在7.6%、4.1%、8.8%的水平下显著为正,在事件窗口期(-2,1)、(-1,1)以及(0,1)内,公司股票的平均累积异常收益率分别在3.7%、2.6%和2%的水平下显著为正；对于房地产行业,在基准日的前2天、基准日当天和后3天,公司的日均异常收益率分别在0.3%、7.4%和7.6%的显著水平下显著为负,且(-2,1)窗口期的累积异常收益率在8.5%的显著水平上显著为负。 之后,本文对上述相对显著的累积异常收益率进行了横截面分析。通过对回归方程采用向后剔除法进行回归,我们得出：对于制造业,债券的信用评级、债券的相对发行规模与(0,1)窗口期的累积异常收益率分别在5%、10%的显著性水平下显著为负；对于房地产行业,债券期限、公司规模与(-2,1)窗口期的累积异常收益率具有显著负相关性,而公司的市值与账面价值之比、固定资产比率、资产负债率以及公司债券的评级指标均与窗口期的累积异常收益率具有显著正相关性。由此我们发现,不同行业中,影响事件窗口期中的累积异常收益率的各个因素并不相同。传统意义上,房地产行业作为高负债比的行业之一,投资者对于该行业的负债敏感度相对制造业等其他行业高,因此,投资者对于该类发行公司的偿债能力以及未来成长性的关注度非常高,如债券期限、固定资产比率、债券评级以及公司市值比等指标。另外,我们发现,经过最近几年的发展,我国信用评级市场正在逐步的完善,市场对其的关注度也在不断提升,对于制造业和房地产行业,投资者对公司债券的信用评级这一指标的关注度都较高。 最后,本文得出如下结论：(1)市场对“证监会核准公司债券的发行”这一事件所做出的反应要大于对“董事会公布关于发行公司债券议案”这一事件的反应；(2)总体上来说,证监会核准公司债券的发行这一公告事件向市场传递的是正向的信号；(3)发行公司债券的公告效应在不同行业中存在差异性；(4)我国资本市场可能存在提前泄露消息这一事实；(5)不同行业中,影响事件窗口期内累积异常收益率的因素并不相同,影响制造业窗口期内累计异常收益率的相关因素主要有债券评级和债券相对发行规模,影响房地产行业窗口期内的累积异常收益率的相关因素主要有债券评级、债券期限、公司市值与账面价值比、公司固定资产比率以及资产负债比率；(6)经过最近几年的发展,我国信用评级市场正在逐步的完善,市场对其的关注度在不断提升。同时,本文针对所得出的结论,对公司债券市场的发展、上市公司的融资决策以及投资者的投资态度都提出了相应的建议。 本文的创新点在于：第一,本文的研究数据为2007年8月14日至2011年8月31日间首次发布公司债券发行公告的107家A股上市公司,相对以往研究,时效性更强,样本数量更加充足；第二,国内以往相关的研究在事件基准日的选取上并没有得出一致的结论,本文在对事件基准日的选择上,首先选取了投资者首次从公开渠道知晓公司发行公司债券的预案公告日,在得出窗口期异常收益率并不显著的统计结果后,继而选取证监会核准日作为事件基准日,通过进行两次事件研究,能够更加全面地考察事件的公告效应；第三,在对公告效应的检验和对其影响因素的分析上,不同于以往研究,本文尝试通过行业分类选取行业样本集分别进行公告效应的检验与对公告效应进行横截面分析,以比较发行公司债券公告效应的行业差异性。
[Abstract]:In August 14, 2007, the China Securities Regulatory Commission formally promulgated the pilot scheme for the issuance of corporate bonds. The implementation of this "method" provides institutional guidelines and norms for the issuance of corporate bonds by Listed Companies in China. Although the company debt as one of the refinancing ways is relatively short in China, it has developed rapidly in recent years. In the study, there are many studies on the announcement effect of listed companies issuing shares and convertible bonds, but the research on the announcement effect produced by the issuance of corporate bonds is very scarce. Is there a notice effect in the issuance of corporate bonds? Is there any difference in the effect of this effect in different industries? What are the factors affecting the announcement effect? A series of questions are worth exploring.
First, through the review and review of the domestic and foreign literature, it is found that there are few studies on the announcement effect of issuing corporate bonds at home and abroad. Most of them are about the increase and the study of convertible bonds, and the research on the bulletin effect of the sample collection in the sub industry is no one in China. Most of the foreign mature markets in Europe and the United States are in China. The findings of the announcement effect of issuing securities are all consistent with the order financing sequence of MM theory, that is, in the negative response to the issuance of securities, the market has the strongest negative reaction to the issuance of stocks, followed by convertible bonds and common corporate bonds. For emerging markets, such as Ma Lan Western Asia Securities. The study of the Islamic debt issued by the market has found that it has produced a significant positive cumulative abnormal return rate. There are few studies on the announcement effect of issuing corporate bonds in China, and at the same time, the choice of the datum day of the event and the positive conclusions of the announcement effect are also not consistent.
Secondly, this paper briefly introduces the current development of the Chinese corporate bond market, and points out that there are some problems in the Chinese corporate bond market, such as slow development, small scale of issuance and irrational financing structure.
Thirdly, this paper illustrates the research methods and model construction. Firstly, on the selection of sample data, this paper selects the 107 A shares listed in the listed Sample Firms which first published the corporate bond issuance announcement from August 14, 2007 to August 2011 as the research object, and according to the selection criteria of clean cleaning samples, the board of the board about the corporate bonds. On the date of the issuance of the resolution, the CSRC has selected 50 and 73 Sample Firms for the two benchmark days of approval and approval of the issuance of corporate bonds. Second, in this paper, the paper adopts the event study method and the cross section analysis method, to examine the existence of the announcement effect of the issuance of corporate bonds. The analysis of the industry difference and the influence factors of announcement effect. In the investigation of the existence and industry difference of the announcement effect, this paper selects the average daily average rate of return and the average cumulative abnormal return as the research index, and uses the SPSS software to test the abnormal returns of the sample in the event window period. On the related factors of the announcement effect, this paper, based on the significant result of the announcement effect of the event during the window period, sets up the regression model of cross section data by introducing the related factors affecting the cumulative abnormal return in the window period of the relatively significant announcement effect, and carries out a regression Analysis on the factors that affect the cumulative abnormal return.
Then, this paper takes an event study method to study the announcement effect of the issuance of corporate bonds. First, we examine the average daily abnormal rate of return on the 10 trading days before and after the date of the board's decision to issue the company bond, and the statistics of the average cumulative abnormal return in the event window. Obviously, we find that the average daily abnormal return and the average cumulative abnormal return are not significant, but if the industry is classified and the industry is selected for a relatively large number of samples, a sample collection is found. The largest number of manufacturing industries, in the eighth trading days before the board's resolution day and the sixth trading days after the board, showed significant negative average daily average rate of return, the significant level was 1.1% and 4% respectively, and the cumulative abnormal returns in the related window period were not significant; the daily average rate of return and the average cumulative abnormal return in the real estate industry In general, the market's response to the announcement of the resolution was very weak during the 10 trading day windows of the board's resolution on the issuance of corporate bonds, and then we looked at the 10 transactions that could make it possible for the investors to be convinced that the corporate bonds were able to be issued by the SFC's approval date. The daily average daily rate of return and the statistical significance of the average cumulative abnormal return in the event window period were statistically significant. We found that the average daily average rate of return was positive in the 8 and 7 days before the SFC's approval date, and the significant level was 1.6%, 7.5% respectively, and the cumulative difference of Sample Firms shares during the window period. The average rate of return is positive, of which the significant level of the event window period (0,1) is 9.4%. If the industry is classified, it is found that in the manufacturing industry, in the event window period after the approval date of the SFC, the first 8 days of the benchmark day, the 1 days after the benchmark day, and the second 7 days after the benchmark day, the average rate of daily abnormal return of the company stock is 7.6%, 4.1%, 8.8%, respectively. In the event window period (-2,1), (-1,1) and (0,1), the average cumulative abnormal returns of the company's stock were significantly positive at the level of 3.7%, 2.6% and 2%, and for the real estate industry, the company's average daily average rate of return was 0.3%, 7.4% and 7.6%, respectively, on the first 2 days of the benchmark day and the last 3 days. At the same time, the cumulative abnormal return at (-2,1) window period was significantly negative at 8.5%.
After that, the cross section analysis of the above significant cumulative abnormal returns is carried out. By regression to the regression equation, we come to the conclusion that the credit rating of the bond, the relative issue scale of the bond and the cumulative abnormal yield of the 0,1 window period are 5%, 10%, respectively. There is a significant negative correlation between the real estate industry, the bond maturity, the company size and the cumulative abnormal returns of the (-2,1) window period, while the ratio of the company's value to the book value, the ratio of fixed assets, the asset liability ratio and the rating index of the corporate bonds have significant positive correlation with the cumulative abnormal returns in the window period. Therefore, we find that different industries have different factors affecting the cumulative abnormal returns in the event window period. In the traditional sense, the real estate industry is one of the industries with high debt ratio, and the investor's debt sensitivity to the industry is higher than that of other industries such as the manufacturing industry. The debt capacity and future growth are highly concerned, such as bond maturity, fixed asset ratio, bond rating and company market value ratio. In addition, we find that the credit rating market in China is gradually improving after recent years, and the market is increasing, for manufacturing and real estate industry. Industry, investors have a high degree of concern about the credit rating of corporate bonds.
Finally, this paper draws the following conclusions: (1) the response of the market to the issue of "the issuance of former permitted company bonds of the SFC" is greater than the response to the event that "the board published a bill on the issuance of corporate bonds"; (2) generally speaking, the issuance of the SFC's former permitted company bonds is transmitted to the market. Positive signals; (3) the announcement effect of issuing corporate bonds is different in different industries; (4) the fact that China's capital market may have early disclosure of information is possible; (5) in different industries, the factors affecting the cumulative abnormal returns within the event window period are different, affecting the correlation of cumulative abnormal returns within the window period of the manufacturing industry. The main factors are bond rating and bond relative issue scale. The factors affecting the cumulative abnormal returns in the window period of the real estate industry mainly include bond rating, bond maturity, company market value and book value ratio, company fixed asset ratio and asset liability ratio; (6) after recent years, China's credit rating market As the market is gradually improving, the market has been increasing its attention. At the same time, this paper puts forward some suggestions on the development of the corporate bond market, the financing decision of the listed companies and the investment attitude of the investors.
The innovation points of this paper are as follows: first, the research data of this paper are the 107 A shares listed companies that first issued the corporate bond issuance announcement from August 14, 2007 to August 2011. Relative to the previous research, the data are more timeliness and the sample size is more abundant; second, the previous related research in China has not been obtained in the selection of the event datum day. The same conclusion, in this paper, in the selection of the datum day of the event, first of all, we select the initial announcement day for the investors to know the company's corporate bonds from the open channel for the first time. After the statistical results of the abnormal return rate of the window period are not significant, then the SFC approval date is selected as the benchmark day of the event, and the two event study is carried out. It is different from the previous research on the inspection of the announcement effect and the analysis of its influencing factors. Third, this paper tries to compare the announcement effect and the cross section analysis of the announcement effect through the industry classification, and compare the issuance of corporate bond bulletin. The industry difference of effect.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2144986
[Abstract]:In August 14, 2007, the China Securities Regulatory Commission formally promulgated the pilot scheme for the issuance of corporate bonds. The implementation of this "method" provides institutional guidelines and norms for the issuance of corporate bonds by Listed Companies in China. Although the company debt as one of the refinancing ways is relatively short in China, it has developed rapidly in recent years. In the study, there are many studies on the announcement effect of listed companies issuing shares and convertible bonds, but the research on the announcement effect produced by the issuance of corporate bonds is very scarce. Is there a notice effect in the issuance of corporate bonds? Is there any difference in the effect of this effect in different industries? What are the factors affecting the announcement effect? A series of questions are worth exploring.
First, through the review and review of the domestic and foreign literature, it is found that there are few studies on the announcement effect of issuing corporate bonds at home and abroad. Most of them are about the increase and the study of convertible bonds, and the research on the bulletin effect of the sample collection in the sub industry is no one in China. Most of the foreign mature markets in Europe and the United States are in China. The findings of the announcement effect of issuing securities are all consistent with the order financing sequence of MM theory, that is, in the negative response to the issuance of securities, the market has the strongest negative reaction to the issuance of stocks, followed by convertible bonds and common corporate bonds. For emerging markets, such as Ma Lan Western Asia Securities. The study of the Islamic debt issued by the market has found that it has produced a significant positive cumulative abnormal return rate. There are few studies on the announcement effect of issuing corporate bonds in China, and at the same time, the choice of the datum day of the event and the positive conclusions of the announcement effect are also not consistent.
Secondly, this paper briefly introduces the current development of the Chinese corporate bond market, and points out that there are some problems in the Chinese corporate bond market, such as slow development, small scale of issuance and irrational financing structure.
Thirdly, this paper illustrates the research methods and model construction. Firstly, on the selection of sample data, this paper selects the 107 A shares listed in the listed Sample Firms which first published the corporate bond issuance announcement from August 14, 2007 to August 2011 as the research object, and according to the selection criteria of clean cleaning samples, the board of the board about the corporate bonds. On the date of the issuance of the resolution, the CSRC has selected 50 and 73 Sample Firms for the two benchmark days of approval and approval of the issuance of corporate bonds. Second, in this paper, the paper adopts the event study method and the cross section analysis method, to examine the existence of the announcement effect of the issuance of corporate bonds. The analysis of the industry difference and the influence factors of announcement effect. In the investigation of the existence and industry difference of the announcement effect, this paper selects the average daily average rate of return and the average cumulative abnormal return as the research index, and uses the SPSS software to test the abnormal returns of the sample in the event window period. On the related factors of the announcement effect, this paper, based on the significant result of the announcement effect of the event during the window period, sets up the regression model of cross section data by introducing the related factors affecting the cumulative abnormal return in the window period of the relatively significant announcement effect, and carries out a regression Analysis on the factors that affect the cumulative abnormal return.
Then, this paper takes an event study method to study the announcement effect of the issuance of corporate bonds. First, we examine the average daily abnormal rate of return on the 10 trading days before and after the date of the board's decision to issue the company bond, and the statistics of the average cumulative abnormal return in the event window. Obviously, we find that the average daily abnormal return and the average cumulative abnormal return are not significant, but if the industry is classified and the industry is selected for a relatively large number of samples, a sample collection is found. The largest number of manufacturing industries, in the eighth trading days before the board's resolution day and the sixth trading days after the board, showed significant negative average daily average rate of return, the significant level was 1.1% and 4% respectively, and the cumulative abnormal returns in the related window period were not significant; the daily average rate of return and the average cumulative abnormal return in the real estate industry In general, the market's response to the announcement of the resolution was very weak during the 10 trading day windows of the board's resolution on the issuance of corporate bonds, and then we looked at the 10 transactions that could make it possible for the investors to be convinced that the corporate bonds were able to be issued by the SFC's approval date. The daily average daily rate of return and the statistical significance of the average cumulative abnormal return in the event window period were statistically significant. We found that the average daily average rate of return was positive in the 8 and 7 days before the SFC's approval date, and the significant level was 1.6%, 7.5% respectively, and the cumulative difference of Sample Firms shares during the window period. The average rate of return is positive, of which the significant level of the event window period (0,1) is 9.4%. If the industry is classified, it is found that in the manufacturing industry, in the event window period after the approval date of the SFC, the first 8 days of the benchmark day, the 1 days after the benchmark day, and the second 7 days after the benchmark day, the average rate of daily abnormal return of the company stock is 7.6%, 4.1%, 8.8%, respectively. In the event window period (-2,1), (-1,1) and (0,1), the average cumulative abnormal returns of the company's stock were significantly positive at the level of 3.7%, 2.6% and 2%, and for the real estate industry, the company's average daily average rate of return was 0.3%, 7.4% and 7.6%, respectively, on the first 2 days of the benchmark day and the last 3 days. At the same time, the cumulative abnormal return at (-2,1) window period was significantly negative at 8.5%.
After that, the cross section analysis of the above significant cumulative abnormal returns is carried out. By regression to the regression equation, we come to the conclusion that the credit rating of the bond, the relative issue scale of the bond and the cumulative abnormal yield of the 0,1 window period are 5%, 10%, respectively. There is a significant negative correlation between the real estate industry, the bond maturity, the company size and the cumulative abnormal returns of the (-2,1) window period, while the ratio of the company's value to the book value, the ratio of fixed assets, the asset liability ratio and the rating index of the corporate bonds have significant positive correlation with the cumulative abnormal returns in the window period. Therefore, we find that different industries have different factors affecting the cumulative abnormal returns in the event window period. In the traditional sense, the real estate industry is one of the industries with high debt ratio, and the investor's debt sensitivity to the industry is higher than that of other industries such as the manufacturing industry. The debt capacity and future growth are highly concerned, such as bond maturity, fixed asset ratio, bond rating and company market value ratio. In addition, we find that the credit rating market in China is gradually improving after recent years, and the market is increasing, for manufacturing and real estate industry. Industry, investors have a high degree of concern about the credit rating of corporate bonds.
Finally, this paper draws the following conclusions: (1) the response of the market to the issue of "the issuance of former permitted company bonds of the SFC" is greater than the response to the event that "the board published a bill on the issuance of corporate bonds"; (2) generally speaking, the issuance of the SFC's former permitted company bonds is transmitted to the market. Positive signals; (3) the announcement effect of issuing corporate bonds is different in different industries; (4) the fact that China's capital market may have early disclosure of information is possible; (5) in different industries, the factors affecting the cumulative abnormal returns within the event window period are different, affecting the correlation of cumulative abnormal returns within the window period of the manufacturing industry. The main factors are bond rating and bond relative issue scale. The factors affecting the cumulative abnormal returns in the window period of the real estate industry mainly include bond rating, bond maturity, company market value and book value ratio, company fixed asset ratio and asset liability ratio; (6) after recent years, China's credit rating market As the market is gradually improving, the market has been increasing its attention. At the same time, this paper puts forward some suggestions on the development of the corporate bond market, the financing decision of the listed companies and the investment attitude of the investors.
The innovation points of this paper are as follows: first, the research data of this paper are the 107 A shares listed companies that first issued the corporate bond issuance announcement from August 14, 2007 to August 2011. Relative to the previous research, the data are more timeliness and the sample size is more abundant; second, the previous related research in China has not been obtained in the selection of the event datum day. The same conclusion, in this paper, in the selection of the datum day of the event, first of all, we select the initial announcement day for the investors to know the company's corporate bonds from the open channel for the first time. After the statistical results of the abnormal return rate of the window period are not significant, then the SFC approval date is selected as the benchmark day of the event, and the two event study is carried out. It is different from the previous research on the inspection of the announcement effect and the analysis of its influencing factors. Third, this paper tries to compare the announcement effect and the cross section analysis of the announcement effect through the industry classification, and compare the issuance of corporate bond bulletin. The industry difference of effect.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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