可转换债券融资与股价效应研究

发布时间：2017-12-31 07:19

本文关键词：可转换债券融资与股价效应研究　出处：《西南交通大学》2012年博士论文　论文类型：学位论文

【摘要】：论文以中国证券市场上可转债融资为研究对象,在梳理国外可转债融资理论假说的基础上,讨论我国可转债融资对标的股票价格的影响,并以之验证我国上市公司可转债发行的动机。分析认为中国特有的行政审核制度使得可转债的发行主体、产品设计及投资者主体与海外市场存在显著的差异。在发行主体上,国内的发行人主要处于传统的制造业；在发行方式上,严格的审批制度导致上市公司发行可转债困难、发行流程耗时,往往延误企业的市场时机；在产品设计上,可转债的条款设计趋同现象明显,利率市场化程度差。中国的法规设计更注重可转债的“债性”,即可转债作为债券的可偿还性,但实践中上市公司将可转债融资视为一种延迟的股权性融资,这导致了可转债融资的股价效应与其它股权再融资方式存在很大的区别。论文通过以下几个层次对中国市场可转债融资的股价效应进行了详细的实证研究： (1)讨论了董事会拟发可转债公告导致的股价效应。总体来说市场对可转债融资消息呈显著负向的反应。公司规模、债务资本比率及相对发行规模均与股价效应不存在显著的相关关系,因此不支持信号理论的解释。而稀释指标则与股价效应呈显著的负相关,采用压力假说可以比较好的解释股价的负效应。董事会预案引起的股价效应更多是传递上市公司对资金的渴求,这与其它再融资方式传递的信息是一致的。 (2)讨论了并证实可转债发行引致的股价效应为显著的正效应。这与国外的市场存在很大的差别,中国市场显然对可转债发行持欢迎的态度。股价正效应与公司规模、控制人类型及稀释性指标存在显著的相关关系,这表明价格压力理论对股价效应产生负面影响,可转债发行事件只能传递公司规模的消息,而不能传递公司价值信号。可转债产品的债性股性与股价效应有显著的相关关系,可转债的股性越大股价效应也越大。从中国市场可转债偏股性的特点看,可转债融资其实是上市公司进行延迟股权再融资的一种方式。 (3)对可转债发行后的长期股价效应进行了研究。研究认为可转债发行后2年,股价涨跌与可比公司基本保持一致,但跑赢市场指数。因此,累计超额收益产生的原因主要是行业因素及公司规模因素,然后才是可转债发行导致公司业绩释放等个体因素。基于纵向时间维度,从盈利性指标、增长性指标及财务稳健性等反映公司财务绩效的指标看,可转债发行后公司的财务绩效呈现下降的趋势。但是,基于横向的、与可比公司的财务绩效比较,除公司的盈利性指标下降外,盈利增长性指标和财务稳健性指标在可转债的发行后2年内有所提高,这表明可转债融资为公司的运营规模提供有力的支持,这种增长更多表现为公司规模的增长,即公司规模的增长要优先于利润的增长。研究同时表明,发行可转债公司的长期累计超额收益与公司盈利性增长、股票股利分配及可转债稀释程度存在显著的相关关系。由于可转债发行后,公司总体盈利呈现下降趋势,因此上市公司会通过增加股票股利的派发来刺激股票价格的上涨,从而弥补因业绩下滑及可转债稀释效应造成的股价下跌。从公司发行可转债公告日及发行后的长期股价效应看,我国市场上对可转债融资持正向的态度。这种正向的股价效应是基于可转债偏股权性设计、公司规模增长及大比例派送股票股利行为而产生的股票上涨预期所致。本文得出的诸多结论无论对于我国上市公司还是投资者而言,都具有重要的意义。从监管层的角度看,如何利用可转债这个金融产品更好地为我国经济增长转型服务,是必须重点考虑的问题。放松可转债发行的管制、增加市场化‘程度及最终推出私募可转债应是将来改革的方向。
[Abstract]:Based on the analysis of the foreign convertible bond financing theory hypothesis , the paper discusses the effect of convertible bond financing on the subject stock price , and verifies the motive of the convertible bond issuance in China . It is considered that China ' s unique administrative auditing system makes convertible bond issue subject , product design and investor ' s main body and overseas market have significant difference . On the issue body , domestic issuers are mainly in the traditional manufacturing industry . In the distribution mode , the domestic issuers are mainly in the traditional manufacturing industry . In the product design , the debt - convertible debt financing is regarded as a kind of delayed equity financing , which leads to the stock price effect of convertible bond financing and other equity re - financing modes . ( 1 ) The stock price effects caused by the Board ' s announcement of convertible bonds are discussed . Generally speaking , there is no significant correlation between the size of the company , the ratio of the debt capital and the relative distribution of the stock price , so the explanation of the signal theory is not supported . The dilution index is negatively correlated with the stock price effect , and the negative effect of the stock price can be better explained by using the pressure hypothesis . The stock price effect caused by the plan of the board is more than the desire of the listed company to fund the funds , which is consistent with the information transmitted by other refinance methods . ( 2 ) The positive effect of the stock price effect caused by the issuance of convertible bonds is discussed and confirmed . The positive effect of price pressure on the issuance of convertible bonds is obvious . The positive effect of price pressure has a significant correlation with the size of the company , the type of control person and the dilution index , which shows that the price pressure theory can only transmit the news of the company ' s scale , but can not transmit the company ' s value signal . ( 3 ) The effect of the long - term stock price after the issuance of convertible bonds is studied . The results show that after the issuance of the convertible bonds , the stock price increase and fall is basically the same as that of the comparable company , but the market index is run . Therefore , the reason for the accumulated excess return is mainly the industry factor and the company scale factor , then it is the individual factor such as the release of the company ' s performance due to the convertible bond issue . On the basis of the longitudinal dimension , the company ' s financial performance has declined after the issuance of the convertible bonds . However , the company ' s profit growth index and financial stability index have improved over 2 years after the issuance of the convertible bond . Looking at the long - term stock price effects after the issuance of the convertible bonds and the long - term stock price effects after the issuance , China ' s market has a positive attitude towards the financing of convertible bonds . The positive share price effect is based on the stock increase expectations of the convertible bond equity design , the company ' s size growth and the large proportion of dividend behavior . From the perspective of regulatory layer , how to make use of the financial product of convertible debt better serve as the transformation service of our country ' s economy , it is a question which must be taken into consideration .

【学位授予单位】：西南交通大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

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