中国公司债市场对盈利公告的非对称反应

发布时间：2018-01-10 02:30

本文关键词：中国公司债市场对盈利公告的非对称反应　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文以2007年至2012年我国沪深交易所上市交易的公司债券为研究对象，采用标准的事件研究方法和回归方法对于季度公告前后债券市场的反应进行实证分析。基于异常收益和交易量信息，本文检测了债券市场对于好消息和坏消息的反应，并探寻不同债券特性产生的影响。研究结论不仅有助于政策制定者和投资者更好的了解我国市场的发展现状和反应机制，补充国内较为匮乏的相关文献，也为市场今后的发展提供了建议。本文发现我国公司债市场在不断进步，经历2008年的非理性狂热后，市场从2009年开始对好消息反应积极，对坏消息反应消极,公告前市场有强烈的预期。考虑异常收益和交易量，市场都对于坏消息更加的敏感。这些结论印证了债券持有人非对称性反应的假设以及盈利公告对于投资者的有效性。虽然市场的有效性得到了一定程度的肯定，目前我国公司债存在三点问题不容忽视。首先，市场的波动不能有效的被发行人的基本面信息所解释，其次市场流动性和交易频率亟待提升，再次不同类型债券的反应机制存在较大的差异。发行企业的国有背景或者债券所具有的不可撤销连带责任担保条款能够有效的保护债权人，因此这类债券对于坏消息的反应较为平淡，甚至被扭曲，容易受市场情绪的影响。相较而言，无担保或国有背景的债券对信息的反应和吸收更为有效。综上所述，我国的公司债市场是理性和非理性并存的。相较于发达国家的债券市场，我国的公司债市场仍然处于早期阶段，不仅债券市场的容量较小，交易量低，而且具有一定的炒作性质，其准确定价风险和反应信息的能力均有待提升。只有避免地方政府再为潜在的违约债券兜底，允许债券风险的真实反映，允许更多样化的发债主体，统一标准并规范信用评级公司，才能从根本上促进我国公司债市场的长远发展。
[Abstract]:This paper focuses on the corporate bonds listed on the Shanghai and Shenzhen Stock Exchange from 2007 to 2012. Using the standard event research method and regression method to analyze the response of bond market before and after quarterly announcement. Based on abnormal returns and trading volume information. This paper examines how bond markets react to both good and bad news. And explore the impact of different bond characteristics. The conclusions not only help policy makers and investors to better understand the current situation of the development of China's market and reaction mechanisms, to supplement the lack of domestic literature. It also provides suggestions for the future development of the market. This paper finds that the corporate bond market in our country is making progress. After the irrational fanaticism in 2008, the market began to react positively to good news and negative to bad news from 2009. There are strong expectations in the market before the announcement. Consider abnormal returns and volume. Markets are more sensitive to bad news. These conclusions confirm the assumption that bondholders are asymmetric and the effectiveness of earnings announcements for investors. Although the validity of the market has been affirmed to a certain extent, there are three problems in our corporate debt. Firstly, the fluctuation of the market can not be effectively explained by the issuer's basic information. Secondly, market liquidity and trading frequency need to be improved. Again, there are great differences in the reaction mechanism of different types of bonds. The state-owned background of issuing enterprises or the irrevocable joint and several liability guarantee clause of bonds can effectively protect creditors. As a result, such bonds are less responsive to bad news, or even distorted, and vulnerable to market sentiment. Unsecured or state-backed bonds respond and absorb information more effectively than they do. Compared with the bond market of developed countries, the corporate bond market of our country is still in the early stage, not only the capacity of the bond market is small. Trading volume is low, and has a certain nature of speculation, its accurate pricing risk and response to the ability to improve information. Only to avoid local governments for the potential default bonds to cover the bottom, allowing the real reflection of bond risk. Only by allowing more diversified issuers, unifying standards and standardizing credit rating companies, can we fundamentally promote the long-term development of our country's corporate bond market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【共引文献】