中国上市公司可转换债券公告效应研究

发布时间：2018-04-15 23:37

本文选题：可转换债券 + 公告效应　；参考：《暨南大学》2014年硕士论文

【摘要】：随着我国可转换债券市场的不断发展和完善，可转换债券这一兼具股票性质和债券性质的金融衍生工具已经成为我国上市公司再融资的重要手段之一。然而由于样本较少的原因，国内学者对于可转换债券的研究主要集中于融资偏好顺序和定价问题，对于可转换债券公告效应的实证研究相对较少，这正是本文的研究目的和意义所在。本文首先对再融资对于上市公司股票价格影响的相关理论和国内外学者对于可转换债券公告效应研究的相关文献进行归纳和总结。在此基础上，以2002年至2013年间在我国证券市场上发行的81支可转换债券为样本，利用事件研究法和市场模型研究了我国可转换债券公告效应。通过对于异常收益的计算发现，我国可转换债券公告存在显著的正效应，即可转换债券公告给股票价格带来正的异常收益率。同时鉴于股权分置改革这一历史事件对于我国证券市场的重要影响，本文以股权分置改革为分界点，分样本研究我国可转换债券公告效应，结果发现公告效应在股权分置改革前后存在显著差异。在此基础上以异常收益率为被解释变量，，以公司财务数据和可转换债券发行信息为基础构建解释变量，对可转换债券公告效应的影响因素进行实证研究。结果发现，异常收益率与发行相对规模、公司规模和股改变量负相关，与资产负债率、净资产收益率和股债性指标（Delta）正相关。最后结合实证研究结果，给出了自己的建议，同时也对本文的研究不足做了说明。
[Abstract]:With the continuous development and improvement of the convertible bond market in China, convertible bonds, a financial derivative with both stock and bond nature, have become one of the important means of refinancing of listed companies in China.However, due to the small number of samples, domestic scholars mainly focus on the financing preference order and pricing problems, and the empirical research on the effect of convertible bonds announcement is relatively few.This is the purpose and significance of this paper.This paper first summarizes the relevant theories of the influence of refinancing on the stock price of listed companies and the relevant literature on the research of convertible bond announcement effect by domestic and foreign scholars.On this basis, using 81 convertible bonds issued in China's securities market from 2002 to 2013 as samples, this paper studies the announcement effect of convertible bonds in China by using event research method and market model.Through the calculation of the abnormal return, it is found that there is a significant positive effect on the convertible bond announcement in our country, that is, the convertible bond announcement brings the positive abnormal yield to the stock price.At the same time, in view of the important influence of the historical event of the split share structure reform on the securities market of our country, this paper studies the announcement effect of convertible bonds in our country with the split share structure reform as the dividing point and the sample as the dividing point.The results show that there are significant differences in the effect of announcement before and after the reform of split share structure.On the basis of this, the abnormal yield rate is taken as the explained variable, and the explanatory variable is constructed on the basis of corporate financial data and convertible bond issuance information, and the influencing factors of the announcement effect of convertible bonds are studied empirically.The results show that the abnormal rate of return is negatively correlated with the relative size of the issue, the size of the company and the amount of stock change, and is positively correlated with the ratio of assets to liabilities, the rate of return on net assets and the index of stock debt.Finally, combined with the empirical research results, the author gives his own suggestions, and also explains the insufficiency of this paper.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】