我国可转换债券发行的公告效应研究

发布时间：2018-06-26 10:20

本文选题：可转换债券 + 公告效应　；参考：《山东大学》2012年硕士论文

【摘要】：可转换债券作为一种金融衍生品,兼有债券和股票的双重性质,在资本市场上以其独特的吸引力赢得了广大发行公司和投资者的青睐。可转换债券在国外已经有160多年的历史,特别是在二十世纪七十年之后,在全球金融创新的大浪潮中,可转换债券迅速发展,并逐渐成为国际资本市场上中远期投资的重要金融工具。上世纪90年代,沪深两市引入可转换债券,可转换债券发展一直比较缓慢,虽然可转换债券在最近的几年中有了较为快速的发展,但是广大投资者对于可转换债券这种金融衍生品的认识仍然停留在比较初级的阶段,广大可转换债券的发行公司对使用可转换债券进行融资后对其财务状况和公司价值有何影响等问题的认识仍然不够深入。为此很多的学者对我国可转换债券的公告效应进行了大量的实证研究,有的研究结果表明我国可转换债券的公告效应为正,但是有的却为负,结果差距较大。笔者经过大量的文献研究和认真的思考,搜集了大量样本数据,创新性地以股权分置改革作为分界点,将可转换债券的样本分为两个部分,用事件研究方法对可转换债券在股权分置改革前后的公告效应分别进行了研究。研究结果表明在股权分置改革前可转换债券的公告效应为负,但是在股权分置改革之后却得出完全相反的正值,这对于我国的可转换债券市场的完善和发展具有积极的理论指导意义。本文最后分别从定量和定性两个方面对这一研究结果进行了解释说明。本文的基本框架是这样的：第一部分是引言,重点介绍本文的研究背景,研究意义以及创新点和不足之处。第二部分是文献综述,首先介绍过国内外研究可转债公告效应的主要模型,然后接着介绍国内外关于可转债公告效应的文献综述。第三部分是可转债的概论,主要是对可转债的起源、性质、以及一些主要的条款进行介绍,并且对我国的可转债发展历史进行简要回顾。第四部分是本文的重点,在这一部分本文首先介绍事件研究法,然后本文用此方法对股权分置改革前后的可转换债券的公告效应分别进行研究,最终得出可转换债券的公告效应在股权分置改革前后相反的的结论。本文的在最后一部分主要从定量和定性两个方面对可转债的公告效应在股权分置改革前后的差异性进行解释和说明。
[Abstract]:As a kind of financial derivative, convertible bond has the dual nature of bond and stock, and has won the favor of the issuing company and investors for its unique attraction in the capital market. Convertible bonds have a history of more than 160 years abroad, especially after 70 years of the 20th century. In the great wave of global financial innovation, convertible bonds have developed rapidly. And gradually become an important financial instrument for medium-term investment in the international capital market. In the 1990s, convertible bonds were introduced into the Shanghai and Shenzhen stock markets, and the development of convertible bonds has been relatively slow, although convertible bonds have developed more rapidly in recent years. However, investors' understanding of convertible bonds as financial derivatives is still at a relatively preliminary stage. The general issuers of convertible bonds still do not have a deep understanding of the financial status and corporate value of convertible bonds after financing. For this reason, many scholars have done a lot of empirical research on the announcement effect of convertible bonds in China. Some research results show that the announcement effect of convertible bonds in China is positive, but some are negative. After a lot of literature research and careful thinking, the author collected a large number of sample data, innovatively divided the sample of convertible bonds into two parts with the split share structure reform as the dividing point. The announcement effect of convertible bonds before and after the split share structure reform is studied with event study method. The results show that the announcement effect of convertible bonds is negative before the split share structure reform, but after the split share structure reform, the reverse positive result is obtained. This has positive theoretical significance for the perfection and development of convertible bond market in China. At the end of this paper, the results are explained from both quantitative and qualitative aspects. The basic framework of this paper is as follows: the first part is the introduction, focusing on the research background, research significance, innovation and shortcomings. The second part is the literature review, first introduced the domestic and foreign research on the effect of convertible bond announcement model, then introduced the domestic and foreign literature review on the effect of convertible bond announcement. The third part is the introduction of convertible bonds, mainly introduces the origin, nature and some main clauses of convertible bonds, and briefly reviews the development history of convertible bonds in China. The fourth part is the focus of this paper. In this part, we first introduce the event research method, and then use this method to study the announcement effect of convertible bonds before and after the split share structure reform. Finally, the conclusion is drawn that the announcement effect of convertible bonds is opposite before and after the reform of split share structure. In the last part of this paper, we explain the difference of the announcement effect of convertible bonds before and after the split share structure reform from two aspects: quantitative and qualitative.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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