投资者对可转债发行的反应及发行公司特征

发布时间：2018-06-06 14:41

本文选题：可转债 + 公司特性　；参考：《复旦大学》2014年硕士论文

【摘要】：可转债作为一种重要的公司再融资的方式,近年来得到飞速的发展。它既具有普通债券的保值功能,还通过嵌入看涨期权使投资者能够分享公司股价上涨的收益,因此受到投资者的欢迎。本文分析了可转债发行公司的特征以及股票市场、债券市场上的投资者对可转债发行的反应,以期能够给发行人和投资者的决策一些指导和借鉴作用。公司发行可转债的决策主要受到相关部门的资质要求以及公司自身需求状况的影响。本文对1998年-2013年期间中国发行可转债的公司进行了分析,发现发行可转债的公司一般成立时间较长,发展相对成熟；公司规模大；股权集中度高；净资产收益率高,盈利能力强；增长率不高,有一定的成长机会但并不突出。本文以托宾Q作为衡量公司未来增长机会的指标,对样本公司进行了统计分析,结果显示发行可转债的公司的托宾Q显著大于1,说明公司发行可转债基本上是因为存在潜在增长机会,目的是进行间接的股权融资。为了探究投资者对公司发行可转债的反应,本文分别对可转债发行公告前后股票市场上的异常收益率和债券市场上的收益率变化进行了实证研究。股票市场上的投资者对可转债发行公告的反应显著为正,公告日的异常收益率为+1.1044%,且此正向反应在发行之前一段时间就开始显现,后期有所逆转。债券市场上的投资者对可转债发行公告的反应并不明显,这主要是因为中国市场上发行可转债的公司规模大,经营稳定,可转债的发行对其偿债能力的影响很小。本文还根据托宾Q值用四分位法对股票市场上投资者的反应进行了研究,发现随着托宾Q的减小,发行公告日的异常收益率逐渐减小,并且从显著到不显著。如果扩大观察范围到[-25,25]天,第二个四分位组(即托宾Q值第二大的一组)的累计异常收益率最高。因为股票市场上投资者的反应比较显著,本文用多元回归分析的方法对影响股票市场异常收益率的因素进行了分析。结果显示可转债嵌入式期权所体现的年化增长率(根据转股溢价率和转股等待期进行年化)对异常收益率有显著的负向影响,即转股价与现行价的年化比率越高,异常收益率越低,转股价与现行价的年化比率越低,异常收益率越高。
[Abstract]:As an important way of corporate refinancing, convertible bonds have developed rapidly in recent years. It not only has the function of maintaining the value of ordinary bonds, but also enables investors to share the gains of the company's stock price by embedding call options, so it is welcomed by investors. This paper analyzes the characteristics of convertible bond issuing companies and the reaction of investors to convertible bond issuance in stock market and bond market in order to give some guidance and reference to the decision of issuers and investors. The decision to issue convertible bonds is mainly influenced by the qualification requirements of relevant departments and the company's own demand. This paper analyzes the companies that issued convertible bonds in China from 1998 to 2013. It is found that the companies issuing convertible bonds generally have a long time of establishment, relatively mature development, large scale of companies, high concentration of equity, high return on net assets. Strong profitability; the growth rate is not high, there are certain opportunities for growth, but not outstanding. In this paper, Tobin Q is taken as the index to measure the future growth opportunities of the company, and the sample companies are statistically analyzed. The results show that the Tobin Q of the company issuing convertible bonds is significantly larger than 1, which indicates that the company issues convertible bonds basically because of the potential growth opportunities, the purpose of which is to carry out indirect equity financing. In order to explore the reaction of investors to convertible bond issuance, this paper makes an empirical study on the abnormal yield in the stock market and the change of the yield in the bond market before and after the issuance of convertible bonds. Investors in the stock market reacted positively to the issuance of convertible bonds, with an abnormal yield of 1.1044 on the announcement date, and the positive reaction began to appear some time before the issuance and reversed in the later period. Investors in the bond market do not react obviously to the announcement of convertible bond issuance, which is mainly due to the large scale and stable operation of the companies issuing convertible bonds in the Chinese market, and the issuance of convertible bonds has little effect on their solvency. The paper also studies the investors' reaction in the stock market by quartile method according to the Tobin Q value. It is found that with the decrease of Tobin Q, the abnormal rate of return on the issuing announcement day gradually decreases, and from significant to not significant. If the observation range is extended to [-25] days, the cumulative abnormal return rate of the second quartile group (that is, the second largest group of Tobin Q values) is the highest. Because the reaction of investors in the stock market is remarkable, this paper analyzes the factors that influence the abnormal return rate of stock market by using the method of multiple regression analysis. The results show that the annualized growth rate (based on the conversion premium rate and the waiting period) has a significant negative effect on the abnormal return rate, that is, the higher the annualized ratio of the convertible stock price to the current price, The lower the abnormal rate of return, the lower the annualized ratio of the conversion price to the current price, and the higher the abnormal rate of return.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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