可转债特别向下修正条款的触发与公告效应
发布时间：2018-09-01 18:00
【摘要】：特别向下修正条款(以下简称“修正条款”)作为可转债的重要内容之一,指当可转债发行公司的股价满足一定条件时,可以下调转股价格。该条款对于提高债转股的可能性起着很关键的作用,是保障债券持有人权益的重要手段。1992年,我国就发行了第一只境内可转债,但直到2000年,我国发行的可转债才出现了第一条修正条款。修正条款的出现,提升了可转债的价值,帮助活跃了当时还处于探索期的可转债市场。随后修正条款的内容不断发生演变,但这一变化都与可转债市场的发展是密不可分的。以往对可转债进行研究的学者,主要是在讨论可转债定价时涉及到修正条款,很少真正关注条款本身。因此,本文试图在以往文献研究的基础上,深入讨论修正条款的内容演变和触发分析。此外,本文还就转股价下调的公告效应及其影响因素进行探究,希望借此能更加深入地理解修正条款对可转债市场和股票市场的影响。本文将2000年-2014年2月的修正条款发展按照内容演变分为了4个阶段,并采用描述统计分析了修正条款的触发并下调转股价的情况。结果显示,初始转股价和修正底线的差距越大,公司越有可能下调转股价。相比牛市,熊市出现时,公司更有可能下调转股价。相比发行的头两年,之后的生存期内公司更有可能下调转股价。但触发条件的宽松、可转债市场的成交量与下调转股价之间的关系并不是很明显。此外,本文利用生存模型研究转股价下调的公告效应,将可转债对应股票的异常收益率的连续上涨或下跌看作是一种生存过程。以转股价下调公告发布后的第一个交易日视为事件生存时间的起点,以异常收益率变化趋势的转折时点视为死亡点,描绘生存时间分布。同时,利用Cox回归模型判断哪些协变量对生存时间有显著影响。本文发现,公告发布后异常收益率的变动趋势大多数情况维持在1天,可能正因为如此,相较于事件研究法,生存模型可能没有那么使用于本文的公告效应研究。最终并没有找到能显著影响时间分布的因素,这是本文的不足之处。
[Abstract]:As one of the important contents of convertible bonds, special downward amendment clause (hereinafter referred to as "amendment clause") means that when the share price of convertible bond issuing company meets certain conditions, the price of convertible bond can be lowered. This clause plays a key role in raising the possibility of debt-to-equity swaps and is an important means of protecting the rights and interests of bondholders. In 1992, China issued its first convertible bond in China, but until 2000, The first amendment clause appeared in the convertible bonds issued in our country. The emergence of the amended clause raised the value of convertible bonds and helped to enliven the market of convertible bonds, which was at that time still in the exploratory period. The content of the amended clause evolves continuously, but this change is closely related to the development of the convertible bond market. In the past, scholars who studied convertible bonds mainly discussed the pricing of convertible bonds, but seldom paid attention to the terms themselves. Therefore, this paper attempts to discuss the content evolution and trigger analysis of the amended clause on the basis of previous literature. In addition, this paper also probes into the announcement effect and its influencing factors of the downgrade of the convertible stock price, hoping to understand the effect of the revised clause on the convertible bond market and the stock market more deeply. In this paper, the development of revision clause from 2000 to February 2014 is divided into four stages according to the evolution of content, and the trigger of amendment clause is analyzed by descriptive statistics and the stock price is downgraded. The results showed that the bigger the gap between the initial share price and the revised baseline, the more likely the company was to downgrade its share price. Compared to bull market, bear market, the company is more likely to lower their share price. After the first two years of the issue, the company is more likely to downgrade its share price. But with the easing of trigger conditions, the relationship between turnover in the convertible bond market and lower prices is not obvious. In addition, by using the survival model, this paper studies the announcement effect of the downgrade of the convertible stock price, and regards the continuous rise or fall of the abnormal return rate of the convertible bond as a survival process. The first trading day after the downgrade announcement was regarded as the starting point of the event's survival time, and the turning point of the abnormal yield trend was regarded as the death point to describe the distribution of the survival time. At the same time, Cox regression model was used to determine which covariables had significant influence on survival time. This paper finds that the trend of abnormal rate of return after announcement is maintained in one day, which may be the reason why the survival model may not be used in the study of announcement effect in this paper. Finally, there are no factors that can influence the time distribution significantly, which is the deficiency of this paper.
【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
本文编号：2217937
[Abstract]:As one of the important contents of convertible bonds, special downward amendment clause (hereinafter referred to as "amendment clause") means that when the share price of convertible bond issuing company meets certain conditions, the price of convertible bond can be lowered. This clause plays a key role in raising the possibility of debt-to-equity swaps and is an important means of protecting the rights and interests of bondholders. In 1992, China issued its first convertible bond in China, but until 2000, The first amendment clause appeared in the convertible bonds issued in our country. The emergence of the amended clause raised the value of convertible bonds and helped to enliven the market of convertible bonds, which was at that time still in the exploratory period. The content of the amended clause evolves continuously, but this change is closely related to the development of the convertible bond market. In the past, scholars who studied convertible bonds mainly discussed the pricing of convertible bonds, but seldom paid attention to the terms themselves. Therefore, this paper attempts to discuss the content evolution and trigger analysis of the amended clause on the basis of previous literature. In addition, this paper also probes into the announcement effect and its influencing factors of the downgrade of the convertible stock price, hoping to understand the effect of the revised clause on the convertible bond market and the stock market more deeply. In this paper, the development of revision clause from 2000 to February 2014 is divided into four stages according to the evolution of content, and the trigger of amendment clause is analyzed by descriptive statistics and the stock price is downgraded. The results showed that the bigger the gap between the initial share price and the revised baseline, the more likely the company was to downgrade its share price. Compared to bull market, bear market, the company is more likely to lower their share price. After the first two years of the issue, the company is more likely to downgrade its share price. But with the easing of trigger conditions, the relationship between turnover in the convertible bond market and lower prices is not obvious. In addition, by using the survival model, this paper studies the announcement effect of the downgrade of the convertible stock price, and regards the continuous rise or fall of the abnormal return rate of the convertible bond as a survival process. The first trading day after the downgrade announcement was regarded as the starting point of the event's survival time, and the turning point of the abnormal yield trend was regarded as the death point to describe the distribution of the survival time. At the same time, Cox regression model was used to determine which covariables had significant influence on survival time. This paper finds that the trend of abnormal rate of return after announcement is maintained in one day, which may be the reason why the survival model may not be used in the study of announcement effect in this paper. Finally, there are no factors that can influence the time distribution significantly, which is the deficiency of this paper.
【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
【参考文献】
相关期刊论文 前2条
1 刘大巍;陈启宏;;对我国可转债特别向下修正条款的研究[J];系统工程学报;2010年03期
2 王咏梅;代冰彬;;市场反应、生存模型与信息披露[J];证券市场导报;2006年08期
，本文编号：2217937
本文链接：https://www.wllwen.com/jingjilunwen/guojijinrong/2217937.html
