上市公司可转换债券赎回的公告效应研究

发布时间：2018-11-02 07:17

【摘要】：可转债是优于直接债务融资和间接股权融资的一种复杂的金融衍生工具，随着我国金融市场的发展，可转债在投融资领域占有愈发重要的地位。赎回权是其重要组成部分，研究可转债赎回公告的效应有助于发行公司和投资者深刻认识可转债，，并为发行公司确定融资策略和投资者确定投资策略提供参考。本文采用的方法是事件研究法和多元回归分析方法。首先在回顾相关研究理论基础上统计了我国可转债赎回的基本情况，然后运用事件研究法对截止到2013年我国市场发生提前赎回的可转债进行研究，检验可转债赎回对股价的影响，并建立多元线性回归模型分析该影响的成因；此外，在分析“价”的同时结合“量”的分析，检验了可转债赎回的成交量效应；最后，以高频的股票价格数据为基础研究了市场对可转债赎回公告信息的反应速度。结果表明，我国的可转债赎回公告对股价存在负面影响，并且这种负面影响在可转债赎回公告当天及之后的30天内都是显著的；股价效应的影响因素主要有财务杠杆、价格压力、公司成长性、公司盈利能力和可转债特征变量；可转债赎回对成交量的影响并不明显，但在赎回公告当日开始小幅上涨并在公告后一天达到一个较高值，可以认为这与持有者转股套现以及我国的T+1交易制度有关，间接支持价格压力假说；市场对赎回公告的反应不是即时的，通常持续到公告后7-8个30分钟交易时间的间隔。本文的结论对可转债发行公司确定最优的赎回时机、优化可转债的条款设计以及投资者制定投资策略方面都是有重要意义的。
[Abstract]:Convertible bond is a kind of complex financial derivative which is superior to direct debt financing and indirect equity financing. With the development of financial market in China, convertible bond plays an increasingly important role in the field of investment and financing. Redemption is an important part of it. Studying the effect of convertible bond redemption notice will help issuers and investors to understand convertible bonds deeply and provide reference for issuing companies to determine financing strategies and investors to determine investment strategies. The methods used in this paper are event study and multiple regression analysis. First of all, based on the review of relevant research theories, this paper makes statistics on the basic situation of convertible bond redemption in China, and then uses the event research method to study the convertible bonds that have been foreclosed in advance until 2013. To test the influence of convertible bond redemption on stock price and to establish a multivariate linear regression model to analyze the causes of the influence; In addition, combining the analysis of "price" and "quantity", the paper tests the effect of turnover of convertible bond redemption. Finally, based on the high frequency stock price data, the paper studies the reaction speed of the market to the announcement information of convertible bond redemption. The results show that the convertible bond redemption notice has a negative impact on the stock price, and this negative impact is significant within 30 days after the announcement of convertible bond redemption; The main influencing factors of stock price effect are financial leverage, price pressure, company growth, corporate profitability and convertible bond characteristics. The effect of convertible bond redemption on turnover is not obvious, but it rises slightly on the day of redemption announcement and reaches a higher value one day after the announcement. It can be considered that this is related to the holder's cash transfer and the T1 trading system in our country. Indirectly support the price pressure hypothesis; The market's reaction to the redemption announcement is not immediate and usually lasts 7 to 8 trading minutes after the announcement. The conclusion of this paper is of great significance in determining the optimal redemption time, optimizing the term design of convertible bonds and making investment strategies for convertible bond issuing companies.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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