我国公司债和中期票据公告效应分析研究

发布时间：2018-05-07 09:09

本文选题：公告效应 + 公司债　；参考：《复旦大学》2013年硕士论文

【摘要】：债券市场过去几年中的快速发展改变着中国资本市场,作为上市公司中长期债券融资的重要工具,公司债和中期票据发展迅速。为了探究上市公司发行公司债和中期票据对于自身股价的影响,明确投资者对于两类债券发行的态度,以期对公司债和中期票据的发展以及发行人和投资者的选择有所帮助。本文选取2007年8月到2012年12月上市公司发行的公司债和中期票据作为样本,通过事件研究法和多元线性回归在窗口期(-5,5)上对发行公告效应做了研究。研究结果发现公司债和中期票据的发行公告在单日上均会对股价造成显著异常波动,但在事件窗口期上公司债发行并没有显著的公告效应,而中期票据发行将产生显著的负公告效应。通过截面多元线性回归分析发现,债券发行期限、发行规模、净资产、付息债务/投入资本、投入资本回报率、市值、面值/市值均与公司债和中期票据公告效应没有显著的相关性,而债券主体评级则分别在1%和5%的水平上与公司债和中期票据公告效应显著相关,呈现出评级低的组别累计异常收益率更小。进一步在窗口期中分别考察不同组别主体评级公司债和中期票据的公告效应,主体评级AA以下的公司债和中期票据在窗口期上公告效应均显著为负,分别在5%和1%的水平下有-1.482%和-2.763%累计异常收益率,而AA及以上组别的公司债和中期票据在窗口期上均没有显著的公告效应。
[Abstract]:The rapid development of the bond market in the past few years has changed the Chinese capital market. As an important tool for medium and long-term bond financing of listed companies, corporate bonds and medium-term notes have developed rapidly. In order to explore the influence of issuing corporate bonds and medium-term notes on the stock price of listed companies, this paper clarifies the attitude of investors towards the issuance of the two kinds of bonds, in order to help the development of corporate bonds and medium-term notes and the choice of issuers and investors. This paper selects the corporate bonds and medium-term notes issued by listed companies from August 2007 to December 2012 as samples and studies the effect of issuing announcement on the window period by means of event study and multiple linear regression. The results show that the issuance of corporate bonds and medium-term notes on a single day will cause significant fluctuations in the stock price, but in the event window period, there is no significant announcement effect on the issuance of corporate bonds. And medium-term bill issue will produce significant negative announcement effect. By cross-sectional multiple linear regression analysis, it is found that the maturity, size, net assets, interest-paying debt / invested capital, return on invested capital, market value, There was no significant correlation between par value / market value and the announcement effect of corporate bonds and medium-term notes, while the ratings of bond subjects were significantly related to the announcement effect of corporate bonds and medium-term notes at the level of 1% and 5%, respectively. Low-rated groups show a smaller cumulative abnormal rate of return. Furthermore, in the window period, the announcement effect of corporate bonds and medium-term notes of different groups were investigated respectively. The announcement effects of corporate bonds and medium-term notes with the main rating below AA were significantly negative in the window period. At the levels of 5% and 1%, there were -1.482% and -2.763% cumulative abnormal returns, respectively, while corporate bonds and medium-term notes in AA and above groups had no significant announcement effect in the window period.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【共引文献】