【摘要】 对沪深两市2000～2010年间174家公司董事会发布可转债融资信息导致的股价波动进行了研究,研究表明在宣告日当天及次日股价存在显著性的负效应;在不同的市场环境下投资者的行为是不同的,在熊市和调整市环境下,宣告当日的股价存在显著的负效应,而在牛市环境下,不存在显著性非零的异常收益。回归分析结果支持压力假说理论而不支持信号理论的解释。研究结果反映了我国证券市场上,投资者的行为除了受到事件本身的影响外,更受到市场环境的因素影响。更多还原

【Abstract】 This paper uses event study method to analyze 174 companies’abnormal returns caused by the announcement of convertible bonds issues in 2000-2010. Studies show that the underlying stocks have significantly negative CAR after announcement date. But the announcement effects are different under three market circumstances: bull, balance and bear circumstance. Regression analysis showed that the pressure hypothesis not the signal theory can explain the negative stock price effect. The study concluded that, in China’s stock market investors’ behavior is more affected by market environment factors, rather than the impact of the event itself.更多还原