【作者】 王慧煜；

【导师】 夏新平；

【作者基本信息】 华中科技大学 ， 企业管理， 2004， 硕士

【摘要】 可转换债券是指发行人依照法定程序发行、在一定期间内依据约定的条件可以转换成股份的公司债券。作为一种金融衍生工具,可转换债券是证券市场不可缺少的一部分,对证券市场的繁荣起到了重要的作用。对可转换债券宣告效应的研究,有助于了解可转换市场的反应,从而促进可转换债券市场的发展与完善。论文以我国证券市场2000年1月至2003年12月间, 81家上市公司拟发行可转换债券为一个样本,以其中发行了可转换债券的23家上市公司为另外一个样本。对拟发行和发行可转换债券宣告效应及其影响因素进行了实证分析,其中重点是研究发行可转换债券的宣告效应。实证结果发现,我国上市公司董事会通过发行可转换债券后,二级市场股票价格表现为显著下降,[0,1]时间窗口的累计超额收益率为-0.36%,而上市公司发布发行可转换债券公告后,二级市场股票价格表现为显著上升,[0,1]时间窗口的累计超额收益率为0.39%。进一步的回归分析研究表明,拟发行可转换债券宣告效应与发行公司的成长性显著正相关;发行可转换债券宣告效应与发行公司的财务杠杆正相关,但是与宣告期间重大事件的公布负相关。我国发行可转债的宣告效应的表现与荷兰,日本相似,但是在影响宣告效应的因素却与其他国家不太一样。同时对比其他再融资方式,发现可转换债券相对于增发新股,配股更受到投资者的追捧。文章在最后通过研究分析后,从国家,企业,投资者三方面对完善我国可转债市场提出了相应的建议和对策。论文主要由概述、文献综述、我国可转换债券市场概况、实证研究和完善我国可转换债券市场的途径五个部分组成。更多还原

【Abstract】 Convertible bonds means bonds are convertible, at the holder’s option, into shares of common stock of the same corporation. It is a necessary part of the securities market. Convertible bonds play the important role in the flourish of the securities market. Through the study of announcement effects of convertible bonds, we could understand the reaction of the convertible bonds market. We could perfect and develop the convertible bonds market.This study investigates the announcement effects of offerings of convertible bonds using data for the Chinese market. We use the announcements of convertible bonds that issued from January 2000 to December 2003 by Chinese companies. The sample includes two parts, one part is the 81 convertible bonds which broad pass the offering advice (CBP), and the other part is the 23 convertible bonds that had offered (CBo). The announcement effect of CBo is the paper’s main investigative object. The event study analysis shows that announcement effects of CBP have a significant negative share market response. It has a cumulative abnormal return of -0.36% over the period [0,1]. And the analysis shows that announcement effects of CBo have a significant positive share marker response. It has a cumulative abnormal return of 0.39% over the period [0,1]. The cross sectional results of CBP show those growth opportunities is positively associated with firm value. And the cross sectional of CBo results show that debt ratio is positively associated with firm value. The firm-specific news is negatively associated with firm value. The performance of CBo is similar to the results for Dutch market. But factor of effect is difference to the Dutch market. Compare with re-issuing new shares and rationing shares, we find investor prefer convertible bonds.At the end of the paper, we give some pieces of advice of convertible bonds market in 3 aspects. The 3 aspects are country, corporation and investor.The paper included 5 parts: introduction, summarize, Chinese convertible bonds market, an empirical analysis and advice.更多还原