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我国可转换债券发行的宣告效应的实证研究

2010-10-18 17:56

 

原文:可转换债券在我国出现的时间还不长,但发展却十分地迅速,已经成为上市公司一种不可忽视的外部融资手段。与国外丰富的理论文献和实证结果相比较,国内针对可转换债券的发行对公司股票价格的影响的研究尚不多见。本文先提出了证券选择的预期模型。投资者根据公司的一些财务特性可以预测公司发行的可转债是债券型还是权益型。用Logistic 回归建立的预期模型,我们可以得出投资者对可转债类型的预测。用概率分类法可以得出可转债实际是债券型还是权益型,通过和预期的比较,我们可以知道可转债的发行是否符合预期,以及符合预期和不符合预期两种情况对可转债发行宣告效应的影响。本文我们研究了可转债的发行对公司股价的影响。首先,我们用事件研究法检验可转债的发行宣告是否会给公司带来异常收益。我们发现在我国可转债的发行导致股价下降了1.1%。这与美国等市场的情况是一致的,而与日本以往一些研究结果不一样。这是由于日本的一些特殊的经济文化因素造成的。接着,我们进一步探讨了权益型可转债与债券型可转债的发行宣告效果的差异,符合预期发行与不符合预期发行两种情况下可转债的发行宣告效果的比较,以及预期发行债券型可转债、实际却发行权益型可转债与预期发行权益型可转债、实际却发行债券型可转债两种情况下可转债的发行宣告效果的对比。接下来,作者综合了国外相关文献中的自变量因素,结合我国可转债市场的实际情况,得出自己的回归方程,通过多元回归分析了那些财务因素对异常收益产生了影响,我们发现公司规模、转换溢价、资产负债率、主营业务增长率和经营净利润率会对异常收益产生影响。本章最后还探讨了其他可能影响宣告效应的因素,并和日本市场作了对比。本项目的研究对我国上市公司利用可转换债券融资有指导意义,对我国资本市场的完善与发展有借鉴作用。

译文:The convertible bond is still not long in time when our country appears, but development is very fast, it has already become a kind of external financing means that can't be ignored of listed company. Abundant theory documents and real example result are compared with foreign countries, the issue at home is still rare in study on influence of stock price of the company. Anticipated model of securities chosen has been proposed first. Investors can predict that the company issues is the debt-like or the equity-like according to some financial characteristics of the company. The anticipated model that is established by Logistic regression, through it we can draw investor's prediction of the type of the convertible bond. We can draw with probability classification that convertible bond is bond-like or right-like, through compared with anticipated result, we can know whether the issue of the convertible bond accord with expectancy. We have studied the impact on company's stock price of issue of the convertible bond in this text. First of all, we examine whether issuance of convertible bond bring abnormal return to company by event study. We find the issue announcement of convertible bond cause the stock price to drop by 1.1%. This is unanimous with situation of such markets as U.S.A., etc., and some results of study were different in the past in Japan. This is caused by some special cultural factors of economy of Japan. Then we discussed the difference of the announcement effect between the equity-like bond and debt-like bond. And then, the author has synthesized the independent variable factor in foreign relevant documents, combine the actual conditions of the market of convertible bond of our country, draw one's own regression equation. We found company scale, convert premium, asset-liability ratio, core business rate of increase and net profit rate will exert an influence to the abnormal return. At last, we discussed some other characteristics which may influence the announcement effect. This study has directive significance to our country listed company, there is reference function to perfection and development of the capital market of our country.

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