可转债发行公司经营绩效实证研究

对中国上市公司2000-2004年间发行的可转债进行研究,统计检验结果发现,可转债发行后两年内,发行公司经营绩效有小幅下降,与行业规模组对比,发行可转债的公司属于绩优公司,发行前后各项绩效指标都高于行业规模组,而与增发配股组比较,二者不存在显著差异,发行后转债组的成长性指标高于增发配股组。     

上市公司发行可转换债券前后绩效变化的影响因素分析

随着市场经济的快速发展,可转换债券作为一种新型的金融工具对我国证券市场产生了深远影响。本文在国内外有关可转债融资后企业绩效下滑的研究基础上,进一步分析产生这种现象的原因及其影响因素,研究发现公司的资本结构、成长性、条款设计、代理成本、财务风险和公司规模都在不同程度上影响了可转债发行后公司绩效表现,政府以及企业的管理者都应当合理的引导和进行可转债融资。     

可转债与企业绩效的关系实证研究

针对企业可转债融资给企业经营绩效带来的影响,本研究采用实证的方式,以2014-2019的上市公司数据为例,选择45个符合要求的样本,在构建经营绩效评价指标和控制变量的前提下,通过主成分分析和回归模型对企业发行可转债后的经营绩效进行评价。结果表明,在发行可转债后,企业经营绩效出现下降,且企业的负债越高,自身的经营绩效越低,验证了本文的假设。     

中国可转债发行的股权价值效应

本文运用Merton(1990)的或有索取权分析方法,对中国上市公司发行可转债行为对非流通股东和流通股东股权价值的不同影响作了深入的分析,得出如下结论:(1)在中国目前股权分割的情况下,无论可转债是否按照合理价格发行,原有流通股的价值都会减少;(2)在非流通股东占控股地位的情况下,它会选择折价发行并向全体股东配售这一对其最为有利而对流通股东最为不利的可转债发行方案。并在此基础上提出政策建议:修改可转债发行法规,规定可转债只能向原有流通股股东配售,不能向社会公众和非流通股股东配售。     

基于B—S模型下的可转债初始转换价格研究

目前,对可转债的市场价格的研究很多,但是对可转债发行时初始转换价格确定的研究却寥寥无几。本文通过可转债的价值构成,应用纯债券价值计算模型和B—S期权定价模型反向推出可转债发行时当可转债价格等于面值时的初始转换价格。并对南山转债进行实证分析,得出南山转债的初始转换价格确定过高,而后来南山转债向下调整转换价格也证明了本文的结论。     

股利公告与债券价格:财富再分配假说还是信息含量假说?

本文从公司股东和债权人的利益冲突的角度出发,选取2002~2014年所有发行了可转换债券的公司为样本,运用事件研究法实证研究股利公告对可转债价格的影响,分析控制公司的股东是否利用股利政策来剥夺债权人的财富,并验证国外两种解释股东和债权人之间冲突的理论假说对中国市场的正确性.研究发现,股利增加对可转债债权人来说是利好消息,而股利减少对可转债权人来说是利坏消息,即支持信息含量假说,可转债的价格与股利增加正相关,而与股利减少负相关.     

基于Black-Sholes期权模型的可转债定价与交易策略

自2017年资管新规出台以及新的可转换债券发行、申购方式实施后，可转换债券成为我国资本市场的一个热点话题。文章以Black-Sholes模型为基础，对可转换债券的定价进行研究，选择电子通信行业以及医药行业的部分可转债为例，对其2019年度和2020年度的价值进行分析，在计算可转债相应时点理论价值和实际价值的基础上确定债券的买入和卖出时机，形成可转债的交易策略。研究成果对可转债市场上的可转债投资有参考和借鉴作用。     

股权分置改革前后可转债发行公告效应的差异性研究

以2001年4月至2008年10月期间的69只发行可转债的公司作为研究对象,以股权分置改革为分界点,并将其分为两个部分,运用事件研究法分别对这两部分可转债进行了研究。结果表明股改前可转债发行产生负的公告效应,而股改后可转债发行产生正的公告效应;通过对股票的累计异常收益率与公司的财务性指标多元回归,发现股改前后结果差别较大,这表明股改对可转债市场的发展有积极的推动意义。     

关于我国债券融资公告效应的实证研究——基于可转债和公司债融资的比较

在有效资本市场中,有关公司价值变动的真实信息将会对股价产生显著的影响,并且影响程度将视公告公司及其当时所处的经济环境而定。债券融资是公司经营活动中常见的财务决策,通常会对公司价值带来明显的影响。文通过事件研究、配对研究、多元回归等分析方法深入考察了中国资本市场2002-2007年对债券发行公告信息的反应,发现可转债和公司债公告具有相似的市场反应,在一定期间内均表现出了显著的负向效应,并且这种公告效应与债券特性、发行环境及公司自身财务状况间呈现出显著的相关性。     

对分离交易可转债的两点分析

2005年政府进行了历史性的决策,开始进行股权分置改革。股改对我国的资本市场的影响非常深刻,分离交易可转债这种我国资本市场的创新再融资产品也在这样的背景下应运而生。新的市场环境,新的融资品种,市场主体们会对之做什么样的反应呢?分离交易可转债和之前的普通可转债有什么样的联系和区别?投资者能不能识别分离交易可转债的发行企业的真实情况?等等的问题,促使作者对分离交易可转债进行分析和研究。     

中国股市收益与经济增长背离现象的协整性检验

近年来很多专家学者已经注意到了中国股市收益与经济增长相背离的现象,并将这种现象称之为“股经背离”。应用计量经济学中的协整理论,对我国股市收益与经济增长的关系进行实证分析,结果表明,代表虚拟经济的股市和代表实体经济的经济增长之间并不具有长期的均衡关系,从而用计量经济学的方法进一步证实了“股经背离”现象的存在。     

股票送转、除权日异常收益与分析师关注度

本文使用事件研究的方法,利用1999年到2009年的中国股市上市公司的股票送股、转增事件的相关数据,分析发现这些股票会由于除权日时间而获得正的异常收益,这一结果不随着不同的统计假设、送转事件是否伴随着现金红利以及按照送股与转增的比例、现金红利数量划分的子样本而改变。探究这种异常收益的来源,发现分析师关注度(下文以分析师关注度来代替)会正向显著的影响异常收益;每多一名分析师关注这支送转的股票会在除权日多带来0.2元的异常收益,并且这种关系是稳健的,进一步通过工具变量回归解决了分析师关注的内生性。     

Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China

We find that cumulative abnormal returns adjusted by size, book-to-market, and momentum around the earnings announcement date (DGTW_CAR3 hereafter) significantly and positively predict stock returns in the 6-month period from May 2005 to October 2020 in the China's A-shares market. The monthly equally-weighted DGTW_CAR3 premiums are 0.47% and 0.67% after risk adjustment. Although stock price delay fails to fully account for the DGTW_CAR3 premium, we find that the DGTW_CAR3 premium is more significant for illiquid stocks and during periods with high investor sentiment. This result suggests that market inefficiency explains the DGTW_CAR3 premium. Further analysis shows that, in addition to earnings information, the optimism reflected in the management discussion and analysis section of the annual or half-year report also contributes to the DGTW_CAR3 premium. This finding implies that DGTW_CAR3 may contain new fundamental information that correlates significantly and positively with future stock performance. Finally, we find that the institutional ownership change of a stock associated with DGTW_CAR3 also significantly and positively predicts the stock's return, suggesting that institutional investors adjust their holdings according to DGTW_CAR3 and consequently influence the demand for the stock in the China's A-shares market.     

An Analysis of Stock Market Response to the IOC's Commercial Partnership: The Case of the TOP Partnership Program

The purpose of this study was to investigate the empirical properties of stock market response. The financial impact of corporate sponsorship is reflected in the market value of a firm's stock price, which is measured by comparing the abnormal stock return between the preevent window (250 trading days) and the 14 trading days of the event period. Computations of ARs, CARs, and other test statistics were based on the event study model and were carried out using the SAS 9.2 software. For the preevent windows (t = ?3, t = ?1), there were statistically significant positive ARs and 80% of the TOP sponsors showed positive ARs in the overall duration of the Olympic Games. The overall CARs during the event period (t = ?3 through t = +10) indicates marginally positive returns for the event.     

Macroeconomic shocks and the co-movement of stock returns in Latin America

This paper studies the economic sources underlying the co-movement of real stock returns in Latin America. Following the literature on structural vector autoregressive models (SVARs), I use long-run restrictions to identify three structural shocks: demand, supply, and portfolio shocks. For some countries, portfolio shocks are important factors behind real stock returns. Furthermore, these shocks seem to be important in explaining cross-country co-movement patterns. However, these findings are not statistically strong due to the degree of uncertainty about the estimates of the importance of each structural shock and the cross-correlation coefficients. Therefore, macroeconomic shocks (supply and demand) cannot be neglected in accounting for the dynamics of real stock returns.     

中国股市SEO后股票收益及公司业绩的双重长期弱势表现

以中国股市于2000年和2001年间进行新股增发的33支A股股票为样本研究发现,增发后SEO股票无论是在投资收益方面还是在公司业绩方面,长期内都表现出显著的弱势现象。在进一步研究弱势表现的原因时发现,SEO前发行公司过度的盈余管理导致了发行后经营业绩的长期弱势表现;SEO前,投资者对即将增发的股票存在着系统性高估,SEO后的长期股票收益弱势是投资者根据发行后公司的实际业绩对原本过度乐观的预期逐步进行理性调整的结果。     

Stock Price Response to Earnings Announcements: Evidence From the Nigerian Stock Market

The author examines the stock market reaction to annual earnings information releases using data for a sample of firms on the Nigerian Stock Exchange. Using the event study method, the author found that the magnitude of the cumulative abnormal returns is dominated by significant reactions 20 days before the earnings release date, which suggests that a portion of the market reaction may be due to private acquisition and, possibly, abuse of information by insiders. The persistent downward drift of the cumulative abnormal returns, 20 days after the announcement, is inconsistent with the efficient markets hypothesis.     

Day-of-the-Week Variation and Predicting Stock Returns: Taiwan and Thailand Stock Exchanges

Previously, researchers created a day-of-the-week anomaly in closing stock returns for firms listed on established financial markets. This article explores whether this line of argument is or is not satisfactory and does or does not aid in predicting daily stock returns. The article focuses on the performance of stock returns for two large Asian Stock Market exchanges, Taiwan and Thailand. The purpose is to determine if stock market returns (which include closing prices and dividends) are in part predictable and whether there are explanations for short-term predictability.     

可转换债券融资风险及其规避

可转换债券现已成为我国资本市场不可或缺的投融资工具。从实践看,上市公司利用可转换债券融资仍存在发行风险、转换风险、以及经营环境、业绩、财务、操作、被接管和兼并等因素带来的融资风险,如果这些风险问题得不到较好解决,将严重阻碍证券市场的发展。企业应完善融资风险预警系统,有效规避可转换债券存在的融资风险。要根据自身特点选择适合自己的融资方式和有利的发行时机,解决好我国资本市场存在的股权融资比例过高、投资品种匮乏和金融创新困难等问题,促进中国资本市场的成熟、完善。     

Index options open interest and stock market returns

This study finds that the growth of index options open interest has a significant relation with future stock market returns. We propose a theoretical model that considers hedgers and informed traders in the options market and suggests that hedgers fully utilize options according to their expectations of future stock returns. The empirical results show that the growth of out-of-the-money call options open interest is significantly related with future stock market returns. These findings provide supporting evidence for our theoretical model.