可转债上市及转股日的异常收益探讨

本文对可转债上市及转股日前后异常收益分析表明，上市初期累计异常收益与现金流因子成显著正相关，与营运因子成非显著负相关。本文认为，上市初期可转债累计异常收益部分由可转债本身因素来决定，部分由市场的非有效性与心理因素来决定。而转换期前后的累计异常收益完全是由市场的非有效性与心理因素决定的。在转换期前后，公司基本面信息与转债条款信息已在定价中得到反映，转换期前后累计异常收益完全与这些信息无关，可转债价格的异常变化也与这些因素无关。

CB Listing and Abnormal Earnings on Ex-day

The author made an analysis of convertible bond listing and abnormal earnings before and after expiry date. Studies reveal that in early listing, accumulated abnormal earnings are positively correlated to cash flow elements, but negatively to operating elements. The author concludes that, in early listing, accumulated abnormal earnings of convertible bonds depend mainly on bond themselves, partly on the ineffectiveness and psychological reasons of the market, while surrounding the expiry date, the ineffectiveness and psychological reasons of the market are the main reasons of the accumulated abnormal earnings. In this period, corporate fundamentals and information regarding convertibility are fully manifested in the pricing, which are not responsible for the accumulated abnormal earnings in this stage. The big changes in convertible bonds are also independent from these factors.