中国市场可转债宣告效应的实证研究

文章以我国目前在深沪两市交易的28只可转债为样本,用市场调整后的累积超额回报率来衡量发行可转债的宣告效应.通过对公告期内拟转换股票累积超额回报率的统计分析发现,公告期两天累积超额回报率CAR(-1,0)的平均值小于零,也就是说宣告发行可转债对市场有一定的负面影响,但比增发股票的负面影响要小.为研究累积超额回报率的影响因素和影响机制,以(-1,0)时间窗口内的累积超额回报率为因变量,以发行规模、发行期限、公司规模、公司成长性、公司财务杠杆为自变量建立起回归模型进行了实证研究,得出了几个较有意义的结论.

Announcement Effects of Convertible Bonds: an Empirical Analysis for Chinese Market

Convertible bond is a financing tool,whose character is between the bond and stock.Upon pronouncing to offer convertible bonds,the price of target stock usually fluctuates,which is named as announcement effects.The article gives empirical study on the cumulative abnormal returns(CAR) of target stocks using a sample of 28 Chinese convertible bond offerings,the results show that the two-day cumulative abnormal return is negative.In order to find the affecting factors,the article founds a regression model about the relationship between CAR(-1,0),issue-scale,issue-mat,company-value,increasing index and equity debt ratio,and also draws several significant conclusions from the results.