香港人民币债券发行的公告效应及其影响因素研究

本文以2007年7月至2011年8月在香港发行人民币债券的74家公司发行的87支离岸人民币债券为研究对象,运用事件研究方法对这些离岸人民币债券发行的公告效应及其影响因素进行了实证研究。结果表明,在我们研究的事件窗口中,在香港发行人民币债券会对公司股价产生显著为负的公告效应,此效应近似等于我国公司在国内股权融资所产生的公告效应,小于可转债和公司债发行时所产生的效应。横截面的数据回归分析表明,股票的累计异常收益率与公司的规模、信用评级和债券的相对规模成正相关关系,与债券的期限、公司的固定资产比率、负债率和成长性不存在显著的相关关系。

The Announcement Effect and the Influencing Factors of RMB Off-Shore Market in H.K.

In this paper,we study the 87 offshore RMB bonds which were issued by 74 companies from July 2007 to August 2011 in Hong Kong.We use the event-based study methods.The results show that,in the event window,the issuance of RMB bonds in Hong Kong will produce obvious negative announcement effects,which are nearly equal to the announcement effects of the domestic equity financing,less than the announcement effects of issuing convertible company bonds and straight-debt bonds.The regression analysis of cross sectional data shows that the stock cumulative average abnormal returns are positively related with the size of the company,the credit rating and the relative scale of bonds,but the maturity of the bonds,fixed assets ratio,debt-to-assets ratio and growth have no significant correlation.