摘要
本文以2015年12月16日至2020年4月1日我国创业板市场发行的53只可转换债券为样本,通过研究可转换债券公告披露前后交易日的异常收益来检验市场的反应,考察发行公告是否存在股价效应。研究发现,可转换债券的发行公告具有显著的正效应,具体表现为在公告日当天的异常收益均值为正值且非常显著,在公告日前后4个交易日的累积异常收益率的均值也同样显著为正值。另外,为了探究这种积极的公告效应的影响因素,本文选取样本的相关变量建立了多元回归模型。实证分析的结果显示,公告效应可由创业板样本公司的公司规模和财务杠杆两个因素来解释:公司的资产规模与公告效应的相关性显著为负,资产负债率与公告效应相关性显著为正;而样本公司的净资产收益率、市盈率、稀释度及市净率在解释创业板可转债发行的公告效应时没有说服力。
in this paper,53 convertible bonds issued on chinext market on December 16,2015(solstice) April 1,2020 were taken as samples,and the market reaction was tested by studying abnormal returns in trading days before and after the issuance of convertible bonds announcement,so as to investigate whether there is a stock price effect in the issuance announcement.It is found that the issuance announcement of convertible bonds has a significant positive effect,which is embodied in the fact that the mean value of abnormal returns on the day of announcement is positive and very significant,and the mean value of cumulative abnormal returns on the four trading days before and after the announcement is also significantly positive.In addition,in order to explore the influencing factors of this positive announcement effect,this paper established a multiple regression model by selecting the relevant variables of the samples.The results of the empirical analysis show that the announcement effect can be explained by the two factors of the company size and financial leverage of the gem sample companies.The correlation between the company’s asset size and the announcement effect is significantly negative,while the correlation between the asset-liability ratio and the announcement effect is significantly positive.However,the return on equity,price-earnings ratio,dilution and price-tobook ratio of the sample companies are not convincing in explaining the announcement effect of cb issuance on gem.
作者
邵明鑫
Shao Mingxin(Xinjiang University of Finance and Economics)
出处
《金融发展评论》
2020年第4期81-94,共14页
Financial Development Review
关键词
创业板公司
可转换债券
公告效应
异常收益
Gem Companies
Convertible Bonds
Announcement Effect
Abnormal Return
作者简介
邵明鑫,金融硕士研究生,新疆财经大学金融学院,Email:1074029908@qq.com。
