【摘要】：2007年8月14日,中國證監(jiān)會(huì)正式頒布《公司債券發(fā)行試點(diǎn)辦法》,這一“辦法”的實(shí)施為我國上市公司發(fā)行公司債券提供了制度上的指引與規(guī)范。雖然作為再融資方式之一的公司債在我國存在的時(shí)間較短,但近年來其發(fā)展較為迅速。國內(nèi)外的研究中,對(duì)上市公司發(fā)行股票以及可轉(zhuǎn)債的公告效應(yīng)的研究較多,但對(duì)發(fā)行公司債券所產(chǎn)生的公告效應(yīng)的研究非常匱乏。發(fā)行公司債券是否存在公告效應(yīng)?這種公告效應(yīng)在不同行業(yè)中是否存在差異性?影響公告效應(yīng)的因素有哪些?這一系列發(fā)問值得探究。 首先,本文通過對(duì)國內(nèi)外文獻(xiàn)的回顧與評(píng)述,發(fā)現(xiàn)國內(nèi)外有關(guān)發(fā)行公司債所產(chǎn)生的公告效應(yīng)的研究并不多,大多是關(guān)于增發(fā)以及可轉(zhuǎn)債的研究,而分行業(yè)對(duì)樣本集進(jìn)行公告效應(yīng)的研究,在國內(nèi)更是無人觸及。國外大部分對(duì)歐美成熟市場(chǎng)發(fā)行證券的公告效應(yīng)的研究得出的結(jié)論都與MM理論中的優(yōu)序融資順序相一致,即：發(fā)行證券所產(chǎn)生的負(fù)向反應(yīng)中,市場(chǎng)對(duì)發(fā)行股票所產(chǎn)生的負(fù)向反應(yīng)最為強(qiáng)烈,其次分別為可轉(zhuǎn)債和普通公司債券。但是對(duì)于新興市場(chǎng)如對(duì)馬蘭西亞證券市場(chǎng)發(fā)行的伊斯蘭債的研究發(fā)現(xiàn),其產(chǎn)生了顯著為正的累積異常收益率。國內(nèi)對(duì)于發(fā)行公司債的公告效應(yīng)的研究極少,同時(shí)在事件基準(zhǔn)日的選擇、公告效應(yīng)實(shí)證結(jié)論等方面也并不一致。 其次,本文簡(jiǎn)要介紹了中國公司債券市場(chǎng)的發(fā)展現(xiàn)狀,并指出中國公司債券市場(chǎng)存在著發(fā)展速度緩慢、發(fā)行規(guī)模小、融資結(jié)構(gòu)不合理等問題。 再次,本文對(duì)研究方法、模型構(gòu)建進(jìn)行了具體說明。第一,在樣本數(shù)據(jù)的選擇上,本文選取2007年8月14日至2011年8月31日間首次公布公司債券發(fā)行公告的107家A股上市樣本公司為研究對(duì)象,并根據(jù)清潔樣本的選取標(biāo)準(zhǔn),以董事會(huì)關(guān)于公司債券發(fā)行的決議日、證監(jiān)會(huì)關(guān)于核準(zhǔn)發(fā)行公司債券的核準(zhǔn)日兩個(gè)事件基準(zhǔn)日,分別選取了50個(gè)和73個(gè)樣本公司進(jìn)行實(shí)證分析。第二,在本文的研究方法上,本文采取的是事件研究法和橫截面分析法,分別考察發(fā)行公司債券公告效應(yīng)的存在性、公告效應(yīng)的行業(yè)差異性以及公告效應(yīng)影響因素分析。在考察公告效應(yīng)的存在性和行業(yè)差異性上,本文選用日均異常收益率和平均累計(jì)異常收益率作為研究指標(biāo),并運(yùn)用SPSS軟件對(duì)事件窗口期內(nèi)樣本的異常收益率進(jìn)行統(tǒng)計(jì)檢驗(yàn)。在考察影響公告效應(yīng)的相關(guān)因素上,本文根據(jù)所研究事件在窗口期內(nèi)公告效應(yīng)的顯著性結(jié)果,在公告效應(yīng)相對(duì)顯著的窗口期內(nèi),通過導(dǎo)入影響累計(jì)異常收益率的相關(guān)因素,建立橫截面數(shù)據(jù)回歸模型,對(duì)影響累計(jì)異常收益率的因素進(jìn)行了回歸分析。 接著,本文采取事件研究法,對(duì)發(fā)行公司債券的公告效應(yīng)進(jìn)行了研究。首先考察作為投資者最早得到公司可能發(fā)行公司債券這一消息的董事會(huì)決議日的前后10個(gè)交易日的日均異常收益率以及事件窗口期內(nèi)的平均累積異常收益率的統(tǒng)計(jì)顯著性,我們發(fā)現(xiàn),以總體樣本為研究對(duì)象,無論是各個(gè)窗口日,還是選取的事件期內(nèi)的窗口期,日均異常收益率和平均累積異常收益率都不顯著,但若將行業(yè)進(jìn)行分類,選取樣本集數(shù)量相對(duì)較多的行業(yè)分別進(jìn)行統(tǒng)計(jì)檢驗(yàn),結(jié)果發(fā)現(xiàn)樣本集數(shù)量最大的制造行業(yè),在董事會(huì)決議日前第8個(gè)交易日以及后第6個(gè)交易日,均出現(xiàn)了顯著為負(fù)的日均異常收益率,顯著性水平分別為1.1%和4%,相關(guān)窗口期的累積異常收益率均不顯著；房地產(chǎn)行業(yè)的日均異常收益率與平均累積異常收益率也都不顯著�？傮w而言,在董事會(huì)關(guān)于發(fā)行公司債券的決議日的前后10個(gè)交易日窗口期間,市場(chǎng)對(duì)這一決議公告所做出的反應(yīng)非常微弱。之后,我們?cè)倏疾炷軌蚴雇顿Y者確信公司債券能夠得到成功發(fā)行的證監(jiān)會(huì)核準(zhǔn)日的前后10個(gè)交易日的日均異常收益率以及事件窗口期內(nèi)的平均累積異常收益率的統(tǒng)計(jì)顯著性。我們發(fā)現(xiàn),以總體樣本為研究對(duì)象,在證監(jiān)會(huì)核準(zhǔn)日前8天和后7天,日均異常收益率顯著為正,其顯著性水平分別為1.6%,7.5%，，且窗口期內(nèi)樣本公司股票的累積異常收益率均為正值,其中,事件窗口期(0,1)的顯著水平為9.4%；若將行業(yè)進(jìn)行分類研究,則發(fā)現(xiàn),對(duì)于制造行業(yè),在證監(jiān)會(huì)核準(zhǔn)日前后的事件窗口期內(nèi),在基準(zhǔn)日的前8天、基準(zhǔn)日的后1天、后7天,公司股票的日均異常收益率分別在7.6%、4.1%、8.8%的水平下顯著為正,在事件窗口期(-2,1)、(-1,1)以及(0,1)內(nèi),公司股票的平均累積異常收益率分別在3.7%、2.6%和2%的水平下顯著為正；對(duì)于房地產(chǎn)行業(yè),在基準(zhǔn)日的前2天、基準(zhǔn)日當(dāng)天和后3天,公司的日均異常收益率分別在0.3%、7.4%和7.6%的顯著水平下顯著為負(fù),且(-2,1)窗口期的累積異常收益率在8.5%的顯著水平上顯著為負(fù)。 之后,本文對(duì)上述相對(duì)顯著的累積異常收益率進(jìn)行了橫截面分析。通過對(duì)回歸方程采用向后剔除法進(jìn)行回歸,我們得出：對(duì)于制造業(yè),債券的信用評(píng)級(jí)、債券的相對(duì)發(fā)行規(guī)模與(0,1)窗口期的累積異常收益率分別在5%、10%的顯著性水平下顯著為負(fù)；對(duì)于房地產(chǎn)行業(yè),債券期限、公司規(guī)模與(-2,1)窗口期的累積異常收益率具有顯著負(fù)相關(guān)性,而公司的市值與賬面價(jià)值之比、固定資產(chǎn)比率、資產(chǎn)負(fù)債率以及公司債券的評(píng)級(jí)指標(biāo)均與窗口期的累積異常收益率具有顯著正相關(guān)性。由此我們發(fā)現(xiàn),不同行業(yè)中,影響事件窗口期中的累積異常收益率的各個(gè)因素并不相同。傳統(tǒng)意義上,房地產(chǎn)行業(yè)作為高負(fù)債比的行業(yè)之一,投資者對(duì)于該行業(yè)的負(fù)債敏感度相對(duì)制造業(yè)等其他行業(yè)高,因此,投資者對(duì)于該類發(fā)行公司的償債能力以及未來成長(zhǎng)性的關(guān)注度非常高,如債券期限、固定資產(chǎn)比率、債券評(píng)級(jí)以及公司市值比等指標(biāo)。另外,我們發(fā)現(xiàn),經(jīng)過最近幾年的發(fā)展,我國信用評(píng)級(jí)市場(chǎng)正在逐步的完善,市場(chǎng)對(duì)其的關(guān)注度也在不斷提升,對(duì)于制造業(yè)和房地產(chǎn)行業(yè),投資者對(duì)公司債券的信用評(píng)級(jí)這一指標(biāo)的關(guān)注度都較高。 最后,本文得出如下結(jié)論：(1)市場(chǎng)對(duì)“證監(jiān)會(huì)核準(zhǔn)公司債券的發(fā)行”這一事件所做出的反應(yīng)要大于對(duì)“董事會(huì)公布關(guān)于發(fā)行公司債券議案”這一事件的反應(yīng)；(2)總體上來說,證監(jiān)會(huì)核準(zhǔn)公司債券的發(fā)行這一公告事件向市場(chǎng)傳遞的是正向的信號(hào)；(3)發(fā)行公司債券的公告效應(yīng)在不同行業(yè)中存在差異性；(4)我國資本市場(chǎng)可能存在提前泄露消息這一事實(shí)；(5)不同行業(yè)中,影響事件窗口期內(nèi)累積異常收益率的因素并不相同,影響制造業(yè)窗口期內(nèi)累計(jì)異常收益率的相關(guān)因素主要有債券評(píng)級(jí)和債券相對(duì)發(fā)行規(guī)模,影響房地產(chǎn)行業(yè)窗口期內(nèi)的累積異常收益率的相關(guān)因素主要有債券評(píng)級(jí)、債券期限、公司市值與賬面價(jià)值比、公司固定資產(chǎn)比率以及資產(chǎn)負(fù)債比率；(6)經(jīng)過最近幾年的發(fā)展,我國信用評(píng)級(jí)市場(chǎng)正在逐步的完善,市場(chǎng)對(duì)其的關(guān)注度在不斷提升。同時(shí),本文針對(duì)所得出的結(jié)論,對(duì)公司債券市場(chǎng)的發(fā)展、上市公司的融資決策以及投資者的投資態(tài)度都提出了相應(yīng)的建議。 本文的創(chuàng)新點(diǎn)在于：第一,本文的研究數(shù)據(jù)為2007年8月14日至2011年8月31日間首次發(fā)布公司債券發(fā)行公告的107家A股上市公司,相對(duì)以往研究,時(shí)效性更強(qiáng),樣本數(shù)量更加充足；第二,國內(nèi)以往相關(guān)的研究在事件基準(zhǔn)日的選取上并沒有得出一致的結(jié)論,本文在對(duì)事件基準(zhǔn)日的選擇上,首先選取了投資者首次從公開渠道知曉公司發(fā)行公司債券的預(yù)案公告日,在得出窗口期異常收益率并不顯著的統(tǒng)計(jì)結(jié)果后,繼而選取證監(jiān)會(huì)核準(zhǔn)日作為事件基準(zhǔn)日,通過進(jìn)行兩次事件研究,能夠更加全面地考察事件的公告效應(yīng)；第三,在對(duì)公告效應(yīng)的檢驗(yàn)和對(duì)其影響因素的分析上,不同于以往研究,本文嘗試通過行業(yè)分類選取行業(yè)樣本集分別進(jìn)行公告效應(yīng)的檢驗(yàn)與對(duì)公告效應(yīng)進(jìn)行橫截面分析,以比較發(fā)行公司債券公告效應(yīng)的行業(yè)差異性。
[Abstract]:In August 14, 2007, the China Securities Regulatory Commission formally promulgated the pilot scheme for the issuance of corporate bonds. The implementation of this "method" provides institutional guidelines and norms for the issuance of corporate bonds by Listed Companies in China. Although the company debt as one of the refinancing ways is relatively short in China, it has developed rapidly in recent years. In the study, there are many studies on the announcement effect of listed companies issuing shares and convertible bonds, but the research on the announcement effect produced by the issuance of corporate bonds is very scarce. Is there a notice effect in the issuance of corporate bonds? Is there any difference in the effect of this effect in different industries? What are the factors affecting the announcement effect? A series of questions are worth exploring.
First, through the review and review of the domestic and foreign literature, it is found that there are few studies on the announcement effect of issuing corporate bonds at home and abroad. Most of them are about the increase and the study of convertible bonds, and the research on the bulletin effect of the sample collection in the sub industry is no one in China. Most of the foreign mature markets in Europe and the United States are in China. The findings of the announcement effect of issuing securities are all consistent with the order financing sequence of MM theory, that is, in the negative response to the issuance of securities, the market has the strongest negative reaction to the issuance of stocks, followed by convertible bonds and common corporate bonds. For emerging markets, such as Ma Lan Western Asia Securities. The study of the Islamic debt issued by the market has found that it has produced a significant positive cumulative abnormal return rate. There are few studies on the announcement effect of issuing corporate bonds in China, and at the same time, the choice of the datum day of the event and the positive conclusions of the announcement effect are also not consistent.
Secondly, this paper briefly introduces the current development of the Chinese corporate bond market, and points out that there are some problems in the Chinese corporate bond market, such as slow development, small scale of issuance and irrational financing structure.
Thirdly, this paper illustrates the research methods and model construction. Firstly, on the selection of sample data, this paper selects the 107 A shares listed in the listed Sample Firms which first published the corporate bond issuance announcement from August 14, 2007 to August 2011 as the research object, and according to the selection criteria of clean cleaning samples, the board of the board about the corporate bonds. On the date of the issuance of the resolution, the CSRC has selected 50 and 73 Sample Firms for the two benchmark days of approval and approval of the issuance of corporate bonds. Second, in this paper, the paper adopts the event study method and the cross section analysis method, to examine the existence of the announcement effect of the issuance of corporate bonds. The analysis of the industry difference and the influence factors of announcement effect. In the investigation of the existence and industry difference of the announcement effect, this paper selects the average daily average rate of return and the average cumulative abnormal return as the research index, and uses the SPSS software to test the abnormal returns of the sample in the event window period. On the related factors of the announcement effect, this paper, based on the significant result of the announcement effect of the event during the window period, sets up the regression model of cross section data by introducing the related factors affecting the cumulative abnormal return in the window period of the relatively significant announcement effect, and carries out a regression Analysis on the factors that affect the cumulative abnormal return.
Then, this paper takes an event study method to study the announcement effect of the issuance of corporate bonds. First, we examine the average daily abnormal rate of return on the 10 trading days before and after the date of the board's decision to issue the company bond, and the statistics of the average cumulative abnormal return in the event window. Obviously, we find that the average daily abnormal return and the average cumulative abnormal return are not significant, but if the industry is classified and the industry is selected for a relatively large number of samples, a sample collection is found. The largest number of manufacturing industries, in the eighth trading days before the board's resolution day and the sixth trading days after the board, showed significant negative average daily average rate of return, the significant level was 1.1% and 4% respectively, and the cumulative abnormal returns in the related window period were not significant; the daily average rate of return and the average cumulative abnormal return in the real estate industry In general, the market's response to the announcement of the resolution was very weak during the 10 trading day windows of the board's resolution on the issuance of corporate bonds, and then we looked at the 10 transactions that could make it possible for the investors to be convinced that the corporate bonds were able to be issued by the SFC's approval date. The daily average daily rate of return and the statistical significance of the average cumulative abnormal return in the event window period were statistically significant. We found that the average daily average rate of return was positive in the 8 and 7 days before the SFC's approval date, and the significant level was 1.6%, 7.5% respectively, and the cumulative difference of Sample Firms shares during the window period. The average rate of return is positive, of which the significant level of the event window period (0,1) is 9.4%. If the industry is classified, it is found that in the manufacturing industry, in the event window period after the approval date of the SFC, the first 8 days of the benchmark day, the 1 days after the benchmark day, and the second 7 days after the benchmark day, the average rate of daily abnormal return of the company stock is 7.6%, 4.1%, 8.8%, respectively. In the event window period (-2,1), (-1,1) and (0,1), the average cumulative abnormal returns of the company's stock were significantly positive at the level of 3.7%, 2.6% and 2%, and for the real estate industry, the company's average daily average rate of return was 0.3%, 7.4% and 7.6%, respectively, on the first 2 days of the benchmark day and the last 3 days. At the same time, the cumulative abnormal return at (-2,1) window period was significantly negative at 8.5%.
After that, the cross section analysis of the above significant cumulative abnormal returns is carried out. By regression to the regression equation, we come to the conclusion that the credit rating of the bond, the relative issue scale of the bond and the cumulative abnormal yield of the 0,1 window period are 5%, 10%, respectively. There is a significant negative correlation between the real estate industry, the bond maturity, the company size and the cumulative abnormal returns of the (-2,1) window period, while the ratio of the company's value to the book value, the ratio of fixed assets, the asset liability ratio and the rating index of the corporate bonds have significant positive correlation with the cumulative abnormal returns in the window period. Therefore, we find that different industries have different factors affecting the cumulative abnormal returns in the event window period. In the traditional sense, the real estate industry is one of the industries with high debt ratio, and the investor's debt sensitivity to the industry is higher than that of other industries such as the manufacturing industry. The debt capacity and future growth are highly concerned, such as bond maturity, fixed asset ratio, bond rating and company market value ratio. In addition, we find that the credit rating market in China is gradually improving after recent years, and the market is increasing, for manufacturing and real estate industry. Industry, investors have a high degree of concern about the credit rating of corporate bonds.
Finally, this paper draws the following conclusions: (1) the response of the market to the issue of "the issuance of former permitted company bonds of the SFC" is greater than the response to the event that "the board published a bill on the issuance of corporate bonds"; (2) generally speaking, the issuance of the SFC's former permitted company bonds is transmitted to the market. Positive signals; (3) the announcement effect of issuing corporate bonds is different in different industries; (4) the fact that China's capital market may have early disclosure of information is possible; (5) in different industries, the factors affecting the cumulative abnormal returns within the event window period are different, affecting the correlation of cumulative abnormal returns within the window period of the manufacturing industry. The main factors are bond rating and bond relative issue scale. The factors affecting the cumulative abnormal returns in the window period of the real estate industry mainly include bond rating, bond maturity, company market value and book value ratio, company fixed asset ratio and asset liability ratio; (6) after recent years, China's credit rating market As the market is gradually improving, the market has been increasing its attention. At the same time, this paper puts forward some suggestions on the development of the corporate bond market, the financing decision of the listed companies and the investment attitude of the investors.
The innovation points of this paper are as follows: first, the research data of this paper are the 107 A shares listed companies that first issued the corporate bond issuance announcement from August 14, 2007 to August 2011. Relative to the previous research, the data are more timeliness and the sample size is more abundant; second, the previous related research in China has not been obtained in the selection of the event datum day. The same conclusion, in this paper, in the selection of the datum day of the event, first of all, we select the initial announcement day for the investors to know the company's corporate bonds from the open channel for the first time. After the statistical results of the abnormal return rate of the window period are not significant, then the SFC approval date is selected as the benchmark day of the event, and the two event study is carried out. It is different from the previous research on the inspection of the announcement effect and the analysis of its influencing factors. Third, this paper tries to compare the announcement effect and the cross section analysis of the announcement effect through the industry classification, and compare the issuance of corporate bond bulletin. The industry difference of effect.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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