發(fā)布時(shí)間：2018-06-26 10:20

  本文選題：可轉(zhuǎn)換債券 + 公告效應(yīng)　； 參考：《山東大學(xué)》2012年碩士論文

【摘要】：可轉(zhuǎn)換債券作為一種金融衍生品,兼有債券和股票的雙重性質(zhì),在資本市場(chǎng)上以其獨(dú)特的吸引力贏得了廣大發(fā)行公司和投資者的青睞�？赊D(zhuǎn)換債券在國(guó)外已經(jīng)有160多年的歷史,特別是在二十世紀(jì)七十年之后,在全球金融創(chuàng)新的大浪潮中,可轉(zhuǎn)換債券迅速發(fā)展,并逐漸成為國(guó)際資本市場(chǎng)上中遠(yuǎn)期投資的重要金融工具。上世紀(jì)90年代,滬深兩市引入可轉(zhuǎn)換債券,可轉(zhuǎn)換債券發(fā)展一直比較緩慢,雖然可轉(zhuǎn)換債券在最近的幾年中有了較為快速的發(fā)展,但是廣大投資者對(duì)于可轉(zhuǎn)換債券這種金融衍生品的認(rèn)識(shí)仍然停留在比較初級(jí)的階段,廣大可轉(zhuǎn)換債券的發(fā)行公司對(duì)使用可轉(zhuǎn)換債券進(jìn)行融資后對(duì)其財(cái)務(wù)狀況和公司價(jià)值有何影響等問(wèn)題的認(rèn)識(shí)仍然不夠深入。為此很多的學(xué)者對(duì)我國(guó)可轉(zhuǎn)換債券的公告效應(yīng)進(jìn)行了大量的實(shí)證研究,有的研究結(jié)果表明我國(guó)可轉(zhuǎn)換債券的公告效應(yīng)為正,但是有的卻為負(fù),結(jié)果差距較大。 筆者經(jīng)過(guò)大量的文獻(xiàn)研究和認(rèn)真的思考,搜集了大量樣本數(shù)據(jù),創(chuàng)新性地以股權(quán)分置改革作為分界點(diǎn),將可轉(zhuǎn)換債券的樣本分為兩個(gè)部分,用事件研究方法對(duì)可轉(zhuǎn)換債券在股權(quán)分置改革前后的公告效應(yīng)分別進(jìn)行了研究。研究結(jié)果表明在股權(quán)分置改革前可轉(zhuǎn)換債券的公告效應(yīng)為負(fù),但是在股權(quán)分置改革之后卻得出完全相反的正值,這對(duì)于我國(guó)的可轉(zhuǎn)換債券市場(chǎng)的完善和發(fā)展具有積極的理論指導(dǎo)意義。本文最后分別從定量和定性兩個(gè)方面對(duì)這一研究結(jié)果進(jìn)行了解釋說(shuō)明。 本文的基本框架是這樣的：第一部分是引言,重點(diǎn)介紹本文的研究背景,研究意義以及創(chuàng)新點(diǎn)和不足之處。第二部分是文獻(xiàn)綜述,首先介紹過(guò)國(guó)內(nèi)外研究可轉(zhuǎn)債公告效應(yīng)的主要模型,然后接著介紹國(guó)內(nèi)外關(guān)于可轉(zhuǎn)債公告效應(yīng)的文獻(xiàn)綜述。第三部分是可轉(zhuǎn)債的概論,主要是對(duì)可轉(zhuǎn)債的起源、性質(zhì)、以及一些主要的條款進(jìn)行介紹,并且對(duì)我國(guó)的可轉(zhuǎn)債發(fā)展歷史進(jìn)行簡(jiǎn)要回顧。第四部分是本文的重點(diǎn),在這一部分本文首先介紹事件研究法,然后本文用此方法對(duì)股權(quán)分置改革前后的可轉(zhuǎn)換債券的公告效應(yīng)分別進(jìn)行研究,最終得出可轉(zhuǎn)換債券的公告效應(yīng)在股權(quán)分置改革前后相反的的結(jié)論。本文的在最后一部分主要從定量和定性兩個(gè)方面對(duì)可轉(zhuǎn)債的公告效應(yīng)在股權(quán)分置改革前后的差異性進(jìn)行解釋和說(shuō)明。
[Abstract]:As a kind of financial derivative, convertible bond has the dual nature of bond and stock, and has won the favor of the issuing company and investors for its unique attraction in the capital market. Convertible bonds have a history of more than 160 years abroad, especially after 70 years of the 20th century. In the great wave of global financial innovation, convertible bonds have developed rapidly. And gradually become an important financial instrument for medium-term investment in the international capital market. In the 1990s, convertible bonds were introduced into the Shanghai and Shenzhen stock markets, and the development of convertible bonds has been relatively slow, although convertible bonds have developed more rapidly in recent years. However, investors' understanding of convertible bonds as financial derivatives is still at a relatively preliminary stage. The general issuers of convertible bonds still do not have a deep understanding of the financial status and corporate value of convertible bonds after financing. For this reason, many scholars have done a lot of empirical research on the announcement effect of convertible bonds in China. Some research results show that the announcement effect of convertible bonds in China is positive, but some are negative. After a lot of literature research and careful thinking, the author collected a large number of sample data, innovatively divided the sample of convertible bonds into two parts with the split share structure reform as the dividing point. The announcement effect of convertible bonds before and after the split share structure reform is studied with event study method. The results show that the announcement effect of convertible bonds is negative before the split share structure reform, but after the split share structure reform, the reverse positive result is obtained. This has positive theoretical significance for the perfection and development of convertible bond market in China. At the end of this paper, the results are explained from both quantitative and qualitative aspects. The basic framework of this paper is as follows: the first part is the introduction, focusing on the research background, research significance, innovation and shortcomings. The second part is the literature review, first introduced the domestic and foreign research on the effect of convertible bond announcement model, then introduced the domestic and foreign literature review on the effect of convertible bond announcement. The third part is the introduction of convertible bonds, mainly introduces the origin, nature and some main clauses of convertible bonds, and briefly reviews the development history of convertible bonds in China. The fourth part is the focus of this paper. In this part, we first introduce the event research method, and then use this method to study the announcement effect of convertible bonds before and after the split share structure reform. Finally, the conclusion is drawn that the announcement effect of convertible bonds is opposite before and after the reform of split share structure. In the last part of this paper, we explain the difference of the announcement effect of convertible bonds before and after the split share structure reform from two aspects: quantitative and qualitative.
【學(xué)位授予單位】：山東大學(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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