本文關(guān)鍵詞：我國(guó)上市公司可轉(zhuǎn)債的公告效應(yīng)和對(duì)股價(jià)波動(dòng)率的影響研究　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 可轉(zhuǎn)換債券 公告效應(yīng) 股價(jià)波動(dòng)率

【摘要】：我國(guó)可轉(zhuǎn)換債券發(fā)展起步較晚,發(fā)展速度也并不快。2001年至2013年末,我國(guó)上市公司共發(fā)行約100支可轉(zhuǎn)債。相對(duì)于發(fā)達(dá)國(guó)家市場(chǎng)常見的公司債和可轉(zhuǎn)債,A股上市公司明顯更偏好股權(quán)融資方式。而在2008年金融危機(jī)后,資本市場(chǎng)風(fēng)險(xiǎn)溢價(jià)上升,股權(quán)融資成本高漲,上市公司和投資者都對(duì)可轉(zhuǎn)換債券給予更多的關(guān)注。可轉(zhuǎn)換債券兼具債券和股票的特征,是一種特殊的融資方式。國(guó)內(nèi)外學(xué)者研究表明,上市公司采取可轉(zhuǎn)債方式進(jìn)行融資時(shí),會(huì)對(duì)股價(jià)造成一定影響。同時(shí),可轉(zhuǎn)債的可轉(zhuǎn)股特性也可能對(duì)股價(jià)波動(dòng)率產(chǎn)生作用。在上述背景下,本文以2001年開始我國(guó)上市公司全部已發(fā)行可轉(zhuǎn)債為基礎(chǔ),選取68家公司發(fā)行的81支可轉(zhuǎn)債作為清潔樣本,試圖研究A股市場(chǎng)中可轉(zhuǎn)債發(fā)行的公告效應(yīng)以及對(duì)股價(jià)波動(dòng)率的影響,以期為上市公司融資決策、投資者研究分析以及我國(guó)資本市場(chǎng)健全發(fā)展提供幫助。本文采用事件研究法,計(jì)算股價(jià)和指數(shù)變動(dòng)率,以發(fā)行公告日為基準(zhǔn)日,研究窗口期不超過前后5個(gè)交易日的可轉(zhuǎn)債發(fā)行公告效應(yīng)。研究表明,在不同窗口期的公告效應(yīng)并不一致；在公告日及之前會(huì)有正公告效應(yīng),且在公告日前后1個(gè)交易日最強(qiáng)；公告日之后出現(xiàn)的負(fù)異常收益會(huì)抵消之前的大部分正異常收益,使得公告效應(yīng)不再顯著。金融危機(jī)后,上述收益變化更加顯著和陡峭。同時(shí),本文根據(jù)帶有GARCH模型修正的市場(chǎng)模型擬合每一支樣本在公告日前6個(gè)月、公告日后6個(gè)月以及公告日后7到12個(gè)月的股價(jià)波動(dòng)率。使用Wilcoxon符號(hào)秩檢驗(yàn)樣本組的三組數(shù)據(jù)差異,發(fā)現(xiàn)在上市公司股價(jià)波動(dòng)率在發(fā)行公告日后以及可轉(zhuǎn)股后逐步擴(kuò)大。其中,公告日后7到12個(gè)月與公告日前6個(gè)月的股價(jià)波動(dòng)率差異是顯著的。
[Abstract]:The development of convertible bonds in China started late, and the speed of development is not fast. 2001 to end of 2013. There are about 100 convertible bonds issued by listed companies in China. Compared with the common corporate bonds and convertible bonds in developed countries, A-share listed companies obviously prefer equity financing methods. In 2008, after the financial crisis, A-share listed companies preferred equity financing. Capital market risk premium rises, equity financing costs rise, listed companies and investors pay more attention to convertible bonds. Convertible bonds have the characteristics of both bonds and stocks. Domestic and foreign scholars have shown that when listed companies use convertible bonds to finance, it will have a certain impact on the stock price. At the same time. The convertible stock characteristics of convertible bonds may also play a role in the volatility of stock price. Under the above background, this article based on the 2001 listed companies have issued all convertible bonds. Taking 81 convertible bonds issued by 68 companies as a clean sample, this paper tries to study the announcement effect of convertible bond issuance in A share market and its influence on the volatility of stock price in order to make financing decisions for listed companies. Investor research and analysis as well as the sound development of China's capital market to help. This paper uses the event study method to calculate the stock price and index change rate, taking the date of issue announcement as the reference date. The paper studies the announcement effect of convertible bond issuance with window period not exceeding 5 trading days. The research shows that the announcement effect in different window period is not consistent; There will be positive announcement effect on and before the announcement day, and the strongest one trading day before and after the announcement day; Negative abnormal returns after the announcement date will offset most of the previous positive abnormal returns, making the announcement no longer significant. After the financial crisis, the changes in these returns are more significant and steep. At the same time. According to the market model modified by GARCH model, each sample was fitted six months before the announcement date. Stock price volatility at 6 months after the announcement and 7 to 12 months after the announcement. Three sets of data differences in the sample group were tested using the Wilcoxon symbolic rank test. It is found that the volatility of the stock price of the listed company increases gradually after the issuance of the announcement and after the issue of the shares can be converted. Among them, there is a significant difference between the volatility of the stock price of the listed company from 7 to 12 months after the announcement and the six months before the announcement date.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1402125