中国上市公司可转换债券发行公告财富效应的实证研究被引量：69

中国上市公司可转换债券发行公告财富效应的实证研究

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摘要本文运用事件研究法,通过我国上市公司2001年4月至2003年12月期间董事会首次公告发行可转换债券议案的88家样本在公告日前后的超常收益来验证市场对该事件的反应,从而检验上市公司可转换债券发行公告是否具有财富效应。实证结果显示,可转换债券发行公告具有显著负的财富效应,但明显低于增发股票公告的负效应。运用多元线性回归方法对公告效应进行考察后发现,中国上市公司可转换债券发行的公告效应,主要由稀释度和负债比率两个影响因素来解释,而公司规模、发行的相对规模、市价账面比、流通股比例等在解释公告日超常收益时没有说服力。 This paper investigates the wealth effects of the announcement of convertible bond issued in China's stock market. The event study analysis shows that announcement effects of convertible bonds are associated with significantly negative abnormal return but less than seasoned equity issue. With cross-sectional multivariate regression analysis, the paper examines the relation between the announcement period abnormal returns and several explanatory variables. The results show that the abnormal returns are related to the debt ratio of the firm and the degree of potential equity dilution associated with the convertible issue. It is also found that the variables such as firm size, offering relative size, market-book ratio, liquid stock ratio are not the important determinants of announcement day abnormal returns.

作者刘娥平

机构地区中山大学管理学院

出处《金融研究》 CSSCI 北大核心 2005年第7期45-56,共12页 Journal of Financial Research

关键词可转换债券超常收益财富效应 Convertible Bond, Abnormal Return, Wealth Effect

分类号 F224 [经济管理—国民经济]

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参考文献18

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二级参考文献36

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