申购政策变化与可转债发行抑价——基于信息不对称的调节效应检验  

The Change of Subscription Policy and the Underpricing of Convertible Bonds——A Test of Regulatory Effect based on Information Asymmetry

作　　者：赵宇 

机构地区：[1]电子科技大学成都学院

出　　处：《金融监管研究》2022年第11期59-79,共21页Financial Regulation Research

基　　金：电子科技大学成都学院院级预研项目“资产申购转为信用申购对可转换债券发行抑价影响研究”(项目编号:2021-KXYJ-12)的资助

摘　　要：本文以我国沪深两市2006—2020年期间发行上市的非金融类可转换公司债券(以下简称“可转债”)为样本,深入研究了申购政策转变对可转债市场发行效率的影响及其影响机制。实证结果表明,可转债申购政策由资产申购转为信用申购后,发行抑价率显著降低,市场发行效率显著提高;在影响机制方面,主要是通过提高信息透明度、向市场发送积极信号、减少相关利益冲突和缓解债务代理成本等渠道降低投资者的逆向选择和信息收集成本,正向调节了申购政策转变对可转债发行抑价的缓释作用;在降低信息收集成本上,由于我国投资者以散户为主的构成特性在一定程度上加剧了信息不对称,从而负向调节了申购政策转变对可转债发行抑价的缓释作用。本研究部分填补了与可转债申购政策变化相关的研究空白,为信息不对称理论拓展到可转债市场提供了佐证,丰富了与可转债市场定价效率和发行抑价的相关研究,为监管层完善相关法律法规提供了相关依据。This paper takes the non-financial convertible bonds issued and listed in China’s Shanghai and Shenzhen stock exchanges from 2006 to 2020 as a sample.It deeply studies the impact of the transformation of the subscription system on the issuance efciency of the convertible bond market as well as sorts out its impact mechanism.The empirical results show that,after the convertible bond subscription mechanism shifts from asset subscription to credit subscription,the first issuance underpricing rate is significantly reduced,and the market issuance efciency is significantly improved.Secondly,in terms of influence mechanism,this paper finds that by improving information transparency,sending positive signals to the market,reducing relevant conflicts of interest and alleviating debt agency costs,the cost of adverse selection and information collection of investors is reduced,and the mitigation effect of the change of subscription mechanism on the underpricing of convertible bond issuance is positively adjusted.In terms of reducing the cost of information collection,due to the particularity of the composition of Chinese investors,the abovementioned degree of information asymmetry is aggravated,which negatively regulates the mitigation effect of the change of subscription mechanism on the underpricing of convertible bond issuance.The research results of this paper partially fill the gap in the academic research on the change of convertible bond purchase system,provide relevant evidence for the expansion of information asymmetry theory to the convertible bond market,enrich the research on convertible bond market pricing efciency and issue underpricing,and provide useful ideas for regulators to improve relevant laws and regulations,especially on the protection of individual investors.

关 键 词：可转换债券 发行抑价 市场效率 调节效应 

分 类 号：F832.51[经济管理—金融学]