中国可转债的发行公告效应及影响因素——基于预案公告和发行公告的研究  

Research on Issuance Announcement Effects and Influencing Factors of Convertible Bond in China: Based on Announcement and Issuance Announcement

作　　者：宋芳秀[1] 范瀚予 

机构地区：[1]北京大学经济学院

出　　处：《经济与管理研究》2014年第11期41-49,共9页Research on Economics and Management

基　　金：教育部哲学社会科学研究重大课题攻关项目"中国社会转型期的居民信用管理和公共服务体系建设研究"(12JZD036)

摘　　要：本文研究了2005年5月1日至2013年12月31日中国A股上市公司可转债预案公告的101个样本,结果显示预案公告效应显著为负,但全流通股样本的预案公告效应为正,这从一个侧面验证了中国股权分置改革的成效。对60个可转债发行公告样本的研究表明,中国可转债的发行公告效应显著为正,这与英美市场完全不同,其原因可归结为股权分置改革及《上市公司证券发行管理办法》的实施。本文运用多元回归分析的方法对可转债发行公告的股价效应及其影响因素进行了研究,结果表明,流通股比例和股权集中度有力地解释了预案公告的负效应,与预案公告效应正相关;上市公司的资产规模和股权稀释度是发行公告正效应的显著影响因素,与发行公告效应负相关。This article studies short-term announcement effects of China A-share listed companies convertible bonds from May 1,2005 to December 31,2013 ,and finds that the plan announcement is significantly negative based on the 101 samples. While the announcement effect of the full circulation samples is positive, which reflects the influence of the split share reform brought to the china＇ s capital markets. The research on the 60 issuance announcement samples at the same time period shows that the issuance announcement effect is positive and statistically significant. This conclusion is different from the common market, mainly attributed to the split share structure reform and the implementation of the Administrative Measures for the Securities Issuance by the Listing Corporation. This article also uses multiple regression analysis to examine the influencing factors of the announcement effect and issuance announcement effect. The results show that the proportion of tradable shares and ownership concentration effectively explains the negative announcement effect and is correlated positively with the effect. The company＇ s asset size and equity dilution factor explains the positive issuance announcement effect and is negatively correlated with the effect.

关 键 词：可转换债券 预案公告效应 发行公告效应 

分 类 号：F812[经济管理—财政学]