本文關(guān)鍵詞：發(fā)行可轉(zhuǎn)換債券的宣告效應(yīng)和對(duì)公司績(jī)效的影響　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 可轉(zhuǎn)換債券 宣告效應(yīng) 超額收益率 公司績(jī)效

【摘要】：可轉(zhuǎn)換債券自誕生近170年以來(lái)在世界范圍內(nèi)受到上市公司和投資者的廣泛青睞,這主要是因?yàn)樗且环N兼具股權(quán)和債權(quán)的混合性投資工具�？赊D(zhuǎn)換債券誕生于美國(guó)并已形成成熟市場(chǎng),且有關(guān)可轉(zhuǎn)換債券的研究也同步達(dá)到最高水平,形成了豐富理論文獻(xiàn)和實(shí)證結(jié)果。相比之下國(guó)內(nèi)有關(guān)可轉(zhuǎn)債的研究不多而且更多主要集中在定價(jià)模型和發(fā)行條款設(shè)計(jì)等方面,然而可轉(zhuǎn)債和配股、增發(fā)等工具一樣是一種重要的再融資途徑,其宣告發(fā)行對(duì)發(fā)行公司股票價(jià)格的影響——宣告效應(yīng)以及對(duì)公司績(jī)效的影響更值得我們深入研究。 本論文以國(guó)內(nèi)證券市場(chǎng)上發(fā)行的可轉(zhuǎn)債為樣本,首先對(duì)可轉(zhuǎn)債的宣告效應(yīng)進(jìn)行實(shí)證研究,分析結(jié)果顯示在宣告日當(dāng)日發(fā)行公司的股票的超額收益率為負(fù)且統(tǒng)計(jì)顯著,隨后對(duì)影響發(fā)行公司股票價(jià)格變動(dòng)的因素進(jìn)行回歸分析,回歸結(jié)果表明超額收益率與公司規(guī)模、可轉(zhuǎn)債發(fā)行規(guī)模和主營(yíng)業(yè)務(wù)收入增長(zhǎng)率成正相關(guān)關(guān)系,而與公司資產(chǎn)負(fù)債率呈負(fù)相關(guān)關(guān)系。最后以股東權(quán)益凈利率這一財(cái)務(wù)指標(biāo)為代理變量,研究發(fā)行可轉(zhuǎn)債前后共三年發(fā)行公司該變量的相對(duì)變化以探索可轉(zhuǎn)債發(fā)行對(duì)公司績(jī)效的影響。 本文結(jié)構(gòu)：引言部分主要介紹本論文選題的背景和研究意義,一些重要的相關(guān)概念解釋以及本論文的研究思路和結(jié)構(gòu)；第一章文獻(xiàn)綜述,對(duì)國(guó)內(nèi)外有關(guān)可轉(zhuǎn)債的宣告效應(yīng)的相關(guān)理論和實(shí)證結(jié)果進(jìn)行綜述以梳理理論發(fā)展史并呈現(xiàn)發(fā)展現(xiàn)狀；第二章和第三章是本論文的核心部分,第二章對(duì)可轉(zhuǎn)債發(fā)行的宣告效應(yīng)進(jìn)行單變量顯著性檢驗(yàn)和多變量回歸分析,第三章重點(diǎn)考察發(fā)行可轉(zhuǎn)債對(duì)發(fā)行公司經(jīng)營(yíng)績(jī)效的長(zhǎng)期性影響,選擇股東權(quán)益凈利率為代理變量,分別進(jìn)行縱向和橫向檢驗(yàn)。第四章結(jié)論和建議,首先對(duì)全文的研究結(jié)論進(jìn)行總結(jié),然后指出我國(guó)可轉(zhuǎn)債市場(chǎng)的一些問(wèn)題,同時(shí)也提出了加快發(fā)展和完善我國(guó)可轉(zhuǎn)債市場(chǎng)的一些建議。
[Abstract]:Convertible bonds have been widely favored by listed companies and investors in the world since they were born nearly 170 years ago. This is mainly because it is a mixed investment tool with both equity and creditor's rights. Convertible bonds are born in the United States and have formed a mature market, and the research on convertible bonds has reached the highest level at the same time. By contrast, there are few researches on convertible bonds in China and more on pricing models and the design of issuing terms, however, convertible bonds and equity rights issue. As an important means of refinancing, the announcement of issuance has an important impact on the price of the issuing company's stock, and the effect on the performance of the issuing company is worth our further study. In this paper, the domestic securities market issued convertible bonds as a sample, first of all, the declaration effect of convertible bonds for empirical research. The results show that the excess return rate of the issuing company on the date of announcement is negative and statistically significant, and then the factors affecting the stock price change of the issuing company are analyzed by regression analysis. The regression results show that there is a positive correlation between the excess return rate and the size of the company, the size of convertible bond issuance and the growth rate of the main business income. Finally, the net interest rate of shareholders' equity is taken as the proxy variable. This paper studies the relative changes of the variable before and after the issuance of convertible bonds in order to explore the impact of the issuance of convertible bonds on corporate performance. The structure of this paper: the introduction mainly introduces the background and research significance of this thesis, some important related concepts, and the research ideas and structure of this paper. The first chapter is a literature review, to review the relevant theories and empirical results of the declaration effect of convertible bonds at home and abroad in order to comb the history of theoretical development and present the status quo; The second chapter and the third chapter are the core part of this thesis. The second chapter carries on the univariate significance test and the multivariate regression analysis to the declaration effect of convertible bond issuance. The third chapter focuses on the long-term impact of issuing convertible bonds on the operating performance of issuing companies, choosing the net interest rate of shareholders' equity as the agent variable, and carrying out vertical and horizontal tests respectively. Chapter 4th conclusions and recommendations. This paper first summarizes the research conclusions of the full text, then points out some problems in China's convertible bond market, and puts forward some suggestions for speeding up the development and perfection of China's convertible bond market.
【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】：2013
【分類(lèi)號(hào)】：F276.6;F832.51

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本文編號(hào)：1436262