本文關(guān)鍵詞：中國(guó)公司債市場(chǎng)對(duì)盈利公告的非對(duì)稱反應(yīng)　出處：《上海交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 公司債券 季度盈利公告 非對(duì)稱反應(yīng) 事件研究

【摘要】：本文以2007年至2012年我國(guó)滬深交易所上市交易的公司債券為研究對(duì)象，采用標(biāo)準(zhǔn)的事件研究方法和回歸方法對(duì)于季度公告前后債券市場(chǎng)的反應(yīng)進(jìn)行實(shí)證分析。基于異常收益和交易量信息，本文檢測(cè)了債券市場(chǎng)對(duì)于好消息和壞消息的反應(yīng)，并探尋不同債券特性產(chǎn)生的影響。研究結(jié)論不僅有助于政策制定者和投資者更好的了解我國(guó)市場(chǎng)的發(fā)展現(xiàn)狀和反應(yīng)機(jī)制，補(bǔ)充國(guó)內(nèi)較為匱乏的相關(guān)文獻(xiàn)，也為市場(chǎng)今后的發(fā)展提供了建議。 本文發(fā)現(xiàn)我國(guó)公司債市場(chǎng)在不斷進(jìn)步，經(jīng)歷2008年的非理性狂熱后，市場(chǎng)從2009年開(kāi)始對(duì)好消息反應(yīng)積極，對(duì)壞消息反應(yīng)消極,公告前市場(chǎng)有強(qiáng)烈的預(yù)期�？紤]異常收益和交易量，市場(chǎng)都對(duì)于壞消息更加的敏感。這些結(jié)論印證了債券持有人非對(duì)稱性反應(yīng)的假設(shè)以及盈利公告對(duì)于投資者的有效性。 雖然市場(chǎng)的有效性得到了一定程度的肯定，目前我國(guó)公司債存在三點(diǎn)問(wèn)題不容忽視。首先，市場(chǎng)的波動(dòng)不能有效的被發(fā)行人的基本面信息所解釋，其次市場(chǎng)流動(dòng)性和交易頻率亟待提升，再次不同類型債券的反應(yīng)機(jī)制存在較大的差異。發(fā)行企業(yè)的國(guó)有背景或者債券所具有的不可撤銷連帶責(zé)任擔(dān)保條款能夠有效的保護(hù)債權(quán)人，因此這類債券對(duì)于壞消息的反應(yīng)較為平淡，甚至被扭曲，容易受市場(chǎng)情緒的影響。相較而言，無(wú)擔(dān)�；驀�(guó)有背景的債券對(duì)信息的反應(yīng)和吸收更為有效。 綜上所述，我國(guó)的公司債市場(chǎng)是理性和非理性并存的。相較于發(fā)達(dá)國(guó)家的債券市場(chǎng)，我國(guó)的公司債市場(chǎng)仍然處于早期階段，不僅債券市場(chǎng)的容量較小，交易量低，而且具有一定的炒作性質(zhì)，其準(zhǔn)確定價(jià)風(fēng)險(xiǎn)和反應(yīng)信息的能力均有待提升。只有避免地方政府再為潛在的違約債券兜底，允許債券風(fēng)險(xiǎn)的真實(shí)反映，允許更多樣化的發(fā)債主體，統(tǒng)一標(biāo)準(zhǔn)并規(guī)范信用評(píng)級(jí)公司，才能從根本上促進(jìn)我國(guó)公司債市場(chǎng)的長(zhǎng)遠(yuǎn)發(fā)展。
[Abstract]:This paper focuses on the corporate bonds listed on the Shanghai and Shenzhen Stock Exchange from 2007 to 2012. Using the standard event research method and regression method to analyze the response of bond market before and after quarterly announcement. Based on abnormal returns and trading volume information. This paper examines how bond markets react to both good and bad news. And explore the impact of different bond characteristics. The conclusions not only help policy makers and investors to better understand the current situation of the development of China's market and reaction mechanisms, to supplement the lack of domestic literature. It also provides suggestions for the future development of the market. This paper finds that the corporate bond market in our country is making progress. After the irrational fanaticism in 2008, the market began to react positively to good news and negative to bad news from 2009. There are strong expectations in the market before the announcement. Consider abnormal returns and volume. Markets are more sensitive to bad news. These conclusions confirm the assumption that bondholders are asymmetric and the effectiveness of earnings announcements for investors. Although the validity of the market has been affirmed to a certain extent, there are three problems in our corporate debt. Firstly, the fluctuation of the market can not be effectively explained by the issuer's basic information. Secondly, market liquidity and trading frequency need to be improved. Again, there are great differences in the reaction mechanism of different types of bonds. The state-owned background of issuing enterprises or the irrevocable joint and several liability guarantee clause of bonds can effectively protect creditors. As a result, such bonds are less responsive to bad news, or even distorted, and vulnerable to market sentiment. Unsecured or state-backed bonds respond and absorb information more effectively than they do. Compared with the bond market of developed countries, the corporate bond market of our country is still in the early stage, not only the capacity of the bond market is small. Trading volume is low, and has a certain nature of speculation, its accurate pricing risk and response to the ability to improve information. Only to avoid local governments for the potential default bonds to cover the bottom, allowing the real reflection of bond risk. Only by allowing more diversified issuers, unifying standards and standardizing credit rating companies, can we fundamentally promote the long-term development of our country's corporate bond market.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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