本文選題：可轉(zhuǎn)換債券 + 公告效應(yīng)��； 參考：《暨南大學(xué)》2014年碩士論文

【摘要】：隨著我國可轉(zhuǎn)換債券市場的不斷發(fā)展和完善，可轉(zhuǎn)換債券這一兼具股票性質(zhì)和債券性質(zhì)的金融衍生工具已經(jīng)成為我國上市公司再融資的重要手段之一。然而由于樣本較少的原因，國內(nèi)學(xué)者對于可轉(zhuǎn)換債券的研究主要集中于融資偏好順序和定價問題，對于可轉(zhuǎn)換債券公告效應(yīng)的實(shí)證研究相對較少，這正是本文的研究目的和意義所在。 本文首先對再融資對于上市公司股票價格影響的相關(guān)理論和國內(nèi)外學(xué)者對于可轉(zhuǎn)換債券公告效應(yīng)研究的相關(guān)文獻(xiàn)進(jìn)行歸納和總結(jié)。在此基礎(chǔ)上，以2002年至2013年間在我國證券市場上發(fā)行的81支可轉(zhuǎn)換債券為樣本，利用事件研究法和市場模型研究了我國可轉(zhuǎn)換債券公告效應(yīng)。通過對于異常收益的計(jì)算發(fā)現(xiàn)，我國可轉(zhuǎn)換債券公告存在顯著的正效應(yīng)，即可轉(zhuǎn)換債券公告給股票價格帶來正的異常收益率。同時鑒于股權(quán)分置改革這一歷史事件對于我國證券市場的重要影響，本文以股權(quán)分置改革為分界點(diǎn)，分樣本研究我國可轉(zhuǎn)換債券公告效應(yīng)，結(jié)果發(fā)現(xiàn)公告效應(yīng)在股權(quán)分置改革前后存在顯著差異。 在此基礎(chǔ)上以異常收益率為被解釋變量，，以公司財(cái)務(wù)數(shù)據(jù)和可轉(zhuǎn)換債券發(fā)行信息為基礎(chǔ)構(gòu)建解釋變量，對可轉(zhuǎn)換債券公告效應(yīng)的影響因素進(jìn)行實(shí)證研究。結(jié)果發(fā)現(xiàn)，異常收益率與發(fā)行相對規(guī)模、公司規(guī)模和股改變量負(fù)相關(guān)，與資產(chǎn)負(fù)債率、凈資產(chǎn)收益率和股債性指標(biāo)（Delta）正相關(guān)。 最后結(jié)合實(shí)證研究結(jié)果，給出了自己的建議，同時也對本文的研究不足做了說明。
[Abstract]:With the continuous development and improvement of the convertible bond market in China, convertible bonds, a financial derivative with both stock and bond nature, have become one of the important means of refinancing of listed companies in China.However, due to the small number of samples, domestic scholars mainly focus on the financing preference order and pricing problems, and the empirical research on the effect of convertible bonds announcement is relatively few.This is the purpose and significance of this paper.This paper first summarizes the relevant theories of the influence of refinancing on the stock price of listed companies and the relevant literature on the research of convertible bond announcement effect by domestic and foreign scholars.On this basis, using 81 convertible bonds issued in China's securities market from 2002 to 2013 as samples, this paper studies the announcement effect of convertible bonds in China by using event research method and market model.Through the calculation of the abnormal return, it is found that there is a significant positive effect on the convertible bond announcement in our country, that is, the convertible bond announcement brings the positive abnormal yield to the stock price.At the same time, in view of the important influence of the historical event of the split share structure reform on the securities market of our country, this paper studies the announcement effect of convertible bonds in our country with the split share structure reform as the dividing point and the sample as the dividing point.The results show that there are significant differences in the effect of announcement before and after the reform of split share structure.On the basis of this, the abnormal yield rate is taken as the explained variable, and the explanatory variable is constructed on the basis of corporate financial data and convertible bond issuance information, and the influencing factors of the announcement effect of convertible bonds are studied empirically.The results show that the abnormal rate of return is negatively correlated with the relative size of the issue, the size of the company and the amount of stock change, and is positively correlated with the ratio of assets to liabilities, the rate of return on net assets and the index of stock debt.Finally, combined with the empirical research results, the author gives his own suggestions, and also explains the insufficiency of this paper.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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