本文選題：可轉(zhuǎn)換債券 + 公告效應(yīng)��； 參考：《山東大學(xué)》2012年碩士論文

【摘要】：可轉(zhuǎn)換債券作為一種金融衍生品,兼有債券和股票的雙重性質(zhì),在資本市場上以其獨特的吸引力贏得了廣大發(fā)行公司和投資者的青睞�？赊D(zhuǎn)換債券在國外已經(jīng)有160多年的歷史,特別是在二十世紀七十年之后,在全球金融創(chuàng)新的大浪潮中,可轉(zhuǎn)換債券迅速發(fā)展,并逐漸成為國際資本市場上中遠期投資的重要金融工具。上世紀90年代,滬深兩市引入可轉(zhuǎn)換債券,可轉(zhuǎn)換債券發(fā)展一直比較緩慢,雖然可轉(zhuǎn)換債券在最近的幾年中有了較為快速的發(fā)展,但是廣大投資者對于可轉(zhuǎn)換債券這種金融衍生品的認識仍然停留在比較初級的階段,廣大可轉(zhuǎn)換債券的發(fā)行公司對使用可轉(zhuǎn)換債券進行融資后對其財務(wù)狀況和公司價值有何影響等問題的認識仍然不夠深入。為此很多的學(xué)者對我國可轉(zhuǎn)換債券的公告效應(yīng)進行了大量的實證研究,有的研究結(jié)果表明我國可轉(zhuǎn)換債券的公告效應(yīng)為正,但是有的卻為負,結(jié)果差距較大。 筆者經(jīng)過大量的文獻研究和認真的思考,搜集了大量樣本數(shù)據(jù),創(chuàng)新性地以股權(quán)分置改革作為分界點,將可轉(zhuǎn)換債券的樣本分為兩個部分,用事件研究方法對可轉(zhuǎn)換債券在股權(quán)分置改革前后的公告效應(yīng)分別進行了研究。研究結(jié)果表明在股權(quán)分置改革前可轉(zhuǎn)換債券的公告效應(yīng)為負,但是在股權(quán)分置改革之后卻得出完全相反的正值,這對于我國的可轉(zhuǎn)換債券市場的完善和發(fā)展具有積極的理論指導(dǎo)意義。本文最后分別從定量和定性兩個方面對這一研究結(jié)果進行了解釋說明。 本文的基本框架是這樣的：第一部分是引言,重點介紹本文的研究背景,研究意義以及創(chuàng)新點和不足之處。第二部分是文獻綜述,首先介紹過國內(nèi)外研究可轉(zhuǎn)債公告效應(yīng)的主要模型,然后接著介紹國內(nèi)外關(guān)于可轉(zhuǎn)債公告效應(yīng)的文獻綜述。第三部分是可轉(zhuǎn)債的概論,主要是對可轉(zhuǎn)債的起源、性質(zhì)、以及一些主要的條款進行介紹,并且對我國的可轉(zhuǎn)債發(fā)展歷史進行簡要回顧。第四部分是本文的重點,在這一部分本文首先介紹事件研究法,然后本文用此方法對股權(quán)分置改革前后的可轉(zhuǎn)換債券的公告效應(yīng)分別進行研究,最終得出可轉(zhuǎn)換債券的公告效應(yīng)在股權(quán)分置改革前后相反的的結(jié)論。本文的在最后一部分主要從定量和定性兩個方面對可轉(zhuǎn)債的公告效應(yīng)在股權(quán)分置改革前后的差異性進行解釋和說明。
[Abstract]:As a kind of financial derivative, convertible bond has the dual nature of bond and stock, and has won the favor of the issuing company and investors for its unique attraction in the capital market. Convertible bonds have a history of more than 160 years abroad, especially after 70 years of the 20th century. In the great wave of global financial innovation, convertible bonds have developed rapidly. And gradually become an important financial instrument for medium-term investment in the international capital market. In the 1990s, convertible bonds were introduced into the Shanghai and Shenzhen stock markets, and the development of convertible bonds has been relatively slow, although convertible bonds have developed more rapidly in recent years. However, investors' understanding of convertible bonds as financial derivatives is still at a relatively preliminary stage. The general issuers of convertible bonds still do not have a deep understanding of the financial status and corporate value of convertible bonds after financing. For this reason, many scholars have done a lot of empirical research on the announcement effect of convertible bonds in China. Some research results show that the announcement effect of convertible bonds in China is positive, but some are negative. After a lot of literature research and careful thinking, the author collected a large number of sample data, innovatively divided the sample of convertible bonds into two parts with the split share structure reform as the dividing point. The announcement effect of convertible bonds before and after the split share structure reform is studied with event study method. The results show that the announcement effect of convertible bonds is negative before the split share structure reform, but after the split share structure reform, the reverse positive result is obtained. This has positive theoretical significance for the perfection and development of convertible bond market in China. At the end of this paper, the results are explained from both quantitative and qualitative aspects. The basic framework of this paper is as follows: the first part is the introduction, focusing on the research background, research significance, innovation and shortcomings. The second part is the literature review, first introduced the domestic and foreign research on the effect of convertible bond announcement model, then introduced the domestic and foreign literature review on the effect of convertible bond announcement. The third part is the introduction of convertible bonds, mainly introduces the origin, nature and some main clauses of convertible bonds, and briefly reviews the development history of convertible bonds in China. The fourth part is the focus of this paper. In this part, we first introduce the event research method, and then use this method to study the announcement effect of convertible bonds before and after the split share structure reform. Finally, the conclusion is drawn that the announcement effect of convertible bonds is opposite before and after the reform of split share structure. In the last part of this paper, we explain the difference of the announcement effect of convertible bonds before and after the split share structure reform from two aspects: quantitative and qualitative.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前8條

1 房振明;王春峰;李曄;盧濤;;我國股票與權(quán)證市場之間的線性及非線性因果關(guān)系[J];系統(tǒng)工程;2006年07期

2 劉洋;莊新田;;滬市認購權(quán)證與其標的股票價格走勢的Granger因果檢驗[J];管理學(xué)報;2006年06期

3 申隆;可轉(zhuǎn)換債券投資價值及在股權(quán)分置中的投資機會分析[J];海南金融;2005年08期

4 劉成彥,王其文;中國上市公司可轉(zhuǎn)換債券發(fā)行的公告效應(yīng)研究[J];經(jīng)濟科學(xué);2005年04期

5 劉娥平;中國上市公司可轉(zhuǎn)換債券發(fā)行公告財富效應(yīng)的實證研究[J];金融研究;2005年07期

6 袁顯平;柯大鋼;;事件研究方法及其在金融經(jīng)濟研究中的應(yīng)用[J];統(tǒng)計研究;2006年10期

7 易會文;;格蘭杰因果檢驗用法探討[J];中南財經(jīng)政法大學(xué)研究生學(xué)報;2006年05期

8 陳超,蘇衛(wèi)東;附認股權(quán)公司債初探[J];證券市場導(dǎo)報;2003年09期

相關(guān)重要報紙文章 前1條

1 西安交通大學(xué)經(jīng)濟與金融學(xué)院 唐莉 張永娟;[N];上海證券報;2005年

相關(guān)碩士學(xué)位論文 前1條

1 鐘珍;我國權(quán)證發(fā)行對標的股票影響的實證分析[D];對外經(jīng)濟貿(mào)易大學(xué);2006年

，

本文編號：2070055