發(fā)布時(shí)間：2018-06-06 14:41

  本文選題：可轉(zhuǎn)債 + 公司特性�。� 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：可轉(zhuǎn)債作為一種重要的公司再融資的方式,近年來(lái)得到飛速的發(fā)展。它既具有普通債券的保值功能,還通過(guò)嵌入看漲期權(quán)使投資者能夠分享公司股價(jià)上漲的收益,因此受到投資者的歡迎。本文分析了可轉(zhuǎn)債發(fā)行公司的特征以及股票市場(chǎng)、債券市場(chǎng)上的投資者對(duì)可轉(zhuǎn)債發(fā)行的反應(yīng),以期能夠給發(fā)行人和投資者的決策一些指導(dǎo)和借鑒作用。公司發(fā)行可轉(zhuǎn)債的決策主要受到相關(guān)部門的資質(zhì)要求以及公司自身需求狀況的影響。本文對(duì)1998年-2013年期間中國(guó)發(fā)行可轉(zhuǎn)債的公司進(jìn)行了分析,發(fā)現(xiàn)發(fā)行可轉(zhuǎn)債的公司一般成立時(shí)間較長(zhǎng),發(fā)展相對(duì)成熟；公司規(guī)模大；股權(quán)集中度高；凈資產(chǎn)收益率高,盈利能力強(qiáng)；增長(zhǎng)率不高,有一定的成長(zhǎng)機(jī)會(huì)但并不突出。本文以托賓Q作為衡量公司未來(lái)增長(zhǎng)機(jī)會(huì)的指標(biāo),對(duì)樣本公司進(jìn)行了統(tǒng)計(jì)分析,結(jié)果顯示發(fā)行可轉(zhuǎn)債的公司的托賓Q顯著大于1,說(shuō)明公司發(fā)行可轉(zhuǎn)債基本上是因?yàn)榇嬖跐撛谠鲩L(zhǎng)機(jī)會(huì),目的是進(jìn)行間接的股權(quán)融資。為了探究投資者對(duì)公司發(fā)行可轉(zhuǎn)債的反應(yīng),本文分別對(duì)可轉(zhuǎn)債發(fā)行公告前后股票市場(chǎng)上的異常收益率和債券市場(chǎng)上的收益率變化進(jìn)行了實(shí)證研究。股票市場(chǎng)上的投資者對(duì)可轉(zhuǎn)債發(fā)行公告的反應(yīng)顯著為正,公告日的異常收益率為+1.1044%,且此正向反應(yīng)在發(fā)行之前一段時(shí)間就開(kāi)始顯現(xiàn),后期有所逆轉(zhuǎn)。債券市場(chǎng)上的投資者對(duì)可轉(zhuǎn)債發(fā)行公告的反應(yīng)并不明顯,這主要是因?yàn)橹袊?guó)市場(chǎng)上發(fā)行可轉(zhuǎn)債的公司規(guī)模大,經(jīng)營(yíng)穩(wěn)定,可轉(zhuǎn)債的發(fā)行對(duì)其償債能力的影響很小。本文還根據(jù)托賓Q值用四分位法對(duì)股票市場(chǎng)上投資者的反應(yīng)進(jìn)行了研究,發(fā)現(xiàn)隨著托賓Q的減小,發(fā)行公告日的異常收益率逐漸減小,并且從顯著到不顯著。如果擴(kuò)大觀察范圍到[-25,25]天,第二個(gè)四分位組(即托賓Q值第二大的一組)的累計(jì)異常收益率最高。因?yàn)楣善笔袌?chǎng)上投資者的反應(yīng)比較顯著,本文用多元回歸分析的方法對(duì)影響股票市場(chǎng)異常收益率的因素進(jìn)行了分析。結(jié)果顯示可轉(zhuǎn)債嵌入式期權(quán)所體現(xiàn)的年化增長(zhǎng)率(根據(jù)轉(zhuǎn)股溢價(jià)率和轉(zhuǎn)股等待期進(jìn)行年化)對(duì)異常收益率有顯著的負(fù)向影響,即轉(zhuǎn)股價(jià)與現(xiàn)行價(jià)的年化比率越高,異常收益率越低,轉(zhuǎn)股價(jià)與現(xiàn)行價(jià)的年化比率越低,異常收益率越高。
[Abstract]:As an important way of corporate refinancing, convertible bonds have developed rapidly in recent years. It not only has the function of maintaining the value of ordinary bonds, but also enables investors to share the gains of the company's stock price by embedding call options, so it is welcomed by investors. This paper analyzes the characteristics of convertible bond issuing companies and the reaction of investors to convertible bond issuance in stock market and bond market in order to give some guidance and reference to the decision of issuers and investors. The decision to issue convertible bonds is mainly influenced by the qualification requirements of relevant departments and the company's own demand. This paper analyzes the companies that issued convertible bonds in China from 1998 to 2013. It is found that the companies issuing convertible bonds generally have a long time of establishment, relatively mature development, large scale of companies, high concentration of equity, high return on net assets. Strong profitability; the growth rate is not high, there are certain opportunities for growth, but not outstanding. In this paper, Tobin Q is taken as the index to measure the future growth opportunities of the company, and the sample companies are statistically analyzed. The results show that the Tobin Q of the company issuing convertible bonds is significantly larger than 1, which indicates that the company issues convertible bonds basically because of the potential growth opportunities, the purpose of which is to carry out indirect equity financing. In order to explore the reaction of investors to convertible bond issuance, this paper makes an empirical study on the abnormal yield in the stock market and the change of the yield in the bond market before and after the issuance of convertible bonds. Investors in the stock market reacted positively to the issuance of convertible bonds, with an abnormal yield of 1.1044 on the announcement date, and the positive reaction began to appear some time before the issuance and reversed in the later period. Investors in the bond market do not react obviously to the announcement of convertible bond issuance, which is mainly due to the large scale and stable operation of the companies issuing convertible bonds in the Chinese market, and the issuance of convertible bonds has little effect on their solvency. The paper also studies the investors' reaction in the stock market by quartile method according to the Tobin Q value. It is found that with the decrease of Tobin Q, the abnormal rate of return on the issuing announcement day gradually decreases, and from significant to not significant. If the observation range is extended to [-25] days, the cumulative abnormal return rate of the second quartile group (that is, the second largest group of Tobin Q values) is the highest. Because the reaction of investors in the stock market is remarkable, this paper analyzes the factors that influence the abnormal return rate of stock market by using the method of multiple regression analysis. The results show that the annualized growth rate (based on the conversion premium rate and the waiting period) has a significant negative effect on the abnormal return rate, that is, the higher the annualized ratio of the convertible stock price to the current price, The lower the abnormal rate of return, the lower the annualized ratio of the conversion price to the current price, and the higher the abnormal rate of return.
【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】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1986987