可轉(zhuǎn)債特別向下修正條款的觸發(fā)與公告效應(yīng)
發(fā)布時(shí)間：2018-09-01 18:00
【摘要】：特別向下修正條款(以下簡稱“修正條款”)作為可轉(zhuǎn)債的重要內(nèi)容之一,指當(dāng)可轉(zhuǎn)債發(fā)行公司的股價(jià)滿足一定條件時(shí),可以下調(diào)轉(zhuǎn)股價(jià)格。該條款對于提高債轉(zhuǎn)股的可能性起著很關(guān)鍵的作用,是保障債券持有人權(quán)益的重要手段。1992年,我國就發(fā)行了第一只境內(nèi)可轉(zhuǎn)債,但直到2000年,我國發(fā)行的可轉(zhuǎn)債才出現(xiàn)了第一條修正條款。修正條款的出現(xiàn),提升了可轉(zhuǎn)債的價(jià)值,幫助活躍了當(dāng)時(shí)還處于探索期的可轉(zhuǎn)債市場。隨后修正條款的內(nèi)容不斷發(fā)生演變,但這一變化都與可轉(zhuǎn)債市場的發(fā)展是密不可分的。以往對可轉(zhuǎn)債進(jìn)行研究的學(xué)者,主要是在討論可轉(zhuǎn)債定價(jià)時(shí)涉及到修正條款,很少真正關(guān)注條款本身。因此,本文試圖在以往文獻(xiàn)研究的基礎(chǔ)上,深入討論修正條款的內(nèi)容演變和觸發(fā)分析。此外,本文還就轉(zhuǎn)股價(jià)下調(diào)的公告效應(yīng)及其影響因素進(jìn)行探究,希望借此能更加深入地理解修正條款對可轉(zhuǎn)債市場和股票市場的影響。本文將2000年-2014年2月的修正條款發(fā)展按照內(nèi)容演變分為了4個階段,并采用描述統(tǒng)計(jì)分析了修正條款的觸發(fā)并下調(diào)轉(zhuǎn)股價(jià)的情況。結(jié)果顯示,初始轉(zhuǎn)股價(jià)和修正底線的差距越大,公司越有可能下調(diào)轉(zhuǎn)股價(jià)。相比牛市,熊市出現(xiàn)時(shí),公司更有可能下調(diào)轉(zhuǎn)股價(jià)。相比發(fā)行的頭兩年,之后的生存期內(nèi)公司更有可能下調(diào)轉(zhuǎn)股價(jià)。但觸發(fā)條件的寬松、可轉(zhuǎn)債市場的成交量與下調(diào)轉(zhuǎn)股價(jià)之間的關(guān)系并不是很明顯。此外,本文利用生存模型研究轉(zhuǎn)股價(jià)下調(diào)的公告效應(yīng),將可轉(zhuǎn)債對應(yīng)股票的異常收益率的連續(xù)上漲或下跌看作是一種生存過程。以轉(zhuǎn)股價(jià)下調(diào)公告發(fā)布后的第一個交易日視為事件生存時(shí)間的起點(diǎn),以異常收益率變化趨勢的轉(zhuǎn)折時(shí)點(diǎn)視為死亡點(diǎn),描繪生存時(shí)間分布。同時(shí),利用Cox回歸模型判斷哪些協(xié)變量對生存時(shí)間有顯著影響。本文發(fā)現(xiàn),公告發(fā)布后異常收益率的變動趨勢大多數(shù)情況維持在1天,可能正因?yàn)槿绱?相較于事件研究法,生存模型可能沒有那么使用于本文的公告效應(yīng)研究。最終并沒有找到能顯著影響時(shí)間分布的因素,這是本文的不足之處。
[Abstract]:As one of the important contents of convertible bonds, special downward amendment clause (hereinafter referred to as "amendment clause") means that when the share price of convertible bond issuing company meets certain conditions, the price of convertible bond can be lowered. This clause plays a key role in raising the possibility of debt-to-equity swaps and is an important means of protecting the rights and interests of bondholders. In 1992, China issued its first convertible bond in China, but until 2000, The first amendment clause appeared in the convertible bonds issued in our country. The emergence of the amended clause raised the value of convertible bonds and helped to enliven the market of convertible bonds, which was at that time still in the exploratory period. The content of the amended clause evolves continuously, but this change is closely related to the development of the convertible bond market. In the past, scholars who studied convertible bonds mainly discussed the pricing of convertible bonds, but seldom paid attention to the terms themselves. Therefore, this paper attempts to discuss the content evolution and trigger analysis of the amended clause on the basis of previous literature. In addition, this paper also probes into the announcement effect and its influencing factors of the downgrade of the convertible stock price, hoping to understand the effect of the revised clause on the convertible bond market and the stock market more deeply. In this paper, the development of revision clause from 2000 to February 2014 is divided into four stages according to the evolution of content, and the trigger of amendment clause is analyzed by descriptive statistics and the stock price is downgraded. The results showed that the bigger the gap between the initial share price and the revised baseline, the more likely the company was to downgrade its share price. Compared to bull market, bear market, the company is more likely to lower their share price. After the first two years of the issue, the company is more likely to downgrade its share price. But with the easing of trigger conditions, the relationship between turnover in the convertible bond market and lower prices is not obvious. In addition, by using the survival model, this paper studies the announcement effect of the downgrade of the convertible stock price, and regards the continuous rise or fall of the abnormal return rate of the convertible bond as a survival process. The first trading day after the downgrade announcement was regarded as the starting point of the event's survival time, and the turning point of the abnormal yield trend was regarded as the death point to describe the distribution of the survival time. At the same time, Cox regression model was used to determine which covariables had significant influence on survival time. This paper finds that the trend of abnormal rate of return after announcement is maintained in one day, which may be the reason why the survival model may not be used in the study of announcement effect in this paper. Finally, there are no factors that can influence the time distribution significantly, which is the deficiency of this paper.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51
本文編號：2217937
[Abstract]:As one of the important contents of convertible bonds, special downward amendment clause (hereinafter referred to as "amendment clause") means that when the share price of convertible bond issuing company meets certain conditions, the price of convertible bond can be lowered. This clause plays a key role in raising the possibility of debt-to-equity swaps and is an important means of protecting the rights and interests of bondholders. In 1992, China issued its first convertible bond in China, but until 2000, The first amendment clause appeared in the convertible bonds issued in our country. The emergence of the amended clause raised the value of convertible bonds and helped to enliven the market of convertible bonds, which was at that time still in the exploratory period. The content of the amended clause evolves continuously, but this change is closely related to the development of the convertible bond market. In the past, scholars who studied convertible bonds mainly discussed the pricing of convertible bonds, but seldom paid attention to the terms themselves. Therefore, this paper attempts to discuss the content evolution and trigger analysis of the amended clause on the basis of previous literature. In addition, this paper also probes into the announcement effect and its influencing factors of the downgrade of the convertible stock price, hoping to understand the effect of the revised clause on the convertible bond market and the stock market more deeply. In this paper, the development of revision clause from 2000 to February 2014 is divided into four stages according to the evolution of content, and the trigger of amendment clause is analyzed by descriptive statistics and the stock price is downgraded. The results showed that the bigger the gap between the initial share price and the revised baseline, the more likely the company was to downgrade its share price. Compared to bull market, bear market, the company is more likely to lower their share price. After the first two years of the issue, the company is more likely to downgrade its share price. But with the easing of trigger conditions, the relationship between turnover in the convertible bond market and lower prices is not obvious. In addition, by using the survival model, this paper studies the announcement effect of the downgrade of the convertible stock price, and regards the continuous rise or fall of the abnormal return rate of the convertible bond as a survival process. The first trading day after the downgrade announcement was regarded as the starting point of the event's survival time, and the turning point of the abnormal yield trend was regarded as the death point to describe the distribution of the survival time. At the same time, Cox regression model was used to determine which covariables had significant influence on survival time. This paper finds that the trend of abnormal rate of return after announcement is maintained in one day, which may be the reason why the survival model may not be used in the study of announcement effect in this paper. Finally, there are no factors that can influence the time distribution significantly, which is the deficiency of this paper.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51
【參考文獻(xiàn)】
相關(guān)期刊論文 前2條
1 劉大巍;陳啟宏;;對我國可轉(zhuǎn)債特別向下修正條款的研究[J];系統(tǒng)工程學(xué)報(bào);2010年03期
2 王詠梅;代冰彬;;市場反應(yīng)、生存模型與信息披露[J];證券市場導(dǎo)報(bào);2006年08期
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