發(fā)布時間：2018-11-02 07:17

【摘要】：可轉(zhuǎn)債是優(yōu)于直接債務(wù)融資和間接股權(quán)融資的一種復(fù)雜的金融衍生工具，隨著我國金融市場的發(fā)展，可轉(zhuǎn)債在投融資領(lǐng)域占有愈發(fā)重要的地位。贖回權(quán)是其重要組成部分，研究可轉(zhuǎn)債贖回公告的效應(yīng)有助于發(fā)行公司和投資者深刻認(rèn)識可轉(zhuǎn)債，，并為發(fā)行公司確定融資策略和投資者確定投資策略提供參考。 本文采用的方法是事件研究法和多元回歸分析方法。首先在回顧相關(guān)研究理論基礎(chǔ)上統(tǒng)計了我國可轉(zhuǎn)債贖回的基本情況，然后運用事件研究法對截止到2013年我國市場發(fā)生提前贖回的可轉(zhuǎn)債進(jìn)行研究，檢驗可轉(zhuǎn)債贖回對股價的影響，并建立多元線性回歸模型分析該影響的成因；此外，在分析“價”的同時結(jié)合“量”的分析，檢驗了可轉(zhuǎn)債贖回的成交量效應(yīng)；最后，以高頻的股票價格數(shù)據(jù)為基礎(chǔ)研究了市場對可轉(zhuǎn)債贖回公告信息的反應(yīng)速度。 結(jié)果表明，我國的可轉(zhuǎn)債贖回公告對股價存在負(fù)面影響，并且這種負(fù)面影響在可轉(zhuǎn)債贖回公告當(dāng)天及之后的30天內(nèi)都是顯著的；股價效應(yīng)的影響因素主要有財務(wù)杠桿、價格壓力、公司成長性、公司盈利能力和可轉(zhuǎn)債特征變量；可轉(zhuǎn)債贖回對成交量的影響并不明顯，但在贖回公告當(dāng)日開始小幅上漲并在公告后一天達(dá)到一個較高值，可以認(rèn)為這與持有者轉(zhuǎn)股套現(xiàn)以及我國的T+1交易制度有關(guān)，間接支持價格壓力假說；市場對贖回公告的反應(yīng)不是即時的，通常持續(xù)到公告后7-8個30分鐘交易時間的間隔。 本文的結(jié)論對可轉(zhuǎn)債發(fā)行公司確定最優(yōu)的贖回時機、優(yōu)化可轉(zhuǎn)債的條款設(shè)計以及投資者制定投資策略方面都是有重要意義的。
[Abstract]:Convertible bond is a kind of complex financial derivative which is superior to direct debt financing and indirect equity financing. With the development of financial market in China, convertible bond plays an increasingly important role in the field of investment and financing. Redemption is an important part of it. Studying the effect of convertible bond redemption notice will help issuers and investors to understand convertible bonds deeply and provide reference for issuing companies to determine financing strategies and investors to determine investment strategies. The methods used in this paper are event study and multiple regression analysis. First of all, based on the review of relevant research theories, this paper makes statistics on the basic situation of convertible bond redemption in China, and then uses the event research method to study the convertible bonds that have been foreclosed in advance until 2013. To test the influence of convertible bond redemption on stock price and to establish a multivariate linear regression model to analyze the causes of the influence; In addition, combining the analysis of "price" and "quantity", the paper tests the effect of turnover of convertible bond redemption. Finally, based on the high frequency stock price data, the paper studies the reaction speed of the market to the announcement information of convertible bond redemption. The results show that the convertible bond redemption notice has a negative impact on the stock price, and this negative impact is significant within 30 days after the announcement of convertible bond redemption; The main influencing factors of stock price effect are financial leverage, price pressure, company growth, corporate profitability and convertible bond characteristics. The effect of convertible bond redemption on turnover is not obvious, but it rises slightly on the day of redemption announcement and reaches a higher value one day after the announcement. It can be considered that this is related to the holder's cash transfer and the T1 trading system in our country. Indirectly support the price pressure hypothesis; The market's reaction to the redemption announcement is not immediate and usually lasts 7 to 8 trading minutes after the announcement. The conclusion of this paper is of great significance in determining the optimal redemption time, optimizing the term design of convertible bonds and making investment strategies for convertible bond issuing companies.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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本文編號：2305331