本文選題：公告效應(yīng) + 公司債��； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：債券市場(chǎng)過去幾年中的快速發(fā)展改變著中國(guó)資本市場(chǎng),作為上市公司中長(zhǎng)期債券融資的重要工具,公司債和中期票據(jù)發(fā)展迅速。為了探究上市公司發(fā)行公司債和中期票據(jù)對(duì)于自身股價(jià)的影響,明確投資者對(duì)于兩類債券發(fā)行的態(tài)度,以期對(duì)公司債和中期票據(jù)的發(fā)展以及發(fā)行人和投資者的選擇有所幫助。本文選取2007年8月到2012年12月上市公司發(fā)行的公司債和中期票據(jù)作為樣本,通過事件研究法和多元線性回歸在窗口期(-5,5)上對(duì)發(fā)行公告效應(yīng)做了研究。 研究結(jié)果發(fā)現(xiàn)公司債和中期票據(jù)的發(fā)行公告在單日上均會(huì)對(duì)股價(jià)造成顯著異常波動(dòng),但在事件窗口期上公司債發(fā)行并沒有顯著的公告效應(yīng),而中期票據(jù)發(fā)行將產(chǎn)生顯著的負(fù)公告效應(yīng)。通過截面多元線性回歸分析發(fā)現(xiàn),債券發(fā)行期限、發(fā)行規(guī)模、凈資產(chǎn)、付息債務(wù)/投入資本、投入資本回報(bào)率、市值、面值/市值均與公司債和中期票據(jù)公告效應(yīng)沒有顯著的相關(guān)性,而債券主體評(píng)級(jí)則分別在1%和5%的水平上與公司債和中期票據(jù)公告效應(yīng)顯著相關(guān),呈現(xiàn)出評(píng)級(jí)低的組別累計(jì)異常收益率更小。進(jìn)一步在窗口期中分別考察不同組別主體評(píng)級(jí)公司債和中期票據(jù)的公告效應(yīng),主體評(píng)級(jí)AA以下的公司債和中期票據(jù)在窗口期上公告效應(yīng)均顯著為負(fù),分別在5%和1%的水平下有-1.482%和-2.763%累計(jì)異常收益率,而AA及以上組別的公司債和中期票據(jù)在窗口期上均沒有顯著的公告效應(yīng)。
[Abstract]:The rapid development of the bond market in the past few years has changed the Chinese capital market. As an important tool for medium and long-term bond financing of listed companies, corporate bonds and medium-term notes have developed rapidly. In order to explore the influence of issuing corporate bonds and medium-term notes on the stock price of listed companies, this paper clarifies the attitude of investors towards the issuance of the two kinds of bonds, in order to help the development of corporate bonds and medium-term notes and the choice of issuers and investors. This paper selects the corporate bonds and medium-term notes issued by listed companies from August 2007 to December 2012 as samples and studies the effect of issuing announcement on the window period by means of event study and multiple linear regression. The results show that the issuance of corporate bonds and medium-term notes on a single day will cause significant fluctuations in the stock price, but in the event window period, there is no significant announcement effect on the issuance of corporate bonds. And medium-term bill issue will produce significant negative announcement effect. By cross-sectional multiple linear regression analysis, it is found that the maturity, size, net assets, interest-paying debt / invested capital, return on invested capital, market value, There was no significant correlation between par value / market value and the announcement effect of corporate bonds and medium-term notes, while the ratings of bond subjects were significantly related to the announcement effect of corporate bonds and medium-term notes at the level of 1% and 5%, respectively. Low-rated groups show a smaller cumulative abnormal rate of return. Furthermore, in the window period, the announcement effect of corporate bonds and medium-term notes of different groups were investigated respectively. The announcement effects of corporate bonds and medium-term notes with the main rating below AA were significantly negative in the window period. At the levels of 5% and 1%, there were -1.482% and -2.763% cumulative abnormal returns, respectively, while corporate bonds and medium-term notes in AA and above groups had no significant announcement effect in the window period.
【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】：2013
【分類號(hào)】：F832.51

【共引文獻(xiàn)】

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5 劉q，

本文編號(hào)：1856324