摘要
本文对我国可转换债券首发日的股价效应进行了实证研究。研究结果表明,可转债首发日存在显著非零的股价效应。这表明市场对可转债融资行为的反应有一个过程,并非董事会拟发行可转债公告后市场就已经消化了公告的内容。本文的回归结果表明,可转债首发日异常收益与流通股比例显著负相关。这说明,首发日显著为负的累积异常收益),可由流通股比例来解释,流通股比例越大的公司,首发日异常收益越小,即负得越多,反之亦然。
This empirical study of Chinese listed companies issuing convertible bonds focuses on the stock price effects of the issue date of convertible bond.Our results suggest that there exists significant stock price effects surrounding the issue date of convertible bond.That is to say,there is a process for marcket to response to the convertible financing behavior.cross -sectional multivariate regression analysis shows that the abnormal returns at the issue date are negatively related to proportion of flowing stock.Namely,larger is proportion of flowing stock of issuer,smaller is the abnormal returns,vice versa.
出处
《特区经济》
北大核心
2008年第5期124-125,共2页
Special Zone Economy
关键词
可转换债券
股价效应
异常收益率
Convertible Bonds
Stock price effects
Abnormal returns
