發(fā)布時(shí)間：2017-12-31 07:19

  本文關(guān)鍵詞：可轉(zhuǎn)換債券融資與股價(jià)效應(yīng)研究　出處：《西南交通大學(xué)》2012年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 可轉(zhuǎn)換債券 股價(jià)效應(yīng) 事件研究 財(cái)務(wù)績(jī)效 股票股利

【摘要】：論文以中國(guó)證券市場(chǎng)上可轉(zhuǎn)債融資為研究對(duì)象,在梳理國(guó)外可轉(zhuǎn)債融資理論假說的基礎(chǔ)上,討論我國(guó)可轉(zhuǎn)債融資對(duì)標(biāo)的股票價(jià)格的影響,并以之驗(yàn)證我國(guó)上市公司可轉(zhuǎn)債發(fā)行的動(dòng)機(jī)。 分析認(rèn)為中國(guó)特有的行政審核制度使得可轉(zhuǎn)債的發(fā)行主體、產(chǎn)品設(shè)計(jì)及投資者主體與海外市場(chǎng)存在顯著的差異。在發(fā)行主體上,國(guó)內(nèi)的發(fā)行人主要處于傳統(tǒng)的制造業(yè)；在發(fā)行方式上,嚴(yán)格的審批制度導(dǎo)致上市公司發(fā)行可轉(zhuǎn)債困難、發(fā)行流程耗時(shí),往往延誤企業(yè)的市場(chǎng)時(shí)機(jī)；在產(chǎn)品設(shè)計(jì)上,可轉(zhuǎn)債的條款設(shè)計(jì)趨同現(xiàn)象明顯,利率市場(chǎng)化程度差。中國(guó)的法規(guī)設(shè)計(jì)更注重可轉(zhuǎn)債的“債性”,即可轉(zhuǎn)債作為債券的可償還性,但實(shí)踐中上市公司將可轉(zhuǎn)債融資視為一種延遲的股權(quán)性融資,這導(dǎo)致了可轉(zhuǎn)債融資的股價(jià)效應(yīng)與其它股權(quán)再融資方式存在很大的區(qū)別。論文通過以下幾個(gè)層次對(duì)中國(guó)市場(chǎng)可轉(zhuǎn)債融資的股價(jià)效應(yīng)進(jìn)行了詳細(xì)的實(shí)證研究： (1)討論了董事會(huì)擬發(fā)可轉(zhuǎn)債公告導(dǎo)致的股價(jià)效應(yīng)�？傮w來說市場(chǎng)對(duì)可轉(zhuǎn)債融資消息呈顯著負(fù)向的反應(yīng)。公司規(guī)模、債務(wù)資本比率及相對(duì)發(fā)行規(guī)模均與股價(jià)效應(yīng)不存在顯著的相關(guān)關(guān)系,因此不支持信號(hào)理論的解釋。而稀釋指標(biāo)則與股價(jià)效應(yīng)呈顯著的負(fù)相關(guān),采用壓力假說可以比較好的解釋股價(jià)的負(fù)效應(yīng)。董事會(huì)預(yù)案引起的股價(jià)效應(yīng)更多是傳遞上市公司對(duì)資金的渴求,這與其它再融資方式傳遞的信息是一致的。 (2)討論了并證實(shí)可轉(zhuǎn)債發(fā)行引致的股價(jià)效應(yīng)為顯著的正效應(yīng)。這與國(guó)外的市場(chǎng)存在很大的差別,中國(guó)市場(chǎng)顯然對(duì)可轉(zhuǎn)債發(fā)行持歡迎的態(tài)度。股價(jià)正效應(yīng)與公司規(guī)模、控制人類型及稀釋性指標(biāo)存在顯著的相關(guān)關(guān)系,這表明價(jià)格壓力理論對(duì)股價(jià)效應(yīng)產(chǎn)生負(fù)面影響,可轉(zhuǎn)債發(fā)行事件只能傳遞公司規(guī)模的消息,而不能傳遞公司價(jià)值信號(hào)�？赊D(zhuǎn)債產(chǎn)品的債性股性與股價(jià)效應(yīng)有顯著的相關(guān)關(guān)系,可轉(zhuǎn)債的股性越大股價(jià)效應(yīng)也越大。從中國(guó)市場(chǎng)可轉(zhuǎn)債偏股性的特點(diǎn)看,可轉(zhuǎn)債融資其實(shí)是上市公司進(jìn)行延遲股權(quán)再融資的一種方式。 (3)對(duì)可轉(zhuǎn)債發(fā)行后的長(zhǎng)期股價(jià)效應(yīng)進(jìn)行了研究。研究認(rèn)為可轉(zhuǎn)債發(fā)行后2年,股價(jià)漲跌與可比公司基本保持一致,但跑贏市場(chǎng)指數(shù)。因此,累計(jì)超額收益產(chǎn)生的原因主要是行業(yè)因素及公司規(guī)模因素,然后才是可轉(zhuǎn)債發(fā)行導(dǎo)致公司業(yè)績(jī)釋放等個(gè)體因素。 基于縱向時(shí)間維度,從盈利性指標(biāo)、增長(zhǎng)性指標(biāo)及財(cái)務(wù)穩(wěn)健性等反映公司財(cái)務(wù)績(jī)效的指標(biāo)看,可轉(zhuǎn)債發(fā)行后公司的財(cái)務(wù)績(jī)效呈現(xiàn)下降的趨勢(shì)。但是,基于橫向的、與可比公司的財(cái)務(wù)績(jī)效比較,除公司的盈利性指標(biāo)下降外,盈利增長(zhǎng)性指標(biāo)和財(cái)務(wù)穩(wěn)健性指標(biāo)在可轉(zhuǎn)債的發(fā)行后2年內(nèi)有所提高,這表明可轉(zhuǎn)債融資為公司的運(yùn)營(yíng)規(guī)模提供有力的支持,這種增長(zhǎng)更多表現(xiàn)為公司規(guī)模的增長(zhǎng),即公司規(guī)模的增長(zhǎng)要優(yōu)先于利潤(rùn)的增長(zhǎng)。研究同時(shí)表明,發(fā)行可轉(zhuǎn)債公司的長(zhǎng)期累計(jì)超額收益與公司盈利性增長(zhǎng)、股票股利分配及可轉(zhuǎn)債稀釋程度存在顯著的相關(guān)關(guān)系。由于可轉(zhuǎn)債發(fā)行后,公司總體盈利呈現(xiàn)下降趨勢(shì),因此上市公司會(huì)通過增加股票股利的派發(fā)來刺激股票價(jià)格的上漲,從而彌補(bǔ)因業(yè)績(jī)下滑及可轉(zhuǎn)債稀釋效應(yīng)造成的股價(jià)下跌。 從公司發(fā)行可轉(zhuǎn)債公告日及發(fā)行后的長(zhǎng)期股價(jià)效應(yīng)看,我國(guó)市場(chǎng)上對(duì)可轉(zhuǎn)債融資持正向的態(tài)度。這種正向的股價(jià)效應(yīng)是基于可轉(zhuǎn)債偏股權(quán)性設(shè)計(jì)、公司規(guī)模增長(zhǎng)及大比例派送股票股利行為而產(chǎn)生的股票上漲預(yù)期所致。 本文得出的諸多結(jié)論無論對(duì)于我國(guó)上市公司還是投資者而言,都具有重要的意義。從監(jiān)管層的角度看,如何利用可轉(zhuǎn)債這個(gè)金融產(chǎn)品更好地為我國(guó)經(jīng)濟(jì)增長(zhǎng)轉(zhuǎn)型服務(wù),是必須重點(diǎn)考慮的問題。放松可轉(zhuǎn)債發(fā)行的管制、增加市場(chǎng)化‘程度及最終推出私募可轉(zhuǎn)債應(yīng)是將來改革的方向。
[Abstract]:Based on the analysis of the foreign convertible bond financing theory hypothesis , the paper discusses the effect of convertible bond financing on the subject stock price , and verifies the motive of the convertible bond issuance in China . It is considered that China ' s unique administrative auditing system makes convertible bond issue subject , product design and investor ' s main body and overseas market have significant difference . On the issue body , domestic issuers are mainly in the traditional manufacturing industry . In the distribution mode , the domestic issuers are mainly in the traditional manufacturing industry . In the product design , the debt - convertible debt financing is regarded as a kind of delayed equity financing , which leads to the stock price effect of convertible bond financing and other equity re - financing modes . ( 1 ) The stock price effects caused by the Board ' s announcement of convertible bonds are discussed . Generally speaking , there is no significant correlation between the size of the company , the ratio of the debt capital and the relative distribution of the stock price , so the explanation of the signal theory is not supported . The dilution index is negatively correlated with the stock price effect , and the negative effect of the stock price can be better explained by using the pressure hypothesis . The stock price effect caused by the plan of the board is more than the desire of the listed company to fund the funds , which is consistent with the information transmitted by other refinance methods . ( 2 ) The positive effect of the stock price effect caused by the issuance of convertible bonds is discussed and confirmed . The positive effect of price pressure on the issuance of convertible bonds is obvious . The positive effect of price pressure has a significant correlation with the size of the company , the type of control person and the dilution index , which shows that the price pressure theory can only transmit the news of the company ' s scale , but can not transmit the company ' s value signal . ( 3 ) The effect of the long - term stock price after the issuance of convertible bonds is studied . The results show that after the issuance of the convertible bonds , the stock price increase and fall is basically the same as that of the comparable company , but the market index is run . Therefore , the reason for the accumulated excess return is mainly the industry factor and the company scale factor , then it is the individual factor such as the release of the company ' s performance due to the convertible bond issue . On the basis of the longitudinal dimension , the company ' s financial performance has declined after the issuance of the convertible bonds . However , the company ' s profit growth index and financial stability index have improved over 2 years after the issuance of the convertible bond . Looking at the long - term stock price effects after the issuance of the convertible bonds and the long - term stock price effects after the issuance , China ' s market has a positive attitude towards the financing of convertible bonds . The positive share price effect is based on the stock increase expectations of the convertible bond equity design , the company ' s size growth and the large proportion of dividend behavior . From the perspective of regulatory layer , how to make use of the financial product of convertible debt better serve as the transformation service of our country ' s economy , it is a question which must be taken into consideration .

【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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