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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 paper conducts an empirical research on the stock price effect of the first issue of convertible bonds in China. The results show that there is a significant non-zero stock price effect on the first issue of convertible bonds. This shows that the market response to the convertible bond financing behavior is a process, not the Board intends to issue convertible bonds after the market has digested the announcement. The regression results of this paper show that there is a significant negative correlation between abnormal returns on the first issue of convertible bonds and the proportion of tradable shares. This shows that the starting day was significantly negative negative cumulative abnormal returns), which can be explained by the proportion of tradable shares. The larger the proportion of tradable shares, the smaller the abnormal return on the first day, ie, the negative is more, and vice versa.