中国可转换债券的赎回公告效应及其影响因素研究
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摘要
中国绝大部分可转换债券是通过强制赎回"迫使"持有者提前转股,从而实现退市.为探究上市公司赎回可转换债券对公司标的股票价格的影响,文章运用事件研究法和主成分回归方法对中国可转换债券的赎回公告效应及其影响因素进行了分析.研究结果显示在赎回公告前一天以及公告当天样本平均异常收益率显著为负,并且直至公告日后5天也均为负,说明可转换债券赎回存在负股价效应;赎回股价效应受公司的盈利性、公司规模以及可转换债券基本特征因素的影响,而公司财务杠杆的影响并不显著.文章完善了可转换债券研究理论,并对投资者制定投资决策以及融资公司合理选择赎回时机具有重要的现实指导意义.
Most of convertible bonds in China have forced their holders to transfer shares in advance by forcing redemption,thus realizing delisting.In order to explore the impact of redemption of convertible bonds on the stock price of listed companies in China,this paper studies the effect of redemption announcement of convertible bonds and its influencing factors by using event study and principal component analysis.The results show that the average abnormal return is significantly negative on the day before and on the day of the redemption,and is also negative until 5 days after the announcement date.This phenomenon indicates that the redemption of convertible bonds has a short-term negative effect on stock prices.Moreover,the redemption stock price effect is affected by the profitability of the company,the size of company and the basic characteristics of convertible bonds,while the financial leverage of company is not significant.This paper improves the research theory of convertible bonds and has important practical guiding significance for investors to make investment decisions and financing companies to choose the right time for redemption.
Most of convertible bonds in China have forced their holders to transfer shares in advance by forcing redemption,thus realizing delisting.In order to explore the impact of redemption of convertible bonds on the stock price of listed companies in China,this paper studies the effect of redemption announcement of convertible bonds and its influencing factors by using event study and principal component analysis.The results show that the average abnormal return is significantly negative on the day before and on the day of the redemption,and is also negative until 5 days after the announcement date.This phenomenon indicates that the redemption of convertible bonds has a short-term negative effect on stock prices.Moreover,the redemption stock price effect is affected by the profitability of the company,the size of company and the basic characteristics of convertible bonds,while the financial leverage of company is not significant.This paper improves the research theory of convertible bonds and has important practical guiding significance for investors to make investment decisions and financing companies to choose the right time for redemption.
引文
[1]冯建芬,周轩宇,段梦菲.可转债期权条款设计与影响分析.管理评论,2018,30(8):58-68.(Feng J F,Zhou X Y,Duan M F.Analysis of convertible bond option clause design and its effect.Management Review,2018,30(8):58-68.)
[2]彭海伟,卢祖帝.金融系统的非线性分析:交易量对股价波动的非线性影响.系统科学与数学,2009,29(11):1527-1541.(Peng H W,Lu Z D.Nonlinear analysis of financial systems:Exploring the nonlinear impact ofthe trading volume on the price volatility.Journal of Systems Science and Mathematical Sciences,2009,29(11):1527-1541.)
[3]Mikkelson W H.Convertible calls and security returns.Journal of Financial Economics, 1981,9(3):237-264.
[4]Stein J C.Convertible bonds as backdoor equity financing.Journal of Financial Economics,1992,32(1):3-21.
[5]Datta S M,Iskandar-Datta,Raman K.Convertible bond calls:Resolution of information content puzzle.Journal of Financial Intermediation,2003,12(3):255-276.
[6]Bechmann K L.Short sales,price pressure,and the stock price response to convertible bond calls.Journal of Financial Markets,2004,7(4):427-451.
[7]Grundy B D,Veld C,Verwijmeren P,et al.Why are conversion-forcing call announcements associated with negative wealth effects?.Journal of Corporate Finance,2014,24:149-157.
[8]Bechmann K L,Lunde A,Zebedee A A.In-and out-of-the-money convertible bond calls:Signaling or price pressure?.Journal of Corporate Finance,2014,24:135-148.
[9]Brick I E,Palmon O,Patro D K.Stock price response to calls of convertible bonds:Still a puzzle?.Financial Management,2007,36(2):1-21.
[10]Garcia-Feijoo L,Beyer S,Johnson R R.Risk changes around calls of convertible bonds.Financial Review,2010,45(3):541-556.
[11]Nigbur T.Calls of convertible debt securities:No bad news at all.Financial Markets&Portfolio Management,2015,29(1):61-79.
[12]盛伟华,张永力.中国可转换公司债券赎回公告效应研究.金融研究,2010,55(3):112-129.(Sheng W H,Zhang Y L.The study of the redemption announcement effect of convertible corporate bonds in China.Journal of Financial Research,2010,55(3):112-129.
[13]王梦然,于瑾.上市公司提前强制性赎回可转债对股价的影响.中南财经政法大学学报,2010,(4):106-111.(Wang M R,Yu J.The effect of listed companies convertible bond redemption in advance on underlying stock price.Journal of Zhongnan University of Economics and Law,2010,(4):106-111.)
[14]王海燕,顾荣宝.中国可转换公司债券赎回公告效应的实证研究.安徽大学学报(自然科学版),2011,35(4):26-30.(Wang H Y,Gu R B.The empirical research on the announcement effect of redemption of convertible bonds.Journal of Anhui University,2011,35(4):26-30.)
[15]Xie C,Guo L J,Luo C Q.A study on the price effect of convertible bonds redemption.Proceedings of the 19th International Conference on Industrial Engineering and Engineering Management,Changsha,2012,1829-1832.
[16]王娟,胡敏杰.可转换债券强制赎回对股价的影响.会计之友,2012,(12):104-108.(Wang J,Hu M J.The effect of mandatory redemption on convertible bonds on stock prices.Friends of Accounting,2012,(12):104-108.)
[17]黄飞鸣.融资融券标的股调整的股价效应研究——以深市A股为例.当代财经,2018,(4):45-53.(Huang F M.A study of the share-price effect of underlying stocks in securities margin trading:A case of Shenzhen A-Stock.Contemporary Finance&Economics,2018,(4):45-53.)
[18]陈淡泞.中国上市公司绿色债券发行的股价效应.山西财经大学学报,2018,(S2):35-38.(Chen D N.Stock price effect of green bond issuance of listed companies in China.Journal of Shanxi University of Finance and Economics,2018,(S2):35-38.)
[19]程志富.公司提前赎回可转债的行为是否可预测?——基于平价期权模型的分析.系统工程,2018,36(4):21-26.(Cheng Z F.Are companies'behaviors of calling convertible bonds early predicable?—The analysis based on model of at-the-money option.Systems Engineering,2018,36(4):21-26.)
[20]熊熊,梁娟,张维,等.T+0交易制度对股票市场质量的影响分析.系统科学与数学,2016,36(5):683-697.(Xiong X,Liang J,Zhang W,et al.Analyzing the impact of T+0 the trading mechanism on stock market quality.Journal of Systems Science and Mathematical Sciences,2016,36(5):683-697.)
[21]马福玉.基于因子分析的畜产品消费需求量影响因素研究.系统科学与数学,2013,33(1):110-117.(Ma F Y.Study on factors influencing demand for animal products consumption based on factor analysis.Journal of Systems Science and Mathematical Sciences,2013,33(1):110-117.)
[22]黄德龙,文凤华,杨晓光.投资者情绪指数及中国股市的实证.系统科学与数学,2009,29(1):1-13.(Huang D L,Wen F H,Yang X G.Investor sentiment index and empirical evidence from China's stock market.Journal of Systems Science and Mathematical Sciences,2009,29(1):1-13.)
[23]闵峰,黄创霞,文凤华,等.宏观经济、投资者情绪和股票市场收益.系统科学与数学,2017,37(2):370-382.(Min F,Huang C X,Wen F H,et al.Investor sentiment,macro economy and stock market return.Journal of Systems Science and Mathematical Sciences,2017,37(2):370-382.)
[24]吉小东,要亚玲.风险条件下基于收益视角的最优投资决策研究.系统科学与数学,2015,35(6):707-716.(Ji X D,Yao Y L.The optimal portfolio decision under risk based on return.Journal of Systems Science and Mathematical Sciences, 2015,35(6):707-716.)
[25]王治,张新华.负债代理冲突下企业投融资互动行为的实物期权分析.系统科学与数学,2012,32(1):79-89.(Wang Z,Zhang X H.Real option analysis on investment and financing interactive behavior of corporations under agency conflict of debt.Journal of Systems Science and Mathematical Sciences,2012,32(1):79-89.)
[26]阮禹铭,刘志东,肖哲.中国上市公司过度融资对公司创新影响——基于募投资金变更数据的研究.系统科学与数学,2018,38(3):379-394.(Ruan Y M,Liu Z D,Xiao Z.The effect of Chinese listed companies'over-financing on corporate innovation based on the alteration of financing capital.Journal of Systems Science and Mathematical Sciences,2018,38(3):379-394.)
[27]贾小玫,段雯瑾,夏冷.权衡理论和优序融资理论模型与实证.统计与决策,2017,(11):173-176.(Jia X M,Duan W J,Xia L.Balance theory and optimal order financing theory model and empirical study.Statistics&Decision,2017,(11):173-176.)
[28]姚明安.大股东持股特性与股权融资偏好——对中国公司股权融资偏好的解释.财会通讯,2017,(24):54-57,61,129.(Yao M A.The controlling shareholders'holding characteristics and equity financing preferences.Communication of Finance and Accounting,2017,(24):54-57,61,129.)
[29]张涤新,眭以宁.深圳股票市场的日内流动性研究.系统科学与数学,2015,35(12):1487-1500.(Zhang D X,Sui Y N.An analysis of intraday patterns in bid-ask spreads:Evidence from the Shenzhen stock exchange.Journal of Systems Science and Mathematical Sciences,2015,35(12):1487-1500.)
[2]彭海伟,卢祖帝.金融系统的非线性分析:交易量对股价波动的非线性影响.系统科学与数学,2009,29(11):1527-1541.(Peng H W,Lu Z D.Nonlinear analysis of financial systems:Exploring the nonlinear impact ofthe trading volume on the price volatility.Journal of Systems Science and Mathematical Sciences,2009,29(11):1527-1541.)
[3]Mikkelson W H.Convertible calls and security returns.Journal of Financial Economics, 1981,9(3):237-264.
[4]Stein J C.Convertible bonds as backdoor equity financing.Journal of Financial Economics,1992,32(1):3-21.
[5]Datta S M,Iskandar-Datta,Raman K.Convertible bond calls:Resolution of information content puzzle.Journal of Financial Intermediation,2003,12(3):255-276.
[6]Bechmann K L.Short sales,price pressure,and the stock price response to convertible bond calls.Journal of Financial Markets,2004,7(4):427-451.
[7]Grundy B D,Veld C,Verwijmeren P,et al.Why are conversion-forcing call announcements associated with negative wealth effects?.Journal of Corporate Finance,2014,24:149-157.
[8]Bechmann K L,Lunde A,Zebedee A A.In-and out-of-the-money convertible bond calls:Signaling or price pressure?.Journal of Corporate Finance,2014,24:135-148.
[9]Brick I E,Palmon O,Patro D K.Stock price response to calls of convertible bonds:Still a puzzle?.Financial Management,2007,36(2):1-21.
[10]Garcia-Feijoo L,Beyer S,Johnson R R.Risk changes around calls of convertible bonds.Financial Review,2010,45(3):541-556.
[11]Nigbur T.Calls of convertible debt securities:No bad news at all.Financial Markets&Portfolio Management,2015,29(1):61-79.
[12]盛伟华,张永力.中国可转换公司债券赎回公告效应研究.金融研究,2010,55(3):112-129.(Sheng W H,Zhang Y L.The study of the redemption announcement effect of convertible corporate bonds in China.Journal of Financial Research,2010,55(3):112-129.
[13]王梦然,于瑾.上市公司提前强制性赎回可转债对股价的影响.中南财经政法大学学报,2010,(4):106-111.(Wang M R,Yu J.The effect of listed companies convertible bond redemption in advance on underlying stock price.Journal of Zhongnan University of Economics and Law,2010,(4):106-111.)
[14]王海燕,顾荣宝.中国可转换公司债券赎回公告效应的实证研究.安徽大学学报(自然科学版),2011,35(4):26-30.(Wang H Y,Gu R B.The empirical research on the announcement effect of redemption of convertible bonds.Journal of Anhui University,2011,35(4):26-30.)
[15]Xie C,Guo L J,Luo C Q.A study on the price effect of convertible bonds redemption.Proceedings of the 19th International Conference on Industrial Engineering and Engineering Management,Changsha,2012,1829-1832.
[16]王娟,胡敏杰.可转换债券强制赎回对股价的影响.会计之友,2012,(12):104-108.(Wang J,Hu M J.The effect of mandatory redemption on convertible bonds on stock prices.Friends of Accounting,2012,(12):104-108.)
[17]黄飞鸣.融资融券标的股调整的股价效应研究——以深市A股为例.当代财经,2018,(4):45-53.(Huang F M.A study of the share-price effect of underlying stocks in securities margin trading:A case of Shenzhen A-Stock.Contemporary Finance&Economics,2018,(4):45-53.)
[18]陈淡泞.中国上市公司绿色债券发行的股价效应.山西财经大学学报,2018,(S2):35-38.(Chen D N.Stock price effect of green bond issuance of listed companies in China.Journal of Shanxi University of Finance and Economics,2018,(S2):35-38.)
[19]程志富.公司提前赎回可转债的行为是否可预测?——基于平价期权模型的分析.系统工程,2018,36(4):21-26.(Cheng Z F.Are companies'behaviors of calling convertible bonds early predicable?—The analysis based on model of at-the-money option.Systems Engineering,2018,36(4):21-26.)
[20]熊熊,梁娟,张维,等.T+0交易制度对股票市场质量的影响分析.系统科学与数学,2016,36(5):683-697.(Xiong X,Liang J,Zhang W,et al.Analyzing the impact of T+0 the trading mechanism on stock market quality.Journal of Systems Science and Mathematical Sciences,2016,36(5):683-697.)
[21]马福玉.基于因子分析的畜产品消费需求量影响因素研究.系统科学与数学,2013,33(1):110-117.(Ma F Y.Study on factors influencing demand for animal products consumption based on factor analysis.Journal of Systems Science and Mathematical Sciences,2013,33(1):110-117.)
[22]黄德龙,文凤华,杨晓光.投资者情绪指数及中国股市的实证.系统科学与数学,2009,29(1):1-13.(Huang D L,Wen F H,Yang X G.Investor sentiment index and empirical evidence from China's stock market.Journal of Systems Science and Mathematical Sciences,2009,29(1):1-13.)
[23]闵峰,黄创霞,文凤华,等.宏观经济、投资者情绪和股票市场收益.系统科学与数学,2017,37(2):370-382.(Min F,Huang C X,Wen F H,et al.Investor sentiment,macro economy and stock market return.Journal of Systems Science and Mathematical Sciences,2017,37(2):370-382.)
[24]吉小东,要亚玲.风险条件下基于收益视角的最优投资决策研究.系统科学与数学,2015,35(6):707-716.(Ji X D,Yao Y L.The optimal portfolio decision under risk based on return.Journal of Systems Science and Mathematical Sciences, 2015,35(6):707-716.)
[25]王治,张新华.负债代理冲突下企业投融资互动行为的实物期权分析.系统科学与数学,2012,32(1):79-89.(Wang Z,Zhang X H.Real option analysis on investment and financing interactive behavior of corporations under agency conflict of debt.Journal of Systems Science and Mathematical Sciences,2012,32(1):79-89.)
[26]阮禹铭,刘志东,肖哲.中国上市公司过度融资对公司创新影响——基于募投资金变更数据的研究.系统科学与数学,2018,38(3):379-394.(Ruan Y M,Liu Z D,Xiao Z.The effect of Chinese listed companies'over-financing on corporate innovation based on the alteration of financing capital.Journal of Systems Science and Mathematical Sciences,2018,38(3):379-394.)
[27]贾小玫,段雯瑾,夏冷.权衡理论和优序融资理论模型与实证.统计与决策,2017,(11):173-176.(Jia X M,Duan W J,Xia L.Balance theory and optimal order financing theory model and empirical study.Statistics&Decision,2017,(11):173-176.)
[28]姚明安.大股东持股特性与股权融资偏好——对中国公司股权融资偏好的解释.财会通讯,2017,(24):54-57,61,129.(Yao M A.The controlling shareholders'holding characteristics and equity financing preferences.Communication of Finance and Accounting,2017,(24):54-57,61,129.)
[29]张涤新,眭以宁.深圳股票市场的日内流动性研究.系统科学与数学,2015,35(12):1487-1500.(Zhang D X,Sui Y N.An analysis of intraday patterns in bid-ask spreads:Evidence from the Shenzhen stock exchange.Journal of Systems Science and Mathematical Sciences,2015,35(12):1487-1500.)