可转债投资价值凸性与财富效应
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摘要
通过事件研究法计算可转债发行的超常收益,对可转债投资价值与财富效应之间的关系进行回归分析。研究表明,可转债的投资价值与财富效应显著正相关。另外,可转债股性凸显会引起财富效应增速上升,债性凸显导致财富效应增速下降。
This paper uses factor analysis method,designs Z value, quantifies the value of convertible bonds,calculates the abnormal returns of convertible bonds through the event study method, and finally returns the regression analysis on the relationship between the value of the convertible bond investment and the wealth effect. The study finds that the investment value of convertible bonds has a significant positive correlation with the wealth effect.In addition, the value of the convertible bond is convexity through the mathematical derivation.The conclusion is that the growth of the convertibility will lead to the increase of the wealth effect, while the grouth of the indebtedness leads to the decline of the wealth effect.
This paper uses factor analysis method,designs Z value, quantifies the value of convertible bonds,calculates the abnormal returns of convertible bonds through the event study method, and finally returns the regression analysis on the relationship between the value of the convertible bond investment and the wealth effect. The study finds that the investment value of convertible bonds has a significant positive correlation with the wealth effect.In addition, the value of the convertible bond is convexity through the mathematical derivation.The conclusion is that the growth of the convertibility will lead to the increase of the wealth effect, while the grouth of the indebtedness leads to the decline of the wealth effect.
引文
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[2]LAKONISHOK J, VISHNY S R W.Contrarian investment,extrapolation,and risk[J].The Journal of Finance, 1994,49(5):1541-1578.
[3]LANDSMAN W.An empirical investigation of pension fund property rights[J].Accounting Review, 1986,61(4):662-691.
[4]CHEN C J P,CHEN S,SU X.Is accounting information value-relevant in the emerging Chinese stock market?[J].Journal of International Ac-counting Auditing&Taxation, 2001,10(1):1-22.
[5]赵宇龙.会计盈余披露的信息含量:来自上海股市的经验证据[J].经济研究,1998(7):41-49.
[6]陆宇峰.净资产倍率和市盈率的投资决策有用性[M].上海:上海三联书店,2000.
[7]于海燕,黄一鸣.会计信息对上海证券市场股票价格影响作用的实证分析[J].商业研究,2005(4):134-138.
[8]REILLY F K,BROWN K C.Investment analysis and portfolio management 6~(th)[M].Boston:Cengage Learning,2000.
[9]王铁锋.中国可转换公司债券投资价值研究[J].财贸经济,2003(8):60-64.
[10]马雪金.浅析我国可转换债券的投资价值[J].财会月刊,2006(26):17-18.
[11] BREALEY R, LELAND H E, PYLE D H. Informational asymmetries, financial structure, and financial intermediation[J]. The Journal of Finance, 1977,32(2):371-387.
[12]MILLER M H,ROCK K.Dividend policy under asymmetric information[J].The Journal of Finance, 1985,40(4):1031-1051.
[13]MYERS S C,MAJLUF N S.Stock issues and investment policy when firms have information that investors do not have[Z].NBER Working paper No.wo884,1984.
[14]JAMES W,STEIN C.Estimation with quadratic loss[M]. New York:Springer, 1992.
[15]刘娥平.中国上市公司可转换债券发行公告财富效应的实证研究[J].金融研究,2005(7):45-56.
[16]宋芳秀,范瀚予.中国可转债的发行公告效应及影响因素——基于预案公告和发行公告的研究[J].经济与管理研究,2014(11):41-49.
[17]李鹰,徐璇.浅谈我国可转换债券的债性和股性[J].市场周刊:理论研究,2006(6):107-108.
[18]文海涛,倪晓萍.我国上市公司财务指标与股价相关性实证分析[J].数量经济技术经济研究,2003(11):118-122.
[19]喻平,张应华.上市公司财务指标与股价波动关联性研究[J].财会通讯,2011(22):39-40.