可转换债券融资优势分析
摘要
可转换债券(Convertible Bonds)是介于股票和和债券之间的，兼有债务性与期权性的中长期混合金融工具。它属于公司债券的范畴，赋予投资者一定的权利，即在可转换债券发行日和到期日间，投资者可以根据个人意愿，选择持有可转换债券至到期日以获得稳定的利息收益，或在其转换期内将其转换为公司股票。
本文对可转换债券融资优势的分析，是从市场准入、融资时机、利息成本、资本结构动态优化、税盾效应、稀释效应、收益、风险角度进行的。
第二章，首先从不同融资方式市场准入法律规定的角度，然后从融资时机、利息成本、资本结构的动态优化、税盾效应、稀释效应角度对可转换债券融资进行定性分析，得出了一些可转换债券融资相对于债券、股权融资所具有的普遍优势。但依有效市场理论，不存在具有普遍优势的融资方式，即每种融资方式都有自己特有的优势。对于不同公司、不同的发展阶段有不同的情况，但就个别公司来说，具有优势的融资方式是存在的。本文从最优资本结构的理论出发，进行理论分析，得出了可转换债券优化资本结构的前提条件：企业经营业绩良好、成长速度快、有股本扩张的需要。
第三章，从收益和风险两方面对可转换债券的融资优势进行实证分析。首先以包钢股份(符合可转换债券优化资本的前提条件)为例，以其财务数据作为基础，利用税盾效应和稀释效应的工具对其进行分析比较。在融资方式不影响融资规模、融资项目的前提假设下，得出如下结论：与股权和债券融资相比，可转换债券获得了较高的每股收益。我们考察一个项目或者一个融资方式，要从收益和风险两方面进行考察。我们首先利用财务杠杆对三种融资方式进行比较，发现采用可转换债券融资的财务风险明显要低于债券融资，稍高于股权融资。国内外研究表明，债券、股票的融资公告，会引起负的股价效应，即股票价格会向下波动。我们对可转换债券公告的股价效应进行研究，希望得出比较优势。英美市场对可转换债券的融资公告有显著的负股价效应，而日本、荷兰则表现出正的股价效应。本文以我国在2002年8月到2006年12月间发行可转换债券的上市公司为样本，使用累计超额收益分析法对其进行实证研究发现：我国的可转换债券的股价效应显著为零。
A convertible bond is a mid-long term financial instrument which is in the middle of stock and bonds, and possesses natures of both debt and options. It is in the category of corporate bonds, and promises certain rights to investors. During the period from release date to expiration date, investors can choose to hold interest income until the expiration or convert it into corporate stock in conversion period.
In the analysis of the financing advantages of convertible bonds, this article chooses following aspects: market access, interest cost, financing time, capital structure optimization, tax shield effect, dilution effect, earnings per share, and relevant risk.
In Chapter 2, the writer conducts a qualitative analysis from several angles such as market access, interest cost, financing time, capital structure optimization, tax shield effect and dilution effect, and finds some common advantages of convertible bonds compared to stock and bonds. However, according to effective market theory, a way of financing which possesses all advantages does not exist; that is to say, every financing way has its special strength. For different companies and different develop stages, this is different conditions. But for a special.company, an advantageous financing way is likely to exist. This article begins from capital structure optimization, conducts a series of theoretical analysis, getting the prerequisite of convertible bonds capital structure optimization: good operation performance, quick growth rate, and the necessity of equity expansion.
In Chapter 3, the writer conducts an empirical analysis on the financing advantages of convertible bonds from the aspects of return and risk. At first, the writer sets Baotou Irons & Steel Co. as an example, basing on its financial data, using tax shield effect and dilution effect to conduct a comparative analysis. Under the premise that financing way does not influence financing scale and financing projects, the writer arrives at the conclusion that compared with stock and bonds financing, convertible bonds gets high earnings per share. When evaluating a financing project of financing way, not only its return, but also its risk matters. This article uses financial leverage to compare three financing methods and finds that convertible bond's financial risk is conspicuously lower than that of bonds-finance, and a little higher than that of stock-finance. Both domestic and foreign researches indicate that the announcements of bond-finance and stock-finance will have negative stock-price effect; that is to say that the stock price will go down. This article hopes to get a comparative advantage through the study on the stock-price effect of convertible bonds. The result is that English and American markets have negative effect for financing announcement of convertible bonds, while Japan and Netherlands have positive effect. This article selects corporate that issued convertible bonds between August 2002 and December 2006 as a sample, conducts an empirical study and finds that convertible bonds in China's market has no stock price effect substantially.
本文对可转换债券融资优势的分析，是从市场准入、融资时机、利息成本、资本结构动态优化、税盾效应、稀释效应、收益、风险角度进行的。
第二章，首先从不同融资方式市场准入法律规定的角度，然后从融资时机、利息成本、资本结构的动态优化、税盾效应、稀释效应角度对可转换债券融资进行定性分析，得出了一些可转换债券融资相对于债券、股权融资所具有的普遍优势。但依有效市场理论，不存在具有普遍优势的融资方式，即每种融资方式都有自己特有的优势。对于不同公司、不同的发展阶段有不同的情况，但就个别公司来说，具有优势的融资方式是存在的。本文从最优资本结构的理论出发，进行理论分析，得出了可转换债券优化资本结构的前提条件：企业经营业绩良好、成长速度快、有股本扩张的需要。
第三章，从收益和风险两方面对可转换债券的融资优势进行实证分析。首先以包钢股份(符合可转换债券优化资本的前提条件)为例，以其财务数据作为基础，利用税盾效应和稀释效应的工具对其进行分析比较。在融资方式不影响融资规模、融资项目的前提假设下，得出如下结论：与股权和债券融资相比，可转换债券获得了较高的每股收益。我们考察一个项目或者一个融资方式，要从收益和风险两方面进行考察。我们首先利用财务杠杆对三种融资方式进行比较，发现采用可转换债券融资的财务风险明显要低于债券融资，稍高于股权融资。国内外研究表明，债券、股票的融资公告，会引起负的股价效应，即股票价格会向下波动。我们对可转换债券公告的股价效应进行研究，希望得出比较优势。英美市场对可转换债券的融资公告有显著的负股价效应，而日本、荷兰则表现出正的股价效应。本文以我国在2002年8月到2006年12月间发行可转换债券的上市公司为样本，使用累计超额收益分析法对其进行实证研究发现：我国的可转换债券的股价效应显著为零。
A convertible bond is a mid-long term financial instrument which is in the middle of stock and bonds, and possesses natures of both debt and options. It is in the category of corporate bonds, and promises certain rights to investors. During the period from release date to expiration date, investors can choose to hold interest income until the expiration or convert it into corporate stock in conversion period.
In the analysis of the financing advantages of convertible bonds, this article chooses following aspects: market access, interest cost, financing time, capital structure optimization, tax shield effect, dilution effect, earnings per share, and relevant risk.
In Chapter 2, the writer conducts a qualitative analysis from several angles such as market access, interest cost, financing time, capital structure optimization, tax shield effect and dilution effect, and finds some common advantages of convertible bonds compared to stock and bonds. However, according to effective market theory, a way of financing which possesses all advantages does not exist; that is to say, every financing way has its special strength. For different companies and different develop stages, this is different conditions. But for a special.company, an advantageous financing way is likely to exist. This article begins from capital structure optimization, conducts a series of theoretical analysis, getting the prerequisite of convertible bonds capital structure optimization: good operation performance, quick growth rate, and the necessity of equity expansion.
In Chapter 3, the writer conducts an empirical analysis on the financing advantages of convertible bonds from the aspects of return and risk. At first, the writer sets Baotou Irons & Steel Co. as an example, basing on its financial data, using tax shield effect and dilution effect to conduct a comparative analysis. Under the premise that financing way does not influence financing scale and financing projects, the writer arrives at the conclusion that compared with stock and bonds financing, convertible bonds gets high earnings per share. When evaluating a financing project of financing way, not only its return, but also its risk matters. This article uses financial leverage to compare three financing methods and finds that convertible bond's financial risk is conspicuously lower than that of bonds-finance, and a little higher than that of stock-finance. Both domestic and foreign researches indicate that the announcements of bond-finance and stock-finance will have negative stock-price effect; that is to say that the stock price will go down. This article hopes to get a comparative advantage through the study on the stock-price effect of convertible bonds. The result is that English and American markets have negative effect for financing announcement of convertible bonds, while Japan and Netherlands have positive effect. This article selects corporate that issued convertible bonds between August 2002 and December 2006 as a sample, conducts an empirical study and finds that convertible bonds in China's market has no stock price effect substantially.
引文
[1] 杨如彦，魏刚，刘孝红．《可转换债券及其绩效评价》[M]．北京：中国人民出版社，2002，7
[2] 李红霞．《融资结构与公司治理》[M]．北京：立信会计出版社，2004，6。
[3] David Escott, John D.Martin, J.William Petty, Arthur J.Keown, 金马译．《现代财务管理基础》[M]．北京：清华大学出版社，2004，9
[4] 李燕妮，杨贵宾．《我国上士公司再融资的实证分析》[J]．中国金融教学与研究，2005，3
[5] 栗煜霞，李宏贵．《上市公司季度盈余信息含量的实证研究》[J]，证券市场导报，2004，9
[6] 周丽，任静．《我国可转换债券的风险管理探析》[J]．(2006年管理论丛与教育研究专刊》，2006
[7] 周秀娟，霍学喜．《浅析可转换债券的投资风险、风险防范和投资战略》[J]．《特区经济》，2006，11
[8] 王平，文怀远．《上市公司选择可转换债券融资的原因分析》[J]．《新理财》
[9] 胡未熹、张凌，《上市公司负债结构与财务治理效应》[J]，金融与经济，2006，8
[10] 张建森，《中国股票市场配股事件研究》[J]，国研网，2001
[11] 夏伟芳，张维然，《我国上市公司增发公告股价效应研究》[J]，东经济管理，2003，6
[12] 刘力，王汀汀，王震，《中国A股上市公司增发公告的负价格效应及其二元结构解释》[J]，金融研究，2003，8
[13] 刘成彦，王其文，《中国上市公司可转换债券发行的公告效应研究》[J]，经济科学，2005，4
[14] 张全军，《上市公司增发新股的股价效应分析》[J]，山东财政学院学报，2004，4
[15] 魏成龙，杨树林，《我国上市公司的再融资行为分析》[J]，河南金融管理干部学院学报，2004，2
[16] 冯曰欣，《企业融资风险分析》[J]，山东财政学院学报，2003，3
[17] 赵炜，《上市公司再融资方式的比较与选择》[J]，现代财经，2006，6
[18] 孙兰兰，《上市公司融资方式比较研究》[J]，金融投资，2005，8
[19] 孙菁华，《上市公司融资方式及其选择理论的比较研究》[J]，广东教育学报，2005，8
[20] 胡乃武，阎衍，张海峰，《增发融资的股价效应与市场前景》[J]，金融研究，2005，5
[21] 陆满平，《上市公司增发新股的国际比较与借鉴》[J]，宏观经济研究，2002，5
[22] Eckbo and masulis, "Seasoned equity offerings: A survey", Handbook of operations research and management science: finance, North-Holland, 1995
[23] Abhyankar A, Dunning A.Weaith "effects of convertible bond and convertible preference share issues: an empirical analysis of the UK market". Journal of Banking & Finance,1999,23:1043～1065.
[24] Kang & Stulz, 1996, "How Different is Japanese Corporate Finance?An Investigation of the Information Content of New Security Issues.", The Review of Financial Studies, Vol. 9, No.1, 109-139.
[25] Frans de Roon C Veld. Announcement effects of convertible bond loans and warrant-bond loans: An empirical analysis for the Dutch market[J]. Journal of Banking & Finance. 1998, 22:1481～1506.
[26] 吴晓求，《中国上市公司资本结构与公司治理》[J]，中国人民大学出版社，2003，4
[27] 孙湘，闫岩，《可转换债券的融资优势》[J]，http://www.cnki.net
[28] Linda Goldberg and Deborab Leonard, "What moves sovereign bond markets? The effects of economic news on U.S. and German yields", volume9, number 9-september 2003, federal reserve bank of New York
[2] 李红霞．《融资结构与公司治理》[M]．北京：立信会计出版社，2004，6。
[3] David Escott, John D.Martin, J.William Petty, Arthur J.Keown, 金马译．《现代财务管理基础》[M]．北京：清华大学出版社，2004，9
[4] 李燕妮，杨贵宾．《我国上士公司再融资的实证分析》[J]．中国金融教学与研究，2005，3
[5] 栗煜霞，李宏贵．《上市公司季度盈余信息含量的实证研究》[J]，证券市场导报，2004，9
[6] 周丽，任静．《我国可转换债券的风险管理探析》[J]．(2006年管理论丛与教育研究专刊》，2006
[7] 周秀娟，霍学喜．《浅析可转换债券的投资风险、风险防范和投资战略》[J]．《特区经济》，2006，11
[8] 王平，文怀远．《上市公司选择可转换债券融资的原因分析》[J]．《新理财》
[9] 胡未熹、张凌，《上市公司负债结构与财务治理效应》[J]，金融与经济，2006，8
[10] 张建森，《中国股票市场配股事件研究》[J]，国研网，2001
[11] 夏伟芳，张维然，《我国上市公司增发公告股价效应研究》[J]，东经济管理，2003，6
[12] 刘力，王汀汀，王震，《中国A股上市公司增发公告的负价格效应及其二元结构解释》[J]，金融研究，2003，8
[13] 刘成彦，王其文，《中国上市公司可转换债券发行的公告效应研究》[J]，经济科学，2005，4
[14] 张全军，《上市公司增发新股的股价效应分析》[J]，山东财政学院学报，2004，4
[15] 魏成龙，杨树林，《我国上市公司的再融资行为分析》[J]，河南金融管理干部学院学报，2004，2
[16] 冯曰欣，《企业融资风险分析》[J]，山东财政学院学报，2003，3
[17] 赵炜，《上市公司再融资方式的比较与选择》[J]，现代财经，2006，6
[18] 孙兰兰，《上市公司融资方式比较研究》[J]，金融投资，2005，8
[19] 孙菁华，《上市公司融资方式及其选择理论的比较研究》[J]，广东教育学报，2005，8
[20] 胡乃武，阎衍，张海峰，《增发融资的股价效应与市场前景》[J]，金融研究，2005，5
[21] 陆满平，《上市公司增发新股的国际比较与借鉴》[J]，宏观经济研究，2002，5
[22] Eckbo and masulis, "Seasoned equity offerings: A survey", Handbook of operations research and management science: finance, North-Holland, 1995
[23] Abhyankar A, Dunning A.Weaith "effects of convertible bond and convertible preference share issues: an empirical analysis of the UK market". Journal of Banking & Finance,1999,23:1043～1065.
[24] Kang & Stulz, 1996, "How Different is Japanese Corporate Finance?An Investigation of the Information Content of New Security Issues.", The Review of Financial Studies, Vol. 9, No.1, 109-139.
[25] Frans de Roon C Veld. Announcement effects of convertible bond loans and warrant-bond loans: An empirical analysis for the Dutch market[J]. Journal of Banking & Finance. 1998, 22:1481～1506.
[26] 吴晓求，《中国上市公司资本结构与公司治理》[J]，中国人民大学出版社，2003，4
[27] 孙湘，闫岩，《可转换债券的融资优势》[J]，http://www.cnki.net
[28] Linda Goldberg and Deborab Leonard, "What moves sovereign bond markets? The effects of economic news on U.S. and German yields", volume9, number 9-september 2003, federal reserve bank of New York