摘要
论文以中国证券市场上可转债融资为研究对象,在梳理国外可转债融资理论假说的基础上,讨论我国可转债融资对标的股票价格的影响,并以之验证我国上市公司可转债发行的动机。
分析认为中国特有的行政审核制度使得可转债的发行主体、产品设计及投资者主体与海外市场存在显著的差异。在发行主体上,国内的发行人主要处于传统的制造业；在发行方式上,严格的审批制度导致上市公司发行可转债困难、发行流程耗时,往往延误企业的市场时机；在产品设计上,可转债的条款设计趋同现象明显,利率市场化程度差。中国的法规设计更注重可转债的“债性”,即可转债作为债券的可偿还性,但实践中上市公司将可转债融资视为一种延迟的股权性融资,这导致了可转债融资的股价效应与其它股权再融资方式存在很大的区别。论文通过以下几个层次对中国市场可转债融资的股价效应进行了详细的实证研究：
(1)讨论了董事会拟发可转债公告导致的股价效应。总体来说市场对可转债融资消息呈显著负向的反应。公司规模、债务资本比率及相对发行规模均与股价效应不存在显著的相关关系,因此不支持信号理论的解释。而稀释指标则与股价效应呈显著的负相关,采用压力假说可以比较好的解释股价的负效应。董事会预案引起的股价效应更多是传递上市公司对资金的渴求,这与其它再融资方式传递的信息是一致的。
(2)讨论了并证实可转债发行引致的股价效应为显著的正效应。这与国外的市场存在很大的差别,中国市场显然对可转债发行持欢迎的态度。股价正效应与公司规模、控制人类型及稀释性指标存在显著的相关关系,这表明价格压力理论对股价效应产生负面影响,可转债发行事件只能传递公司规模的消息,而不能传递公司价值信号。可转债产品的债性股性与股价效应有显著的相关关系,可转债的股性越大股价效应也越大。从中国市场可转债偏股性的特点看,可转债融资其实是上市公司进行延迟股权再融资的一种方式。
(3)对可转债发行后的长期股价效应进行了研究。研究认为可转债发行后2年,股价涨跌与可比公司基本保持一致,但跑赢市场指数。因此,累计超额收益产生的原因主要是行业因素及公司规模因素,然后才是可转债发行导致公司业绩释放等个体因素。
基于纵向时间维度,从盈利性指标、增长性指标及财务稳健性等反映公司财务绩效的指标看,可转债发行后公司的财务绩效呈现下降的趋势。但是,基于横向的、与可比公司的财务绩效比较,除公司的盈利性指标下降外,盈利增长性指标和财务稳健性指标在可转债的发行后2年内有所提高,这表明可转债融资为公司的运营规模提供有力的支持,这种增长更多表现为公司规模的增长,即公司规模的增长要优先于利润的增长。研究同时表明,发行可转债公司的长期累计超额收益与公司盈利性增长、股票股利分配及可转债稀释程度存在显著的相关关系。由于可转债发行后,公司总体盈利呈现下降趋势,因此上市公司会通过增加股票股利的派发来刺激股票价格的上涨,从而弥补因业绩下滑及可转债稀释效应造成的股价下跌。
从公司发行可转债公告日及发行后的长期股价效应看,我国市场上对可转债融资持正向的态度。这种正向的股价效应是基于可转债偏股权性设计、公司规模增长及大比例派送股票股利行为而产生的股票上涨预期所致。
本文得出的诸多结论无论对于我国上市公司还是投资者而言,都具有重要的意义。从监管层的角度看,如何利用可转债这个金融产品更好地为我国经济增长转型服务,是必须重点考虑的问题。放松可转债发行的管制、增加市场化‘程度及最终推出私募可转债应是将来改革的方向。
The object of the study is the convertible bonds (CBs) financing in Chinese securities market. Based on the summary of the foreign hypothesis about CBs, we research the stock price effect caused by the issue of CBs and verify the motive of the CBs issue in China.
Because of the special Government Regulation in China, there are significant differences in the issuer, product design and the investor of CBs. The domestic issuers are in the traditional manufacturing. Strict approval system makes the issue of CBs become difficulty, time-consuming and often delay the timing of the market. The terms of the convertible bonds designed a very little difference and interest rate and the interest rate marketization degree is low. China's laws and regulations play more attention to the reimbursable of CBs. But in practice, CBs is regarded as a kind of delay equity financing by listed companies, so the stock price effect by CBs are different with oversea market. By the following aspects, the paper makes some empirical researches in detail about price effect of the convertible bond financing in China:
(1) We analyze abnormal returns caused by the board announcement of the CBs issue. Studies show that the underlying stocks have significantly negative CAR after announcement date. There is no significant correlation between company size, the debt-to-capitalization ratio and relative issue size and stock price effects. The price effect sends the message of the company thirst for capital which is same in other Mode refinancing
(2) The study shows that price effect caused by the issue of CBs is significant positive. Chinese market appears to have a favorable attitude toward CBs, which are difference in foreign market. Using OLS we found positive effects can be explained by the company size, control person types and the equity dilution index. It means the price pressure theory still affect stock price and the price effect can only transmit the company the size of the message, but cannot transfer company value signal. The stock price effect also has a significant relationship with the degree of CBs' equity-like. The CBs are more equity-like and higher of the price effect. From the viewpoint of the degree of CBs' equity-like, CBs financing is a way of delayed equity financing.
(3) We study the two years long-term price effect after the issuance of the CBs. It suggests that the stocks returns are same as comparable company, but beat the market index. Therefore, the main reasons of CAR are the industry factor and the size of the company, and then is the company performance individual caused by the CBs insurance.
Based on the vertical dimension of time, from profitability index, growth and financial soundness indicators which reflect the financial performance indicators, the company financial performance showed a downward trend after CBs insurance. Except the profitability index decline, growth and financial soundness indicators were growth. It suggests that the CBs provide strong support for the scale of the company's operations and the growth of the company size was give priority to the profit growth. This long-run stock price effect has significant correlation with earnings growth, the stock dividend and convertible bonds. Because the profit was a downward trend, Companies stimulate the stock price through the increase of stock dividend to compensate for the decline in performance and the dilution effect of CBs.
China market held a positive attitude on the CBs financing from the view of the long-term stock price effect after insurance of CBs. Positive price effect is based on the investor expect of stock rises which relate to equity-like design of CBs, the growth in company size and a large scale delivery stock behavior.
This paper draws many conclusions which advantage to the investors and the public companies. From a regulatory perspective, how to make good use of CBs for China's economic growth when it in transition? Relax the control on the CBs issue, increasing the degree of market and eventually launched the private placement of convertible bonds may be the future direction of reform.
引文
① 埃兹.内尔肯编著,齐寅峰、黄福广译.《混合金融工具手册》,2002,机械工业出版社：2.
① 盛文杰.《究竟是谁暗算了招行?忆招商银行百亿转债风波》,第一财经日报,2007-5-14。
① 股改过程中,可转债的持有者是不能获得股改对价的。同时股改事件对股价的影响要大于任何事件形成的长期影响。此外在股改中,当公司进行选择送股方式支付股改对价时,证券交易所是不对其进行除权处理的,如果不进行恰当的处理,计算异常收益会产生巨大的误差。
① 见2007.03.28上海医药(600849)临时公告：关于控股子公司委托理财资金清偿事项的公告。
② 见《中小企业债券融资：想说爱你不容易》.中国会计报.2010年3月5日。
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