代理成本视角下的可转换债券融资市场反应研究

An Empirical Research on the Market Reaction to Convertible Bonds Offering from the Perspective of Agency Costs

通过考察2001年-2006年期间157家公告发行可转换债券和459家公告发行"纯"股票的中国上市公司的"融资公告效应",本文发现,尽管发行可转换债券的市场反应好于普通股票,但总的说来,市场对可转换债券融资公告会做出负面反应,且价格下降的幅度与企业的融资规模正相关,与企业的资产负债率负相关。进一步的研究发现市场对未分配现金流量少且增长机会高的公司的市场反应显著好于未分配现金流量多且增长机会低的公司。我们的实证结果支持了自由现金代理成本对可转换债券融资市场反应的预测。

By investigating the ＂announcement effects＇of 157 convertible bonds and 459 pure equity offering in Chinese A-share listed companies over 2001-2006, this paper finds that, finns with convertible bonds offering announcement experience significantly higher mean abnormal returns than firms with equity offering announcement, but in general, convertible bonds offering announcement may elicit a negative stock price response, and stock price fall is positively related to financing size, and negatively related to asset-debt ratio. Further, we find that firms with less undistributed cash flow and more investment opportunities experience significantly higher price response than firms with more undistributed cash flow and less investment opportunities. The empirical evidence is consistent with the predictions of agency costs theory of free cash flow.