我国可转换公司债券赎回公告效应研究

The Study of the Redemption Announcement Effect of Convertible Corporate Bonds in China

本文对我国可转债的赎回公告效应进行了测度和检验,发现其在赎回公告的前一天和当天不显著,而在赎回公告发布后的第二天和中期内都显著为负。在考虑到我国上市公司具有强烈股权融资偏好的情况后,我们认为可转债赎回公告是一个关于公司基本面的负面信号的可能性很小。通过检验上海证券交易所的可转债转股数据,我们找到证据支持卖方压力的假说,即我国可转债赎回公告在短期和中期的负效应都是由可转债持有人转股套现的行为引起的。

The paper measures and tests the announcement effect of redemption of convertible bonds. It is found that the effect is not significant at the day and day before the announcement, but significantly negative at the day after and medium-term of the announcement release. The authors think that since there is strong preference for equity financing of the listed companies, therefore, the announcement of redemption of convertible bonds is not the negative signal of the fundamentals for a listed company. According to the test of convertible bonds data in Shanghai Stock Exchange, the authors found evidence to support the hypothesis of seller pressure, that means the negative effects of redemption of convertible bond in the short and medium-term in China results from the behavior of cash conversion of the convertible bond holders.