债转股的财富效应和企业绩效变化

Wealth Effects and Enterprise Performance Changes of Debt-to-Equity Swap

市场化债转股已成为我国宏观去杠杆的重要方式。宏观政策和理论模型分析都指出,对于经营上暂时陷入困境的正常企业,债转股能够产生积极效应;而对于僵尸企业,债转股只会产生负面效应。文章手工整理了2016-2018年债转股启动以来的88个签约项目,发现在披露财务信息的债转股企业中有19家僵尸企业。金融市场对宣告债转股给予了不同的反应:债券市场对僵尸企业宣告债转股给予了显著的负面反应,对非僵尸企业宣告转债股则给予了显著的正面反应;股票市场对债转股公告给予了中性反应,且对于僵尸企业与非僵尸企业不存在显著差异,但对民营企业债转股的反应较为负面。在债转股之后,非僵尸企业降低了财务杠杆,盈利能力、偿债能力和经营效率显著上升;对于僵尸企业,杠杆率有所下降,但盈利能力、偿债能力和经营效率并没有改善。

Market-oriented Debt-to-Equity Swap(DES)plays a critical function in two ways:One is the fastest way to de-leverage in macro-economy;the other is breakthroughs in promoting the SOE’s mixed ownership reform,and improving corporate governance.The article firstly analyzes the economic consequences of DES on zombies and non-zombies through a theoretical model.Then,we collect the publicly disclosed DES cases from August 2016 to December 2018.Based on the financial data disclosed by bond-issued DES companies,we use the FN-CHK method to determine whether there are zombies in DES sample.Furthermore,we calculate the CARs for bonds and stocks issued by DES companies and compare these CARs among state/non-state as well as zombie/non-zombie firms.Finally,we use PSM method to match the comparable non-DES companies for the DES ones.On basis of the matched sample,DID method is used to test financial performance for DES companies.Our findings can be concluded that:(1)Among 74 DES companies providing financial data,there are 19 zombies,accounting for 25.3%of the sample.Before the DES announcement,these 19 companies have the history of being zombies for more than 2 years,among which 8 companies have become zombies for more than 4 years.(2)As for the short-term market event study,the difference in DES announcement response between zombies and non-zombies has been efficiently recognized in bond market.The prices of bonds issued by zombies have dropped significantly within 30 days before and after the announcement of DES,while the prices of bonds issued by non-zombies have increased significantly.The overall response of the stock market to DES is relatively neutral,but leaving negative records for non-SOEs.In terms of financial performance changes,we use PSM-DID method to test the effects of DES.We find that operating performance changes within[-1,+1]year period for zombies and non-zombies are largely different.For non-zombies,DES reduces debt pressure,improves profitability,operating efficiency and solvency;for zombies,DES only decreases financial leverage,but brings no improvement to profitability,operating efficiency and solvency.Contributions of this paper are listed as follows:Firstly,we use real DES samples to study the actual mechanisms of deleveraging.We find that for different types of enterprises,there are structural differences in short-term and long-term DES performances.Secondly,we conduct relatively early empirical study for this new round of Chinese market-oriented DES.Thirdly,this paper conducts creatively new try on disposal of zombies from the perspective of DES,and finds that DES’s wealth effects and performance changes are relatively negative.