中国银行首单永续债融资的动因及资本市场反应研究

On the Motivation and Capital Market Reaction of Bank to China's First Perpetual Bond Financing

中国非金融企业发行永续债由来已久,但商业银行发行永续债融资是2019年才出现的。因此,商业银行发行永续债的动因和经济后果成了理论和实务界关注的问题。以中国银行发行首单永续债为例,探究银行发行永续债的内部动因;运用事件研究法,统计事件前后超额收益率的变化,分析中国银行永续债融资的信息披露行为对股票价格产生的影响,以考察发行前后的资本市场反应。研究发现:中国银行发行永续债融资的动因是充实资本、提升风险抵御能力、监管层鼓励;中国银行发行永续债对股价会产生短暂的负效应,总体上投资者对中国银行永续债持积极态度。

It has been a long time since the issuance of perpetual bonds by Chinese non-financial enterprises,but Chinese commercial banks didn't issue perpetual bonds until 2019.Thus,its motivation and economic outcome have attracted the attention of both the theory and practice fields.Taking the first perpetual bond issued by the Bank of China(BOC)as an example,the internal cause for the issuance is explored.By using the event study method,the change of excess return rate before and after the event is analyzed and the impact of the information disclosure behavior of BOC's perpetual bond financing on the stock price is studied in order to investigate the capital market reaction before and after the issuance.It is found that the motivation for the issuance is to enrich capital,enhance the risk resistance ability and encouraged by regulators.The issuance of perpetual bonds by BOC will have a short-term negative effect on the stock price,but overall,investors hold a positive attitude towards the perpetual bonds of BOC.