公司信用债违约会引起公司股价异常波动吗?——基于A股上市公司的数据

本文以上证A股与深证A股上市公司为样本,以股票累积超额回报为被解释变量,债券规模为解释变量,同时加入股东结构与偿债能力作为调节变量,运用线性回归模型实证研究了信用债违约对公司股价的影响,得出结论如下:债券存量会给标的上市公司股票累积非正常回报带来显著的负效应;公司股权结构显著增强债券存量给标的上市公司带来的负向股价效应;公司偿债能力显著削弱债券存量给标的上市公司带来的负向股价效应。据此就信用债频繁违约提出治理建议,为我国上市公司信用债的发行与后期管理提供经验证据。

Taking the listed companies of Shanghai A-share and Shenzhen A-share as samples,taking the cumulative excess return of stocks as the explained variable,the bond size as the explanatory variable,and adding the shareholder structure and solvency as the adjusting variables,this paper empirically studies the im⁃pact of credit debt default on the company's stock price by using the linear regression model.The conclusions are as follows:the stock of bonds will bring a significant negative effect on the cumulative abnormal return of the underlying listed company's shares;the company's ownership structure significantly enhances the negative stock price effect of bond stock on the underlying listed company;the company's solvency significantly weak⁃ens the negative stock price effect of bond stock on the underlying listed company.Accordingly,this paper puts forward some governance suggestions on the frequent default of credit bonds,so as to provide empirical evidence for the issuance and later management of credit bonds of listed companies in China.