The Convertible Bond Announcement Effect In China

The convertible bond is still not long in time when our country appears, but development is very fast, it has already become a kind of external financing means that can't be ignored of listed company. Abundant theory documents and real example result are compared with foreign countries, the issue at home is still rare in study on influence of stock price of the company. Anticipated model of securities chosen has been proposed first. Investors can predict that the company issues is the debt-like or the equity-like according to some financial characteristics of the company. The anticipated model that is established by Logistic regression, through it we can draw investor's prediction of the type of the convertible bond. We can draw with probability classification that convertible bond is bond-like or right-like, through compared with anticipated result, we can know whether the issue of the convertible bond accord with expectancy. We have studied the impact on company's stock price of issue of the convertible bond in this text. First of all, we examine whether issuance of convertible bond bring abnormal return to company by event study. We find the issue announcement of convertible bond cause the stock price to drop by 1.1%. This is unanimous with situation of such markets as U.S.A., etc., and some results of study were different in the past in Japan. This is caused by some special cultural factors of economy of Japan. Then we discussed the difference of the announcement effect between the equity-like bond and debt-like bond. And then, the author has synthesized the independent variable factor in foreign relevant documents, combine the actual conditions of the market of convertible bond of our country, draw one's own regression equation. We found company scale, convert premium, asset-liability ratio, core business rate of increase and net profit rate will exert an influence to the abnormal return. At last, we discussed some other characteristics which may influence the announcement effect. This study has directive significance to our country listed company, there is reference function to perfection and development of the capital market of our country.