Study On The Convertible Bond Announcement Effect And Short-term Performance Based On Chinese Market

The Chinese first convertible bond was issued in 1990s. After 20 years' developing, the convertible bond has become one of the most important refinancing methods. Currently Chinese convertible bond is with the natures such as high proportion of early redemption, mainly issued by enterprises in traditional industries, high similarity of clauses, high credit rating and stock bias. As the aggravation of financial crisis, due to its hybird property of both stock and bond, convertible bond becomes hot gradually and more and more investors regard it as investment safe haven. Financial regulation was emphasized to a new level in CPC Seventeenth National Congress, report on the work of the government in 2009 and G20 summit 2009 in London. As an innovative financial instrument, financial regulation makes a new sense to study on convertible bonds.The dissertation starts from the basic instruction of convertible bond definition, development history, elements and natures. Based on these, it makes the comparison between convertible bond and other main refinancing methods, between convertible bond and straight bond issued in conjuction with warrant, and it also gives the summary of Chinese convertible bond market natures. Furthermore it focuses on the announcement effect and issuers' short-term performance. In the empirical study of convertible bond announcement effect, it is found that convertible bonds' issue has a significant negative impact on the price of issuers' share, while essentially this negative impact is mainly released at the day of announcement publishing and the first day after that because of the quick responds of market. The study on short-term performance of issues reveals the obvious variation laws of asset-liability ratio, profitability and earnings per share.The main contributions of this dissertation are as follows:①It studies on Chinese convertible bond announcement effect from whole perspective through the analysis on convertible bonds' issuers during the important developing period, from 2001 to 2008.②We selects straight bond issued in conjuction with warrant which is similar to convertible bond as a comparison sample, through the comparison of theories, applications and short-term performance of issuers between convertible bonds and straight bond issued in conjuction with warrant, it elaborates convertible bond thoroughly based on the mutual difference and relationship.