An Analysis Of The Effect Of Public Debt And Medium - Term Notes In China

The development of Chinese bond market has changed the structure of Chinese capital market. As the important mid-long term financing tool of listed company in bond market, corporate bond and medium-term notes are experiencing rapid development. In order to explore how the corporate bond and medium-term impact the stock price and how investor react to the bond issuing, then provide some help for the development of corporate bond and medium-term bond in china, the paper focus on the announcement effect through using event study method and multiple linear regression model.The result shows that the stock price of corporate bonds and medium-term notes appeared abnormal return in single day during the window period. However, corporate bond have no significant announcement effect during the whole period, while the medium-term notes have significant negative effect during the same time. Then the result of Cross-sectional multivariate linear regression analysis shows that the maturity and size of bond, net assets, interest-bearing debt/invested capital ratio, return of invested capital, market value, the book value/market value ratio have no significant relationship of the announcement effect. The corporate rating of corporate bond and medium-term notes has significant correlated to the announcement effect on the level of1%and5%. The announcement effect of corporate bonds and medium-term notes whose company rating are below AA is significantly negative, which are-1.482%and-2.763%on5%and1%level respectively. However, the companies whose ratings are above AA have no significant announcement effect during window period.