The Research On The Announcement Effect Of Listed Company’s Convertible Bonds In China

With the development of china’s convertible bond market, convertible bond, which has thenature of both stock and bond, has become a more and more important way of refinancing oflisted companies. However, because of small sample of convertible bond, the research ofconvertible bond is focused on the pricing issues and the choose of financing issues, ratherthan announcement effect, and that is the purpose and significance of this article.Firstly, the article focus on the related theories about how the refinance influences the stockprice of listed companies,the summary of the scholars’ study on announcement effect ofconvertible bond. Then, take the81issues of convertible bond between2002to2013inchina’s market as a sample, using the event study method and the market model to study theannouncement effect of convertible bond. By calculating the abnormal returns, the article findsthe announcement of convertible bond is significantly positive, that is, the announcementbrings positive abnormal returns. Given the importance of equity division reform to china’sstock market, the article divides the sample to two parts to research the import of equitydivision reform on announcement effect of convertible bonds, and find there are difference.On the basis of abnormal return, the article brings forward abnormal return as the dependent,and brings forward company’s financial data and information of convertible bond asindependents; uses the model to study the factors of announcement effect of convertible bonds.And the study finds that abnormal return positively correlates with ROE，asset-liability ratioand Delta, negatively correlates with issue size，company and equity division reform.At last, on the basis of model result, the article gives some useful advice, and descries theundone research of the article.