Research On The Impact Of Stock Price Caused By The Conversion Of The Exchangeable Bonds

Exchangeable bonds were originally born abroad,and their development course in China is relatively short.However,the current development of exchangeable bonds in China has been "blowout" after several years of market brewing.The cumulative issuance scale of exchangeable bonds has exceeded 200 billion yuan and the number of issuances has been close to 200 as of the end of 2017 in China.The exchangeable bond can not only satisfy the issuer's diversified requirements but also is a new investment tool for investors.Therefore,exchangeable bonds will have a broad development space for years to come in China.Exchangeable bonds are special bonds with embedded options.They have both debt nature and equity nature,and their intrinsic value is more complex.Therefore,they have great research value.However,the existing researches of the exchangeable bonds mainly focus on the internal mechanism and the motivation of issue,and there are few in-depth studies on certain characteristics of the exchangeable bonds.The exchangeable bonds appear late in China.Although its development in capital market of China has been very active,there are few deep researches of exchangeable bonds in Chinese academic circles.This research makes up for the lack of related research.This paper applies literature review,comparative analysis and empirical research to study the conversion of exchangeable bonds from both theoretical and empirical perspectives.The specific research content is the impact of exchangeable bonds entering the conversion period on the return and volatility of the listed company's stock price in China.In the empirical study,this paper uses the event study and samples 34 exchangeable bonds listed on the Shanghai or Shenzhen Exchanges during 2013-2017.On the one hand,the CAPM model is used to calculate the abnormal return rate of stock after the conversion.It is found that the conversion of the exchangeable bond will have a significant negative impact on the return rate of the listed company's stock price through the analysis of the average abnormal return rate and the cumulative abnormal return rate of the stocks in the event window.On the other hand,the adjusted F test is constructed to check whether the stock price fluctuates significantly before and after the conversion.The test result shows that the conversion of the exchangeable bond has little effect on the volatility of the stock price of the listed company.In view of the empirical conclusions,this paper explains why the conversion of the exchangeable bond has a significant negative impact on the stock price returns from the information asymmetry theory,stock supply and demand theory and investor expectations theory.Meanwhile,this paper analyzes why there is no significant effect of the conversion of the exchangeable bond on the volatility of stock price from the theory of market timing and the theory of intrinsic value of stock.At last,this paper puts forward some valuable suggestions for the investors,the issuers and the regulators.