Research On The Announcement Effect Of Exchangeable Bond Of Chinese Companies

Exchangeable bonds are the bonds issued by shareholders of listed companies and conversion into shares.There are same and different aspects between exchangeable bonds and convertible bonds.The issuer of exchangeable bonds is shareholders of listed companies,but the issuer of convertible bonds is listed companies.Exchangeable bonds follow Pilot Rules on the issuance of company bonds,but convertible bonds follow Rules on the issuance of listed companies.Exchangeable bonds are like bond financing,but convertible bonds are like equity financing.Exchangeable bonds are new financing tools to shareholders of listed companies in these years.There are many research papers with issue of exchangeable bonds.These papers are about issue price,the terms of design and the announcement effect.A lot of foreign scholars and civil scholars put their effort to the issue price and the terms of design,and not to the announcement effect.This paper tries to explore the announcement effect and the factors that affect the effect of non-public exchangeable bond issuance,and give deep analysis.The paper can apply the event study and market adjustment model to research about effect of the issue of exchangeable bonds.In this paper,it is to research the announcement effect about China's 41 exchangeable bonds issued from 2016 to 2017,and it is choose to event day by the day of the issuance of exchangeable bonds to be announced by the shareholders.The empirical results show that he cumulative excess returns of the underlying stock are negati-ve and significant.There is 0.4056%decline and 1.2762%decline of AAR in the day before announcement day and announcement day,and is 0.6122%uplift of AAR in the day after announcement day.The effect is significant when a is 5%or a is 10%.The announcement day is regarded as the basic day.CAAR is-1.676%in the[-1,0]event day when a is 5%.CAAR is-1.061%in the[-1,1]event day when a is 10%.It can judge the direction of share price change through the research of CAAR.The coupon rate,the issuer stake,relative issuance,net profit margin on sales,ROE are chosen as independent variable,after it is considered through foreign papers about exchangeable bonds and our capital market.CAR is negatively correlated with the coupon rate,relative issuance.CAR is positively correlated with the issuer stake,net profit margin on sales,ROE.