Research On The Effect Of Convertible Bond Announcement In China

In the development process of more than 170 years,convertible bonds have already possessed mature foreign markets.As an important financing tool,convertible bonds entered China in the early 1990s.In just 30 years,with the development of domestic securities market,convertible bonds have been gradually accepted by the domestic market and more and more used in the operation of listed companies.Foreign scholars have done a lot of research on the announcement effect of convertible bond issuance,and these studies have also been supported by some empirical results.Because the stock market of our country is not perfect enough and the history of convertible bonds is relatively short,the research conclusion of the announcement effect of convertible bonds issuance in our country is not uniform.Therefore,it is of great significance to study the announcement effect of convertible bond issuance.Based on the actual situation of China,this paper collects and analyses the data of convertible bonds from 1992 to 2018,and discusses the announcement effect of convertible bonds in China.This paper tries to answer the following three questions:First,in our country,what is the announcement effect of convertible bond issuance?Secondly,in our country,whether the announcement effect of convertible bond issuance is related to high transaction volume and whether it has high transaction volume return premium phenomenon.Thirdly,in our country,how does the issuer's capital expenditure affect the high transaction volume and then the announcement effect of convertible bond issuance?Through empirical analysis,this paper draws the following conclusions:1.Convertible bond issuance announcement has significant positive stock price effect.The robust conclusion is not affected by different research methods.The sample companies in bull and bear markets will show positive stock price effect,but bull market has significant positive announcement effect,while bear market is not significant.2.Empirical results of issuance announcements based on trading volume show that issuers with unusually high trading volume on issuance day have significant positive stock price effect,while non-issuers with unusually high trading volume do not have this characteristic.3.This paper finds that the market's response to the issuance of convertible bonds related to capital expenditure decisions depends critically on the issuer's development prospects.The issuer's capital expenditure decisions with good development prospects have a positive impact on trading volume,and then on the announcement stock price effect.4.At the same time,the issuer's cash flow has different impact on the market,which also depends on the prospects for development.When the company's development prospects are worse,the negative cash flow of the company has indirect negative impact on the issuance announcement of convertible bonds.5.This paper also indirectly proves that stock volatility is the factor that restrains the possibility of high turnover of convertible bond announcements.Therefore,the greater the stock volatility,the weaker the positive effect of issuing announcements.