摘要
本文运用事件研究法对沪深两市2000～2010年间公司发行可转债导致的股价效应进行研究,研究表明在可转债除权日前,股价存在显著性的正效应,在除权日后存在显著的负效应;股票价格在可转债发行公告日及股权登记日时并不存在显著的负效应,这表明发行可转债的消息到来并没有使股票价格下跌。回归分析表明投资者情绪指标可以很好地解释除权日后的股价负效应,而对除权日前股价正效应没有解释能力,这进一步证明除权日前的股价正效应是由于发行可转债信息本身所驱动的。
This paper uses event study method to analyze 67 companies＇ abnormal returns caused by the issue of convert- ible bonds in 2000 -2010. Studies show that the underlying stocks have significantly positive CAR before the ex-rights date and significantly negative CAR after ex-rights date. There are not significantly negative stocker effects in the day of announcement of issue or the day of record. Regression results show that the investor sentiment can be well explain the negative effect after ex-rights date and cannot explain positive stock effects before ex-rights. It further proves that the positive stock effect wa~ caused by the information of issue of convertible bonds.
出处
《预测》
CSSCI
北大核心
2013年第1期42-46,共5页
Forecasting
基金
国家自然科学基金资助项目(71062007)
关键词
投资者情绪
可转换债券
股价效应
investor sentiment
convertible bonds
stock price effects
