| 我国可转换公司债券赎回公告效应的实证研究 |
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| 引用本文： | 王海燕,顾荣宝. 我国可转换公司债券赎回公告效应的实证研究[J]. 安徽大学学报(自然科学版), 2011, 35(4) |
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| 作者姓名： | 王海燕 顾荣宝 |
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| 作者单位： | 南京财经大学金融学院,江苏南京,210046 |
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| 基金项目： | 国家自然科学研究基金资助项目(70871058,71071071); 教育部人文和社会科学研究基金资助项目(09YSA7909199) |
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| 摘 要： | 运用事件研究法研究我国可转换公司债券的赎回公告效应.结果表明A股市场上可转换债券发行公司的股票在赎回公告发布前一个交易日的累积平均异常收益率为负且不显著,在赎回公告发布当日及后一个交易日的累积平均异常收益率显著为正,随着时间远离赎回公告日,累积平均异常收益率出现下降趋势,在中期累积平均异常收益率为负也不显著,这些现象可以理解为由中国股市的非对称效应和转股套现所引起的卖方压力所导致的.
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| 关 键 词： | 可转换公司债券 赎回公告效应 异常收益率 事件研究法 |
The empirical research on the announcement effect of redemption of convertible bonds |
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| WANG Hai-yan,GU Rong-bao. The empirical research on the announcement effect of redemption of convertible bonds[J]. Journal of Anhui University(Natural Sciences), 2011, 35(4) |
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| Authors: | WANG Hai-yan GU Rong-bao |
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| Affiliation: | WANG Hai-yan,GU Rong-bao*(School of Finance,Nanjing University of Finance and Economics,Nanjing 210046,China) |
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| Abstract: | This paper studied the effect of redemption announcement of convertible bonds by the method of event study.It was found that the effect is significantly positive at the day and day after the announcement,but not significantly negative at the day and before the announcement.As time keeping off the redemption day,the medium-term cumulative abnormal return descends and is not significantly negative.It can be understood that these phenomena are caused by the non-symmetrical effect and the seller pressure by the... |
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| Keywords: | convertible bonds effect of redemption announcement abnormal return event study |
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