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本文以 2 0 0 0～ 2 0 0 3年在沪深交易所发行可转债的 2 1家上市公司为研究样本 ,利用事件研究方法对可转债发行公告的市场效应进行了实证研究 ,结果表明 ,在事件公告日样本的平均超额收益为 -0 .66% ,2天的累计超额收益为 -0 .14 % ,而在事件窗 [-3 0 ,3 0 ]内的累计超额收益为 1.5 3 % ,但均不显著。同时还发现 ,可转债发行的市场效应与公司特征和发行规模不存在显著相关性。
This article uses 21 listed companies that issued convertible bonds in Shanghai and Shenzhen Stock Exchanges from 2000 to 2003 as a research sample to conduct an empirical study on the market effect of the issue of convertible bonds using the event research method. Show that the average excess return of the sample on the day of the event announcement is -0.66% and the cumulative excess return of two days is -0.14% while the cumulative excess return in the event window [-3 0, 30] is 1.5 3%, but not significant. At the same time, it is also found that there is no significant correlation between the market effect of convertible bonds issuance and the characteristics of the company and the scale of issuance.