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本文以我国2001年1月至2007年5月之间A股上市公司中曾作出可转换债券发行预案公告的124家上市公司作为样本,检验我国可转换债券的发行预案公告效应。研究发现,在预案公告当日,股票价格显著下降,股票价格的负效应主要集中在预案公告前一日和公告当日两天之内,尤其是清洁样本的股票价格负效应比总样本更大一些。这说明,在我国市场把公司准备发行可转换债券的公告看作是一个“坏消息”。进一步的回归分析表明,清洁样本的预案公告日超额收益率与公司规模成反比,与每股经营活动现金净流量成正比。
This article takes 124 listed companies that have made the announcement of convertible bond issuance in A-share listed companies between January 2001 and May 2007 as a sample to test the announcement effect of China’s convertible bonds issuance plan. The study found that on the day of the announcement of the plan, the stock price dropped significantly, and the negative effect of the stock price mainly concentrated on the day before the announcement of the plan and two days on the announcement day, especially the negative effect of the stock price of the cleaner sample was larger than the total sample. This shows that in our country the announcement of the company preparing to issue convertible bonds as a “bad news.” Further regression analysis shows that the excess returns ratio of the cleanup plan announcement date is inversely proportional to the size of the company and is proportional to the net cash flow per share of operating activities.