De Roon Veld (1998) 0116 %, %,,,, 180,,, Burlacu (2000) 141,,, Abhyankar Dunning (1999), %,, %, %, %, % (2

Size: px

Start display at page:

Download "De Roon Veld (1998) 0116 %, %,,,, 180,,, Burlacu (2000) 141,,, Abhyankar Dunning (1999), %,, %, %, %, % (2"

旬狄
7 years ago
Views:

1 (, ) :, ,,,, : ; ; :F :A : (2005) ,, ( ),, Asquith Mullins (1986) Masulis Korwar (1986) Mikkelson Partch(1986) - 3 %,Dann Mikkelson (1984) Eckbo (1986),Mikkelson Partch (1986) - 2 %, %, Stein (1992), Kang (1995) Kang Stulz (1996), : : ( ),,,, 45

2 De Roon Veld (1998) 0116 %, %,,,, 180,,, Burlacu (2000) 141,,, Abhyankar Dunning (1999), %,, %, %, %, % (2001) ,, (2004) ,,, (2004), 100,, 20,,, ( ) , ,, (600805) (000682), 88

3 ,, ( ), ( ), (CSMAR), 88, 47 ( ),,,, ( - 1,0) ( - 1,1), 0, - 1, + 1 0, Abhyankar and Dunning (1999) ( - 60, - 20), ( - 19, - 1) ( + 1, + 20),, (0, + 1), ( - 240, - 41),,, CSMAR, A A, A ( ) , , % 1

4 1 (N = 85) (N = 31) ( ) ( %) ( %) ( ) ( %) ( %) : : : : A : : : A, :, ;, % ( %) ;, 8161, %, %, ( ) ,,, % %,,,,,, 2 t

5 0 (0,1) ( - 5,5) 0 (0,1) ( - 5,5) t p < ,, (0,1) ( - 5,5) 0, % % ; (0,1) 0, %,,, 2,,, 80 %, (0,1),,,,, ( 33) ( 55), ,, (0,1) % %, T,,,,, , (0,1) %

6 , , 27,,,,,,, ( ), Stein(1992),,,,,, (2003) A, %,, A, %,t = , (0,1) %,t = , 78, %,t = , (0,1) %,t = , My2 ers Majluf (1984), Stein (1992),,, ( ) A B H ),,,,,,

7 ,,, ; % %, %, 011 %,,,,,,,,,,,,,,,,,,,,,,,,,,,, 100, %, 2003, %,,,

8 , 51,, 17, 17, , , , 11176, %, %, 4173 %,, ; 011 % - 15 % 2 % - 20 % ;, ; 107 % % ; 10 4,,, ( ),,, -,, : CAR i = Ln ( Size) i + 2 ( DebtR) i + 3 ( RelSize) i + 4 ( Dilute) i + 5 ( MV BV ) i + 6 ( LiqR) i : CAR i : i Ln ( Size) : DebtR :,,,, RelSize :, Dilute :,,,

9 A MV/ BV :,,, LiqR :, A :,, 44 spss1110,, (0,1), (0,1), 3 3 T P T P R R F % 1 %,,,,,,

10 A,,, Billingsley Smith (1996),,,,,,,,,,,,,,,, Stein (1992),Stein,,,,,,,,,Taggart (1977), ;,,,, (2003),,, 30 % 50 % 30 % 50 % 88, 30 % 16, 3 30 % 30 % 50 %, 50 % 44,50 % 44, 47, 30 % 12, 2,

11 30 % 50 % ( ),, ( ),,,,,, 2514 %,, 11 Abhyankar,A1,Dunning,A Wealth effects of convertible bond and convertible preference share issues : An empirical anal2 ysis of the UK market 1 Journal of Banking and Finance1 23 : Asquith,P1,Mullins,D Equity Issues and Offering Dilution 1 Journal of Financial Economics1 15 : Billingsley R1 and Smith D Why do firms issue convertible debt? Financial Management125 : Burlacu,R New Evidence on the Pecking Order Hypothesis : the Case of French Convertible Bonds 1 Journal of Multina2 tional Financial Management1 10 : Dann,L1,and Mikkelson,W Convertible Debt Issurance,Capital Structure Change and Financing - related Information 1 Journal of Financial Economics1 13 : De Roon,F1,and Veld,C Announcement effects of convertible bond loans and warrant - bond loans : An empirical analysis for the Dutch market 1 Journal of Banking and Finance1 22 : Eckbo,B Valuation Effects of Corporate Debt Offerings 1 Journal of Financial Economics1 15 : Kang,J1,Kim,Y1,Park, Y1,and Stulz,R An Analysis of the Wealth Effects of Japanese Offshore Dollar Denominated Convertible and Warrant Bond Issues 1 Journal of Financial Quantitative Analysis1 30 : Kang,J1,and Stulz,R How Different Is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues 1 Review of Financial Studies1 9 : Masulis,R1,and Korwar,A Seasoned Equity Offerings : An Empirical Investigation 1 Journal of Financial Economics1 15 : Mikkelson,W1,and Partch,M Valuation Effects of Security Offerings and the Issurance Process 1 Journal of Financial E2 conomics115 :

12 Not Have 1 Journal of Financial Economics1 13 : Stein,J Convertible bonds as backdoor equity financing 1 Journal of Financial Economics1 32 : Taggart,R1,19771 A Model of Corporate Financing Decisions 1 Journal of Finance 32 : ,2001, (http :/ / market1p5w1net/ p5w/ re2 port/ ) 161,2003, A 8 : ,2004, 6 : ,2004, ( ) 6 : Abstract :This paper investigates the wealth effects of the announcement of convertible bond issued in China s stock market. The event study analysis shows that announcement effects of convertible bonds are associated with significantly negative abnormal return but less than seasoned equity issue. With cross - sectional multivariate regression analysis, the paper examines the relation between the announcement period abnormal returns and several explanatory variables. The results show that the abnormal returns are related to the debt ratio of the firm and the degree of potential equity dilution associated with the convertible issue. It is also found that the variables such as firm size, offering relative size, market - book ratio, liquid stock ratio are not the important determinants of announcement day abnormal re2 turns. Key words : Convertible Bond, Abnormal Return, Wealth Effect ( : ) ( :HA)

J2n21

J2n21 當代會計第二卷第二期民國九十年十一月 127-146 頁 Journal of Contemporary Accounting Volume 2 Number 2, November 2001 PP. 127-146 現金增資採用詢價圈購方式對外部股東財富之影響 * ** 李建然林子瑄摘要 : 本研究利