(, 510275) :, 2001 4 2003 12 88,,,, : ; ; :F830191 :A :1002-7246(2005) 07-0045 - 12,, ( ),, Asquith Mullins (1986) Masulis Korwar (1986) Mikkelson Partch(1986) - 3 %,Dann Mikkelson (1984) Eckbo (1986),Mikkelson Partch (1986) - 2 %, - 013 %, Stein (1992), Kang (1995) Kang Stulz (1996), :2005-03 - 10 : (1963 - ),,,, 45
De Roon Veld (1998) 0116 %, + 1 0123 %,,,, 180,,, Burlacu (2000) 141,,, Abhyankar Dunning (1999), - 1121 %,, - 0195 %, - 1151 %, - 8127 %, - 2137 % (2001) 2001 8 31 39,, (2004) 2003 12 20,,, (2004), 100,, 20,,, ( ) 2001 4 28, 2003 12 31 90,, (600805) (000682), 88
,, ( ), ( ), (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 ( ) 88 54 2001,2002 2003 17 2001 3 6, 53141 % 1
1 (N = 85) (N = 31) ( ) 8161 7 30 1158 5169 11132 8183 30 3 6166 ( %) 37192 29166 104134 9112 19148 35159 29140 67147 15176 15181 ( %) 52135 49175 145103 11114 26163 62198 61157 145103 19199 28119 ( ) 28183 21153 99110 4120 24167 39125 24146 99110 6165 31109 ( %) 33133 32117 63138 9156 12159 32183 32117 54137 11131 12124 ( %) 37103 35148 100 8146 14138 30183 29130 66142 8146 13102 : : : : A : : : A, :, 28183 ;, 33133 % ( 1998-2002 46124 %) ;, 8161, 37192 %, 52135 %, ( ) 20 88 47,,, - 11144 % - 11663 %,,,,,, 2 t
0 (0,1) ( - 5,5) 0 (0,1) ( - 5,5) - 0101144-0101379 - 0101115-0101663 - 0102005-0101075 0102191 0102778 0104680 0102241 0102643 0105096-0100897 - 0101117-0101545 - 0101043-0101567 - 0101305 t - - 41896-41657 - 21234-51086 - 51201-11446 p 01000 01000 01028 01000 01000 01155-0107393 - 0108808-0111756 - 0107393-0108808 - 0111756 0104188 0105618 0112196 0103927 0104357 0112196 < 0 65 64 54 38 37 28 0 23 24 34 9 10 19 88 88 88 47 47 47,, (0,1) ( - 5,5) 0, - 11379 % - 11115 % ; (0,1) 0, - 21005 %,,, 2,,, 80 %, (0,1),,,,, ( 33) ( 55), 2004 8 31,, (0,1) - 11427 % - 113 %, T,,,,,2001-2003, (0,1) - 0194 %
, 2004 8 31, 27,,,,,,, ( ), Stein(1992),,,,,, (2003) 1998-2001 97 A, - 21824 %,, 2001 4 2003 12 100 A, - 3120 %,t = - 101115, (0,1) - 4128 %,t = - 111202, 78, - 3170 %,t = - 101214, (0,1) - 4159 %,t = - 101494, My2 ers Majluf (1984), Stein (1992),,, ( ) A B H ),,,,,,
,,, ; 2002 418 % 2003 0177 %, 2004 3 %, 011 %,,,,,,,,,,,,,,,,,,,,,,,,,,,, 100, - 4126 %, 2003, 31151 %,,,
, 51,, 17, 17, 2003 8 26 10151, 1422118, 2004 2 18, 11176, 1658154 11189 %, 16162 %, 4173 %,, 100 65 ; 011 % - 15 % 2 % - 20 % ;, ; 107 % 10815 % ; 10 4,,, ( ),,, -,, : CAR i = 0 + 1 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 :,,,
A MV/ BV :,,, LiqR :, A :,, 44 spss1110,, (0,1), (0,1), 3 3 T P T P 01104 01656 01516 010288 3 21595 01013-0100435 - 01150-01601 01552-010779 3 3-01488 - 21730 01010-010664 3 3-01416 - 31060 01004-010233 - 01227-01752 01457-010470 3 3-01458 - 31368 01002-01024 - 01256-01717 01478 0100199 01145 01532 01598 0103162 01245 01928 01360 R 2 01308 01288 R 2 01196 01254 F - 21746 81306 01026 01001 44 3 3 3 5 % 1 %,,,,,,
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,
30 % 50 % ( ),, ( ),,,,,, 2514 %,, 11 Abhyankar,A1,Dunning,A119991 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 :1043-10651 21 Asquith,P1,Mullins,D1 19861 Equity Issues and Offering Dilution 1 Journal of Financial Economics1 15 : 61-891 31 Billingsley R1 and Smith D1 19961 Why do firms issue convertible debt? Financial Management125 : 93-991 41 Burlacu,R1 20001 New Evidence on the Pecking Order Hypothesis : the Case of French Convertible Bonds 1 Journal of Multina2 tional Financial Management1 10 : 439-4591 51 Dann,L1,and Mikkelson,W1 19841 Convertible Debt Issurance,Capital Structure Change and Financing - related Information 1 Journal of Financial Economics1 13 : 157-1861 61 De Roon,F1,and Veld,C1 19981 Announcement effects of convertible bond loans and warrant - bond loans : An empirical analysis for the Dutch market 1 Journal of Banking and Finance1 22 : 1481-15061 71 Eckbo,B1 19861 Valuation Effects of Corporate Debt Offerings 1 Journal of Financial Economics1 15 : 119-1511 81 Kang,J1,Kim,Y1,Park, Y1,and Stulz,R1 19951 An Analysis of the Wealth Effects of Japanese Offshore Dollar Denominated Convertible and Warrant Bond Issues 1 Journal of Financial Quantitative Analysis1 30 : 257-2701 91 Kang,J1,and Stulz,R119961 How Different Is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues 1 Review of Financial Studies1 9 : 109-1391 101 Masulis,R1,and Korwar,A1 19861 Seasoned Equity Offerings : An Empirical Investigation 1 Journal of Financial Economics1 15 : 91-1181 111 Mikkelson,W1,and Partch,M119861 Valuation Effects of Security Offerings and the Issurance Process 1 Journal of Financial E2 conomics115 : 31-601
Not Have 1 Journal of Financial Economics1 13 : 187-2211 131 Stein,J119921 Convertible bonds as backdoor equity financing 1 Journal of Financial Economics1 32 : 3-211 141 Taggart,R1,19771 A Model of Corporate Financing Decisions 1 Journal of Finance 32 : 1467-14841 151,2001, (http :/ / market1p5w1net/ p5w/ re2 port/ ) 161,2003, A 8 : 60-71 171,2004, 6 :9-11 181,2004, ( ) 6 :106-109 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)