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Abnormal returns of convertible bonds listed and convertible date

Author: DongZhongYun From: www.yourpaper.net Posted: 2009-04-01 15:01:53 Read:
Abstract: convertible bonds listed and conversion before and after the abnormal returns analysis showed that the cumulative abnormal return of the initial listing cash flow factor into significant positive correlation, and operational factors into a non-significant negative correlation. This paper argues that the initial listing of convertible bonds cumulative abnormal returns is determined in part by the convertible bond itself factors, partly determined by the market, the non-validity of psychological factors. The cumulative abnormal returns before and after the conversion period is completely determined by the market, the non-validity of psychological factors. Before and after the conversion period, the company fundamentals and bonds the terms of the information has to be reflected in the pricing, cumulative abnormal returns before and after the conversion period completely nothing to do with this information, the abnormal changes in the price of convertible bonds has nothing to do with these factors.
Keywords: convertible bonds, convertible bonds shares, share transfer, conversion gains
Introduction
Planning to issue convertible bonds on the stock price is the focus of foreign studies, most scholars called the announcement effect. Foreign scholars study is divided into two main directions: U.S. convertible bond market outside the United States and the convertible bond market.
Abhyankar and Dunning (1998) on the UK market from 1986 to 1996, three different types of convertible securities announced after the issue of the value of the company research shows that different types of convertible securities announced the issue of shareholder wealth has obvious negative the impact. Burlacu (2000) studied 141 French convertible bond issue announcement and equity components of the relationship, the study results indicate that the convertible bond issue announcement means that significant negative market reaction. Greiner, Kalay and Kato (2001) 1982-1992 1357 Japanese convertible bonds, the research found that announced the issuance of convertible bonds, the company's stock price has not significantly positive reaction, and sometimes there will be a significant positive reaction, the average abnormal rate of return of 0.23%.
Meng Hui, Xu Feng (2004) to the end of 2004, issued 31 listed convertible bonds issued by the company as the object of study, that the company released the convertible bonds issued notice abnormal rate of return and can not bring, but in the distinguish between stocks sexual and debt the sex case found that resistance bonds issued by companies significant shares of convertible bonds issued announcement to give Underlying bring significant abnormal return 15 days cumulative excess return of 4.09% and significant debt the sexual bonds issued company is just the opposite 15 days cumulative abnormal return of -5.37%.
At present, no one at home and abroad on the bonds of their own abnormal returns in a specific period of abnormal price changes, empirical, this article attempts to empirical for further analysis, and to distinguish between stocks with bonds to find different pricing features different stocks with debt, convertible bonds, and to interpret them.
Research methods
In this paper, the event study methodology, analysis of event whether convertible bond price impact and generate abnormal returns. The basic principle is to estimate the non-normal yields due to events brought in the event window and test whether the abnormal yield significant is not 0, the event to determine whether there is a significant impact of convertible bonds prices. If it has a significant impact of impact shock factor. Here, the convertible bond market and convertible date defined for the event.
Study abnormal returns on the estimated normal income, t moment i only turn yields to: R it = logB it -logB it-1 , B it price for the convertible bonds.
Define 而 = 0 for the event occurrence date 而 = T 0 1 to 而 = T , 1 To estimate window, 而 = T 1 1 to 而 = T 2 for the event window, 而 = T 2 1 to 而 = T 3 afterwards window.
Market model, the estimation window the transfer bond yields and the yield of the market portfolio regression analysis, R it = 汐 i i ﹞ R mt it . Then, using the estimated the calculated event window "normal income", ie , The resulting abnormal event window yields: the .
Total time the event window abnormal returns (AR it ), the bonds plus total abnormal returns (), drawn cumulative abnormal returns (), to arrive at the early stage of bonds listed and conversion before cumulative abnormal returns changes.
For simplicity, the use of the T-test method. Sample average cumulative abnormal returns ": , N is the number of samples bonds convertible bonds in the event window. The statistical tests: . Statistic T: the the , S is the sample standard deviation. Through the T-test values ??to determine the CAR is significantly non-zero.

Empirical results and analysis
Early bonds listed and conversion before and after the abnormal returns
Take to March 1, 2005 into the convertible date and not due CSI 24 listed bonds for the study, and study the abnormal returns in the initial listing and conversion before. Table 1 for 24 samples bonds.
Table 1 sample bonds



















































































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Name

Listing Date

Conversion Date

Maturity

Name

Listing Date

Conversion Date

Maturity

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2003-03-18

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Camp Port bonds

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2006-09-09

JAC bonds

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2003-08-26

2004-2-11

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OCT bonds

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2006-12-31

Jacobi bonds

2003-04-21

2003-10-3

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2003-06-04

2003-11-21

2008-05-20

The Fosun bonds

2003-11-17

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2008-10-27

Yanjing bonds

2002-10-31

2003-10-16

2007-10-16

Sunshine bonds

2002-05-16

2003-4-18

2005-04-18

BBCA bonds

2003-05-20

2003-10-27

2008-04-23

Laurel bonds

2003-07-15

2004-6-30

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Valin bonds

2004-08-03

2005-1-16