Announcement Effects of Convertible Bonds：an Analysis of Chinese Market
This study analyzes the influence of the issuer characteristics and the security market condition to Chinese convertible debt announcements with ajusted cumulative abnormal returns. The event study analysis shows different signals of convertible bonds of 55 samples during January 2000 and January 2009. Our evidence indicates that relatively more equity-like convertibles are associated with negative announcement, while more debt-like convertibles has a positive impact on the convertible debt announcement effect. We present the empirical results on the convertibles design, financing condition and stock market performance of the issuers etc. to convertible debt announcement. The regression results reveal that, for the debt-like convertibles, four proxies including issue size, convertible debt maturity, financial leverage ratio and the raw pre-announcement stock price runup are significant. And for equity-like convertibles, two proxies of stock price runup and liquidity ratio are significant.
Convertible Debt Event Study Announcement Effects Cumulative Abnormal Returns
HU Xiaoli CHEN Guoqiang HUANG Xiaoyan
School of Sciences, Communication University of China, Beijing, P.R.China, 100024 School of International Business, Beijing Foreign Studies University, Beijing, P.R.China, 100089
国际会议
2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)
青岛
英文
1-6
2009-07-25（万方平台首次上网日期，不代表论文的发表时间）