Research On Announcement Effect Of Initial Public Offered Corporate Bond Of A-share Listed Companies

At August14th,2007, the China Securities Regulatory Commission issued the trial measure of corporate bond issuance, the implementation of the "measure" provided institutional guidelines and regulations for China’s listed companies to issue corporate bonds. Although as one of the refinancing ways, corporate bond has existed for only a short time in China, its development is very rapid in recent years. Studies about the announcement effect of listed companies issuing stock and convertible bond are very large in domestic and international, but studies about the announcement effect of the issuance of corporate bond are very scarce, in order to explore whether there is an announcement effect in issuing corporate bond whether there is some difference in different industries, and what are the relevant factors affecting the announcement effect, this article intends to make some study about these questions.Firstly, through reviewing and commenting literatures in domestic and international, we discover that studies on the announcement effect of issuing corporate bond in domestic and international are very scare, mostly studies are about the add-issuance and convertible bond, study about the announcement effect of the industry sample set is untouched in domestic. The conclusions that most international literatures which are about the mature markets such as Europe and the United States came to are consistent with the pecking order in the MM theory, that is:the negative reaction arising from the market to the issuing of shares is strongest, followed by the convertible bond and ordinary corporate bond, but study on Islamic bond issued by emerging markets such as the Malan West Asia market found that it produced a significantly positive cumulative abnormal returns. Studies about the announcement effects of corporate bond in domestic are very few, and they are not consistent both in the choice of base date of the event and the conclusion empirical evidence came to.Secondly, the article briefly describes the current development of China’s corporate bond market, and points out that there exist some problems such as the slow pace of development, the small size of the issuing, the irrationality of the financing structure in China’s corporate bond market.Again, the article gives some instructions about research methods and model building. First, in the choice of the sample data, this article selects107A-share listed companies which released the corporate bond issuance announcement for the first time during August14th,2007to August31th,2011as objects for the study, and in accordance with the criteria in clean sample selection,50and73sample companies were selected for the corporate bond issuance resolution date in the board of directors as the base date for the event and the date the Securities Regulatory Commission approved the issuance of corporate bond as the base date for the event. Secondly, in the research method of the article, we adapt the event study methodology and cross-sectional analysis, we investigate respectively the existence of the announcement effect, the industry differences of the announcement effect and the related factors that affect the announcement effect. In investigating the existence and the industry difference of the announcement effect, we adapt the average daily abnormal return rate and the cumulative average abnormal returns as research indicators, and use the SPSS software for statistical testing and regression analysis the abnormal returns of the samples during the event time. In inspecting the relevant factors that affect the announcement effect, we base on the significant outcomes of the announcement effect in the event window period we studied, during the relatively significant window period, we import the factors that affect the cumulative abnormal returns, and establish a cross-sectional data regression model, and make regression analysis of the factors that affect the cumulative abnormal returns.Then, we do the event study on the announcement effects of corporate bond. First, we examine the average abnormal returns before and after10trading days of the date of the board of directors resolution,which is the first day for investors to know that the company may issue corporate bond, as well as the statistical significance of the rate of average cumulative abnormal return during the event window period, we found that, when we adapt the overall samples as our study object, neither the date of the study window, nor the period of the study window, the average daily abnormal returns and average cumulative abnormal returns are not significant, but if we classify the industries, and select the relatively large samples to do statistical tests respectively, the result shows that the manufacturing industry which is the largest sample set, the average daily abnormal returns are both significantly negative before8trading days and after6trading days of the Board resolution date, the significant levels are1.1%and4%respectively; while the average daily abnormal rate of return and the average cumulative abnormal rate of return in the real estate industry are not significant. Overall, during the event window of before and after10trading days of the date of Board of Directors resolution about issuing corporate bond, the reaction arising from the market to this announcement of the resolutions is very weak. After that, we investigate the statistical significance of the average abnormal rate of return10trading days before and after the Securities Regulatory Commission approval date when the investors can be convinced that the company will successfully issue the bonds, as well as the average cumulative abnormal return rate during the event window period, we found that when we adapt the overall samples as our study object, the average abnormal rate of return of trading day t=-8and trading day t=7are significantly positive, and the significance level are1.6%and7.5%respectively, and the cumulative abnormal rate of return of samples are positive, among which the significant level of event window (0,1) is9.4%; if we classify the industries, we find that, for the manufacturing industry, during the window period that before and after the date of approval by the Securities Regulatory Commission, before8days of the base date, after1day of the base date, and after7days of the base date, the average daily abnormal rate of return of the company’s stock are significantly positive, and at the level of7.6%,4.1%,8.8%respectively, in the window of (-2,1),(-1,1) and (0,1), the average cumulative abnormal rate of return of the company stocks are significantly positive, and at the level of3.7%,2.6%and2%respectively; for the real estate industry, at the trading day t=-2, t=3, the average abnormal rate of return is significantly negative, and at the level of0.3%,7.6%respectively, in the window of (-2,1),the cumulative abnormal rate of return is significantly negative.Again, we do cross-sectional analysis for the relatively significant cumulative abnormal rate of return. Through using the backward regression out method to the regression equation, we come to the conclusion that for the manufacturing industry, the bond’s credit rating has a significant negative correlation with the cumulative abnormal rate of return of window period of (0,1) at the5%level, while the relative bond issue size is significantly negative with the cumulative abnormal rate of return of (0,1) window period at the10%level; For real estate industry, the maturity of the bond, the size of the company have a significant negative correlation with the cumulative abnormal rate of return during the window period, while the ratio of the company’s market value, the ratio of fixed assets, debt ratio and the rating of corporate bond have a significant positive correlation with the cumulative abnormal rate of return. Thus, we find that in different industries, the factors that affect the cumulative abnormal rate of return are different. As one of the industries that has high debt ratio, the investors’sensitivity to liabilities in the real estate industry is higher than manufacturing industry, Therefore, the investors pay intensity attention to the solvency of the issuing company and the future growth, such as the maturity of the bond, the ratio of fixed assets, bond rating, and the market capitalization ratio and other indicators. In addition, we find that after the development recent years, China’s credit rating market is gradually improving, the attention market pays to it has also been increasing. To the Manufacturing and real estate industry, investors pay intensity attention to the credit rating of corporate bond.Finally, we come to the following conclusions:(1) the response the market made to the approval of corporate bond issuance by Securities Regulatory Commission is greater than the announcement of corporate bond issuance by the Board;(2) Overall, the signal of the announcement effect of corporate bond’s issuance to the market is positive, but the market reaction is not very strong;(3) The announcement effect of corporate bond’s issuance is different in different industries;(4) There may exits leaks in advance in China’s capital market;(5) between different industries, the factors which have some impacts on the cumulative abnormal rate of return during the event window period are not the same; the factors that impact the cumulative abnormal rate of return of manufacturing industry during the window period are the rating of the bond and the relative size of the bond issuing, the factors that impact the cumulative abnormal rate of return of estate industry during the window period are the rating of the bond, the maturity of the bond, the fixed asset ratio, the market capitalization ratio and the balance ratio;(6) After the development in recent years, China’s credit rating market is gradually improves, the attention the market pays to it is continuously improving. At the same time, the article puts forward some proposals to the development of the corporate bond market, the financing decisions of listed companies and the investment attitude of investors.The innovation of this article:First, the data for the research is the107A-share listed companies which released the corporate bond issuance announcement for the first time during August14th,2007to August31th,2011, relative to the previous research, the timeliness is stronger, the number of samples is more adequate; second, as the previous studies did not reach a unanimous conclusion on the choice of the base date of the event, we first select the announcement date as the base date of the event when investors know the company from the open channel for the first time about the issue of corporate bond plan, after we come to the statistic conclusion that the abnormal rate of return during the window period is not significant, we then select the approval date by the Securities Regulatory Commission as the base date of the event, through the two event studies, we can make a more comprehensive study for the announcement effect; Third, in the analysis of the factors that affect the announcement effect, unlike previous studies, we attempt to select the sample set by industry Classification, and make announcement effect inspection and cross-sectional analysis of announcement effects respectively, to compare the differences of the announcement effect of corporate bond in different industries.