An Empirical Study On The Announcement Effect And Related Influencing Factors Of China's Exchangeable Bonds

The emergence of the world's first exchangeable bond can be traced back to the United States in 1970,but it was not until the successful issuance of the "13 Fuxing Debt" on October 14,2013,and the entire conversion in the following year,which marked the exchange of bonds as An emerging investment and financing tool officially landed in the Chinese market.Since then,it has been popular in the domestic market,and its scale and influence have been greatly improved.As a kind of financial derivatives with both debt and stock characteristics,exchangeable bonds have the advantages of lower cost and better flexibility,but there are also initial adaptation processes at the market and supervision levels.Based on the mature research foundations of foreign countries and the reality of the Chinese market,this paper studies the impact of the domestic exchangeable bonds on the stock price of the underlying company and the mechanism and extent of the impact on the issue of the issue of the domestic exchangeable bonds.Exploring the factors affecting the effect of the announcement of exchangeable bond issuance.In this way,the practical significance of exchangeable debts is revealed,which provides a reference for the issuance of exchangeable bonds and related stock investments in China.Through reference to a large number of literatures,this paper summarizes the main researches of scholars at home and abroad on exchangeable debts,and determines the research process and methods.After careful screening,63 cleanable samples of exchangeable bonds issued in China's market between 2016 and 2018 are taken as research samples.On the day of the publication of the completion announcement,the CAPM model is used as the basis model,and the event research method is used to empirically study the announcement effect of the exchangeable bond issuance.And[-1,1]is selected as the event window,and the cumulative excess return(CAR)of the underlying stock is used as the explanatory variable to study the factors affecting the announcement effect,and the three aspects of exchangeable debt,issuer and target company are selected.Indicators are used as explanatory variables.Through the stepwise multiple regression,the specific reasons for the effect of the announcement of exchangeable bond issuance are further explored.The study found that on the 1st and 1st day,the issuance of exchangeable bonds has a significant negative announcement effect on the average abnormal return of the underlying company's stock price.In the event window[-1,1],the target company's stock price is The cumulative average abnormal return has a significant negative announcement effect.After the exploration of the stepwise multiple regression model,the factors that have a significant impact on the cumulative excess return of the stock are:the average daily trading volume and the issuer's scale within the first three months of the announcement of the target company's announcement.The underlying company's asset-liability ratio,the sum of the shares of the top 10 shareholders of the underlying company,and the market price ratio of the underlying company.Based on the above research results,this paper proposes a prospect for the future development of exchangeable bonds in China,and gives the supervisory layer,market,issuer and investor a certain reference.