| After the introduction of new refinancing regulations in 2017,the convertible bond market has expanded rapidly,and downward revisions of convertible bonds have also occurred frequently.As a special financial product with both debt,equity and option properties,convertible bonds are also linked to debt and equity behind their downward revision of the conversion price.This paper proposes research hypotheses based on theoretical analysis.It adopts an event study approach based on a market model to explore the impact of convertible bond downward revision conversion price announcements on share prices using a sample of companies that issued convertible bond downward revision conversion price shareholder resolution announcements as a result of triggering downward revision provisions from 2006 to 2022,and uses multiple regression analysis to explore the factors contributing to this impact.First of all,through the calculation and examination of the daily abnormal yield and cumulative abnormal rate of return of the company’s underlying stock in the event window,it is found that the downward revision of convertible bonds has a significant positive effect on the stock price of the underlying stock,among which there is a significant abnormal yield before the announcement date,which may expose the existence of insider trading in the convertible bond market.In particular,the positive effect of downward revision announcements on stock prices is stronger in the bear market environment.Compared to the Shanghai securities market,the downward revision announcement of Shenzhen securities market companies has a stronger positive effect on stock prices,and investors’ judgment of future expectations and fundamentals may lead to the above spatial and temporal differences.From the perspective of the industry,the abnormal income of high-tech enterprises lags behind.Then,a multiple linear regression model is established,taking the cumulative abnormal rate of return during the event window as the explanatory variable,and selecting 10 explanatory variables from the company level,market level and convertible bond level.The results show that the tangible asset ratio is significantly positively correlated with the positive effect of the downward revision announcement,the asset-liability ratio,the relative scale of convertible bond issuance,and the quick ratio are significantly negatively correlated with the positive effect of the downward revision announcement,and the company’s market value is negatively correlated with the positive effect of the downward revision announcement.In particular,this paper demonstrates that a bear market environment can amplify the positive stock price effect of downward revision announcements;Compared with the Shanghai securities market,the Shenzhen securities market has strengthened the positive share price effect of the downward revision announcement.Overall,the announcement of the downward revision of convertible bonds has a significant positive impact on the stock price,and the strength of the impact is closely related to the company’s asset structure,solvency,leverage level and other company fundamentals and market environment and expectations.At the theoretical level,this paper supplements the linkage between convertible bonds and stock prices through downward revision,and reveals the important impact of the market environment from the perspective of time and space differences,and the conclusions obtained are of great significance to investors,listed companies and regulators. |
