| As an innovative financial instrument,convertible bonds have the dual characteristics of bonds and stocks,which can be a good substitute for placement and private placement to help companies achieve equity financing.In 2017,the CSRC issued the "new rules on refinancing",which increased the difficulty of share allotment and private placement,and in a disguised way encouraged enterprises to issue convertible bonds for financing,leading to a rapid increase in the number of convertible bonds issued.Under the background that the CSRC has raised the threshold of financing methods such as share allotment and private placement,the research on the announcement effect of convertible bond issuance highlights its practical significance.However,in the past,scholars in the research of announcement effect often concentrated on the theoretical level,lacking the application level analysis,especially the design of arbitrage strategies based on announcement effect.Since whether there is a short limit on the positive shares is often a precondition for the smooth implementation of arbitrage,this paper reviews the announcement effect and the investment opportunities it brings from the perspective of whether there is a short limit on the positive shares,and also provides a new perspective for the study of the announcement effect.First of all,this paper studies the announcement effect of convertible bond issuance,the impact of short limit on announcement effect and related literature on convertible bond arbitrage,as well as the theoretical basis supporting this research content,such as optimal capital structure theory,pecking order financing theory,information asymmetry theory,limited arbitrage theory,and limited rationality theory;Secondly,we selected130 listed companies that announced public issuance of convertible bonds from December 2020 to January 2022 as a sample,and calculated the abnormal return rate in the window period using the event study method,based on which we conducted a full sample of announcement effect research;Secondly,we compare the announcement effect of subsamples with short limit and those without short limit;Thirdly,taking the cumulative abnormal return on the event date and each trading day before and after the event date as the explanatory variable,taking whether the positive shares have short selling restrictions as the core explanatory variable,and taking other financial indicators of the company as the control variable,a multiple linear regression model is constructed,based on which the comprehensive model of announcement effect is studied;Finally,based on the two abnormal phenomena of priority placement and ex right effect found in the announcement effect,the arbitrage strategy is designed and empirically tested.This paper focuses on the following four aspects: First,whether there is announcement effect of convertible bond issuance in China,and if so,what is its direction and size?Second,does the short limit of regular shares affect the announcement effect? Third,after studying the short limit of positive shares,how do other indicators affect the announcement effect? Fourth,based on the announcement effect of short selling restrictions,since short selling restrictions affect the realization of arbitrage,is there any potential arbitrage strategy that has not been explored? If so,what are the arbitrage results of these arbitrage strategies?The research conclusions of this paper are as follows:(1)China’s convertible bond market has announcement effect,which is specifically shown as: the company’s stock price effect on the announcement day is significantly positive,but the stock price effect on the second trading day after the announcement day is significantly negative,but overall,the positive effect is greater than the negative effect in the whole window period,so the overall performance of the announcement effect is positive.(2)The short limit will affect the announcement effect.Specifically,the positive stock price effect of the sub sample with short limit on the announcement date is significantly stronger than that of the sub sample without short limit,and the negative stock price effect of the sub sample with short limit on the second trading day after the announcement date is also significantly stronger than that of the sub sample without short limit.There is no significant difference in the cumulative abnormal returns of the two sub samples throughout the window period.The above conclusion can be explained by the arbitrage limit.The short limit leads to the arbitrage limit,which in turn leads to the excessive volatility of the stock price on the announcement date.Therefore,there is a significant difference in the abnormal returns on the announcement date;However,the cumulative abnormal rate of return in the whole window period reflects the improvement of the long-term value of the company by convertible bond financing,which has nothing to do with arbitrage restrictions.Therefore,there is no significant difference between the cumulative abnormal rate of return of the two groups of samples in the whole window period.(3)After establishing a multiple regression model by introducing other factors that may affect the announcement effect,it is found that the announcement effect is positively related to the return on equity,the attribute of the actual controller,and the short limit of positive shares,and negatively related to the asset liability ratio and the shareholding ratio of the largest shareholder.(4)Based on the two abnormal phenomena of the priority placement right and the ex right effect found in the research on the announcement effect of convertible bond issuance,several arbitrage strategies have been excavated.Through empirical verification,the arbitrage strategy 1 based on the priority placement right has 98.0% of the arbitrage success rate and 0.074% of the daily average yield;The arbitrage strategy 2 based on the ex right effect has an arbitrage winning rate of 78.182% and an average daily yield of 0.744%.And based on other influencing factors of announcement effect,arbitrage strategy 2 is optimized.The parameters of arbitrage strategy 3 optimized by asset liability ratio are optimal compared with others,with an arbitrage winning rate of 85.714% and an average daily yield of 0.897%.The above arbitrage strategies must meet the preconditions for the company to be short,and re verify that the short limit will cause arbitrage restrictions,thus affecting the announcement effect.The innovations of this paper are:(1)innovation in variable selection.All companies in foreign markets have realized shorting,and the arbitrage mechanism is highly improved;However,some companies in the Chinese market have short selling restrictions,and the arbitrage mechanism is not perfect.Based on this feature of the Chinese market and the theoretical basis of the theory of bounded rationality,limited arbitrage theory and other theories,this paper proposes whether there is short selling restrictions in positive shares,which is a core variable,and draws a research on the announcement effect that conforms to our characteristics,which provides a new perspective for the research on the announcement effect,and also lays a foundation for the design of the arbitrage strategy in the following text.(2)Innovation in arbitrage strategy design.In the past,scholars’ research on the announcement effect often focused on the theoretical level,lacking the research on the application level,that is,few scholars proposed corresponding arbitrage strategies based on the announcement effect.Based on the two abnormal phenomena of priority placement right and ex right effect found in the announcement effect,this paper proposes an arbitrage strategy,which provides a new perspective for the arbitrage of convertible bonds. |
PDF Full Text Request