可转债发行公司绩效及其对转股行为的影响

湖南大学硕士学位论文可转债发行公司绩效及其对转股行为的影响姓名：汤晶申请学位级别：硕士专业：企业管理指导教师：陈收20070420II20002003TESTDROPIIIAbstractConvertibledebthasbeenplayingamoreandmoreimportantroleinChinasince2000.In2003,convertibledebtfinancingquantityfirstexceededtheotherSEOquantity,andbecausetheexperiencedstudiesprovethatthelistedcompaniesafterSEOcannotbringbackthebetterperformance,thentheperformanceafterconvertibledebtofferingisaproblemworthpayingattentionto.IntheEmpiricalanalysis,wefirstinvestigatetheoperatingperformancebothpriortoandfollowingtheissuanceofconvertibledebt.Theresultindicatesthattheoperatingperformancedeclinesslightlyinthetwoyearsafterissuance.Comparedwiththeindustryandsizematchingfirms,convertibledebtissuersperformbetterbothpriortoandfollowingtheissuance,thisiscloselyrelatedtotheissuepolicyofChinesestockmarket.Andcomparedwiththeequityissuers,thereisnosignificantdifference,buttheincreasingindexesarebetterthanthematched,wealsoprovidesomeexplanationsfortheresult.Andthenweinvestigatethelong-runperformancebothpriortoandfollowingtheissuanceofconvertibledebt.Theresultindicatesthatthereisnosignificantdifferencebothpriortoandfollowingtheissuance.Comparedwiththeindustryandsizematchingfirms,convertibledebtissuersgrouphaspositiveCARwhilethematchinggroupisnegative,andcomparedwiththerightsissuers,thereisnosignificantdifferencepriortoissuing,butsignificantinabout5%level,theCARoftheconvertibledebtissuersgroupislargerthanthematched.IntheChapterFivewealsoinvestigatethebehaviorofconvertingoftheconvertibledebtinChinesesecuritymarket,resultsrevealthatthebehaviorofconvertingdiffersalotindifferentmonthsbothtotheindividualconvertibledebtandthesameconvertibledebt.Totheindividualconvertibledebt,thereisnosignificantrelationbetweentheconvertingproportionandtheabnormalreturnofthecorrespondingstock,buttothetotals,thereissignificantrelation.AndweuseTESTDROPtesttoprovethatincludingthereturndataoftheconvertibleexchangemarketisnotbeneficialtooptimizingthemodelabouttheinfluencingfactorsofthebehaviorofconverting.KeyWords:convertibledebt;operatingperformance;marketreaction;behaviorofconvertingdebtVI1.111.244.12000-2004214.22000-2003224.3MARMCAR285.1335.2345.3345.4355.5355.6375.738VII2.183.11998-2004133.2143.31998-2004143.4153.5164.12000-2004204.22000-2003214.3224.4274.5CAR284.6284.7294.8295.1335.2355.3365.4385.5TESTDROP39I1□______2□“√”111.11.1.1[1]1843ErieRailway[2]1992199733200143[3]2000228.52002541.52003366.516185.550.75%20044146712209.0344.76%1.10100200300400500600700800200020022003200421.1.22003[4]20001.1.305BJY0101.21.2.132000~20041.2.31.21.312341.2522.12.1.1Pilcher(1955)82%18%[5]Brigham19662/3[6]ConstantinidesandGrundy1989fullyrevealingsignalingequilibrium[7]Stein1992(BackdoorEquityHypothesis)[8]DavidsonWallaceandSchwarz(1995)118Stein1992[9]2005Stein19926Stein[10]2.1.2JensenandMeckling1976[11]Green1984Green[12]Isagawa2000[13]2.1.3BillingsleyLamyandSmith199050[14]BillingsleyandSmith199624321.3%[15]20012.42%3.78%4.032%5.85%5.94%6.03%2%[16]2.1.4Mayers(1997)7(theSequentialFinancingHypothesis)Mayers(straitbonds)(1)3(012)(2)12NPV20NPV1(3)0320112(4)Mayers0[17]2.2Robin.MclaughlnAssem.SafieddineGopalak.Vasudevan1998828[18]InmooLeeTimLoughran19989861975~1990IPOSEOROA[19]Craig.LewisRichard.J.RogalskiJames.Seward2003[20]Craig.LewisRichard.J.RogalskiJames.Seward20011979~19908[21]Kang1980~19881329[22]Shao-chiChang1990~1999109[23]2.1Mclaughlnetal.1980~1993828LeeandLoughran1975~1990986ROASpiessandAffleck-Graves1975~1989400Lewisetal.1979~1990566AbhyankarandHo1982~1996152Kangetal.1980~19881329Shao-chiChangetal.1990~199910920052000~2003229[24]20062000~200311[25]2005[26]2006[27]2000~2003222.33~5104~15105~15[28]200110[29]2005[30]2005[31]2004[32]1133.13.1.119973310%7%70%40%133370%500200133.1.11998199312171230%121994122010%10%1996124199610%10%9%199710%30%199910%6%20016%199820005B20002001200146%6%6%2002710%10%20%6%10%20032004[33]1992A2002136%10%200119992004104200316103.11998~200419981999200020012002200320041531221681022025217620262817112516123.219921119931996199732550040320014320024199920041042003141620052006533.2PanelA:%200025.7142002514.2920031645.7120041234.29351002000228.52002541.52003366.516185.550.75%20044146712209.0344.76%3.31998~200419981999200020012002200320040028.5041.5185.5209.03343.83279.90524.04359.2151.8464.8598.2130.4659.75182.21234.60164.48116.13159.73%003.88016.1550.7544.763.32000153.3.13.4PanelB:%925.7138.5738.5738.5725.7125.7125.7125.7125.7125.7112.8612.8612.8612.8612.8635100353~516[34]SonyNECHitachi1/415%10%5%~10%26%23%[35]3.3.23.56.91999.879425.543123.66078.15353.37416.753218.193614.56618.74665.94969.864325.22727.03195.41755.03378.636715.987525.10262.541417[36]3.420003~590%5158%1%88%3%1.58%[37]20041031152418180.8950.823.26612.519.9817.5(3)[38]1842000~2004354.127.35%50%20052000~200435B.3351~21~2191/3[39]4.24.2.14.2.1.12000~2004()4.2.1.212000~2004352000~20042000~20032224.2.220[40]WilcoxonWilcoxon+W−WWilcoxonZ24/)12)(1(4/)1(+++−=nnnnnWZ(4.1)n),min(−+=[41]4.2.34.2.3.12000~2004332000~20044.14.1T-1T+134.12000~200421T-16.91999.879425.543123.66078