The announcement effect of convertible bond issuance on the long-term and short-term stock returns

• Main Authors: Shu-ming Chan, 詹曙銘
• Other Authors: Chih-shian Chang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/56506380665630359612

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 91 === The firms that issue convertible bonds in the open traded and over-the counter markets were used as sample. Besides, we employed market-adjusted returns model, risk-adjusted model, and buy-and-hold returns model to explore the effect of the announcement of issuing convertible bonds on the stock return on the board meeting date, the issuance date and during the three-years periods after the board meeting date. The purpose of this research is to provide further investigation into the information content of the announcement of issuing convertible bonds, and our study differs from previous work in at least two aspects. We discussed not only the influence of the issuance of convertible bonds on the short-term and long-term stock returns, but also that the impact of the issue volume, size, year of launching, kind of industry, capital planning of a company, or the yield rate on the stock price reaction. The result reveals that there are significantly negative abnormal returns on the board meeting date, but there are not on the issuance date. Moreover, the long-term buy-and-hold returns are significantly less than the market portfolio. However, except the issue volume and the kind of industry, the others have not significant impact on the stock returns.