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中国公司债市场对盈利公告的非对称反应

作　者: 高碧云
导　师: 余凡
学　校: 上海交通大学
专　业: 金融
关键词: 公司债券季度盈利公告非对称反应事件研究
分类号:
类　型: 硕士论文
年　份: 2013年
下　载: 30次
引　用: 0次
阅　读: 论文下载

内容摘要

本文以2007年至2012年我国沪深交易所上市交易的公司债券为研究对象，采用标准的事件研究方法和回归方法对于季度公告前后债券市场的反应进行实证分析。基于异常收益和交易量信息，本文检测了债券市场对于好消息和坏消息的反应，并探寻不同债券特性产生的影响。研究结论不仅有助于政策制定者和投资者更好的了解我国市场的发展现状和反应机制，补充国内较为匮乏的相关文献，也为市场今后的发展提供了建议。本文发现我国公司债市场在不断进步，经历2008年的非理性狂热后，市场从2009年开始对好消息反应积极，对坏消息反应消极,公告前市场有强烈的预期。考虑异常收益和交易量，市场都对于坏消息更加的敏感。这些结论印证了债券持有人非对称性反应的假设以及盈利公告对于投资者的有效性。虽然市场的有效性得到了一定程度的肯定，目前我国公司债存在三点问题不容忽视。首先，市场的波动不能有效的被发行人的基本面信息所解释，其次市场流动性和交易频率亟待提升，再次不同类型债券的反应机制存在较大的差异。发行企业的国有背景或者债券所具有的不可撤销连带责任担保条款能够有效的保护债权人，因此这类债券对于坏消息的反应较为平淡，甚至被扭曲，容易受市场情绪的影响。相较而言，无担保或国有背景的债券对信息的反应和吸收更为有效。综上所述，我国的公司债市场是理性和非理性并存的。相较于发达国家的债券市场，我国的公司债市场仍然处于早期阶段，不仅债券市场的容量较小，交易量低，而且具有一定的炒作性质，其准确定价风险和反应信息的能力均有待提升。只有避免地方政府再为潜在的违约债券兜底，允许债券风险的真实反映，允许更多样化的发债主体，统一标准并规范信用评级公司，才能从根本上促进我国公司债市场的长远发展。

全文目录

Abstract  7-8
摘要  8-9
Introduction  9-11
1 Chapter One:Background  11-14
2 Chapter Two: Literature Review  14-25
  2.1 Foreign literature of bond market reaction  14-17
    2.1.1 Symmetric reaction  15-16
    2.1.2 Asymmetric reaction  16-17
    2.1.3 Influence of ownership type  17
  2.2 Domestic literature on bond market reaction  17-21
    2.2.1 Early stage literature on Treasury market  18-19
    2.2.2 Efficiency comparison of segmented markets  19-20
    2.2.3 Bond market asymmetric reaction  20-21
    2.2.4 Influence of ownership type  21
  2.3 Event study approaches  21-23
    2.3.1 Three models in foreign studies  22-23
    2.3.2 Domestic approaches and problems  23
  2.4 Summary and thesis highlights  23-25
3 Chapter Three: Domestic Market Overview  25-35
  3.1 Overview of Chinese bond market  25-26
  3.2 Three milestones for domestic credit bond market  26-27
  3.3 Current restrictions and problems  27-31
    3.3.1 Segmented bond market with low liquidity  27-30
    3.3.2 Lack of real default and distorted market reaction  30-31
    3.3.3 Questionable and lagged ratings  31
  3.4 Reform measures to improve liquidity and efficiency  31-34
    3.4.1 Lower entry standard  32
    3.4.2 Five unifications for integration  32-33
    3.4.3 Simplification of the approval procedure  33-34
    3.4.4 More diversified market players  34
  3.5 Promising outlook for future development  34-35
4 Chapter Four: Research Design  35-44
  4.1 Hypotheses and assumptions  35-38
    4.1.1 Efficient market hypothesis  35-36
    4.1.2 Bondholder’s asymmetric reaction towards bad news  36-37
    4.1.3 Reaction to bad news weakened by protection  37-38
  4.2 Data and sample selection  38-39
  4.3 Event window selection  39
  4.4 Definition of good and bad news  39-40
  4.5 Market reaction measured by return and volume  40-41
  4.6 Judgment of asymmetric reaction  41-42
  4.7 Breakdown analysis  42-44
5 Chapter Five: Empirical Results  44-58
  5.1 Descriptive statistics  44-46
    5.1.1 Sample overview  44-45
    5.1.2 Inflated credit ratings  45-46
    5.1.3 Significance of daily abnormal return  46
  5.2 Qualitative comparison from CAR chart  46-51
    5.2.1 Positive/Negative CAR towards good/bad news  47-48
    5.2.2 Market reaction at early stage is distorted (year 2008)  48-50
    5.2.3 Bond with SOEs background is sensitive to good news  50
    5.2.4 Reaction without SOE-backed is stronger to bad news  50-51
  5.3 Quantitative comparison from regression  51-55
    5.3.1 Reaction is only sensitive towards bad news  52-53
    5.3.2 Reaction in early stage is distorted with inverted CAR  53-54
    5.3.3 SOEs background serves as protection against default  54-55
  5.4 Supporting evidence from trading activity  55-58
    5.4.1 Liquidity is low with abnormality in 2008  55-56
    5.4.2 Market is sensitive towards bad news  56-57
    5.4.3 Trading activity backed by SOEs is stable and weak  57-58
6 Chapter Six: Robust Test  58-63
  6.1 Abnormal return calculated based on other indices  58-59
  6.2 Alternative definitions of good and bad news  59-61
  6.3 Breakdown analysis based on guarantee clause  61-63
7 Chapter Seven: Empirical Results Illustration  63-67
  7.1 Market is progressing with sensible reactions  63-64
  7.2 Reaction is asymmetrically stronger towards bad news  64
  7.3 SOEs background weakens market reaction  64-65
  7.4 Anticipation may be led by information leakage  65
  7.5 Four indispensable factors in macro level  65-67
8 Chapter Eight:Conclusion and Suggestion  67-69
Bibliography  69-72
Acknowledgments  72-73
附件  73

中国公司债市场对盈利公告的非对称反应

内容摘要

全文目录

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