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可转债上市及转股日的异常收益探讨(1)(2)

2017-07-26 01:23 名称上市日转股日到期日名称上市日转股日到期日民生转债2003-03-182003-8-272008-02-27歌华转债2004-05-282004-11-122009-05-11水运转债2002-08-282003-8-132007-08-12营港转债2004-06-032004-11-202009-05-19云化转债2003-09-252004-3-102006-09-09江淮转债2004-04-292004-10-152009-04-14西钢转债2003-08-262004-2-112008-08-10侨城转债2004-01-162004-7-12006-12-31雅戈转债2003-04-212003-10-32006-04-03铜都转债2003-06-042003-11-212008-05-20复星转债2003-11-172004-4-282008-10-27燕京转债2002-10-312003-10-162007-10-16阳光转债2002-05-162003-4-182005-04-18丰原转债2003-05-202003-10-272008-04-23桂冠转债2003-07-152004-6-302008-06-29华菱转债2004-08-032005-1-162009-07-16山鹰转债2003-07-012003-12-162008-06-15华西转债2003-09-162004-3-12008-08-31华电转债2003-06-182003-12-32008-06-02金牛转债2004-08-262005-2-112009-08-11国电转债2003-08-012004-1-182008-07-17首钢转债2003-12-312004-6-162008-12-15邯钢转债2003-12-112004-5-262008-11-25丝绸转22002-9-242003-3-102007-9-9　　数据来源：凯龙财经转债评价暨分析系统。下同。　　定义估计窗口为转债上市后第31至第80个交易日，事件窗口为上市后20个交易日及转股日前后各20个交易日。图1为上市初期及转股日前后转债累计异常收益情况。 　　表2为转债上市初期及转股日前后平均累计异常收益ACAR对应的T检验值。表2 上市初期及转股日前后转债平均累计异常收益ACAR对应的T检验值上市初期转股日前后时间ACART时间ACART时间ACART10.0012450.658362-200.0021261.35223510.0113131.78528420.0014620.62062-190.0031671.23362720.0056550.7599930.0020310.5981-180.0067592.10722430.007791.13056140.0032250.927948-170.0084372.32710440.0073841.05456750.0032030.813032-160.0092122.16990150.0089431.12035760.0047461.085145-150.0094772.19260460.0106451.35863270.0040130.934619-140.0106252.18649470.0126971.5286580.0034990.879231-130.0105432.42762580.0145121.57136490.0032070.741334-120.0091251.9505190.0176721.722896100.0020430.462087-110.0062271.351199100.0166841.720501110.0013380.283804-100.0058311.327685110.0160811.766636120.0024620.482826-90.0088841.981773120.0165121.858297130.0034090.670189-80.0083221.81442130.0170231.884268140.0048350.812903-70.0105992.230125140.0169391.727282150.0040010.664367-60.0100262.399439150.0164311.594671160.006050.852988-50.0112.488982160.0161811.523866170.0073640.944735-40.009221.726116170.0171131.543034180.0087581.092626-30.0106361.793523180.0204511.7943190.0075130.927001-20.0115481.919174190.0202861.680898200.0066630.800549-10.0120281.718828200.0216381.856058　　t0.95(24)=1.7109，t0.975(24)=2.0639，t0.99(24)=2.4922。　　由t检验临界值可看出，转债上市初期异常收益不明显，转股日前后存在异常收益。 （科教作文网http://zw.ΝsΕac.cOM编辑）
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