可转债埋伏配售策略的研究

Research on Ambush Placement Strategy of Convertible Bonds

摘要: 可转换公司债券是一种重要的金融工具，也是近来年我国发展最快的再融资工具之一。可转债埋伏配售策略作为一种新型的抢权配售策略，对这一问题的研究相对较少。本文结合我国金融市场的具体情况，以2022年成功发行的部分可转债为样本，采用事件分析法和市场调整模型，得出了以下结论：在我国资本市场上，可转换债券的发行获得中国证监会批准后，其公告发布日至发行公告日之间，标的股票的异常收益率显著为正，也就是说对可转换债券进行埋伏配售能获得显著为正的收益率。另外，针对影响埋伏配售收益率的因素，研究发现，埋伏配售收益率与可转债发行相对规模显著负相关，与发行人资产负债率、净资产收益率显著正相关。

Abstract: Convertible corporate bonds are an important financial instrument and one of the fastest-growing refinancing tools in China in recent years. As a new type of rights-grabbing placement strategy, the ambush placement strategy of convertible bonds has relatively few studies on this issue. Based on the specific situation of China’s financial market, this paper takes some of the convertible bonds successfully issued in 2022 as a sample, and uses the event analysis method and market adjustment model to draw the following conclusions: in China’s capital market, after the issuance of convertible bonds is approved by the China Securities Regulatory Commission, the abnormal yield of the underlying stock is significantly positive between the announcement date and the issuance announcement date, that is to say, the ambush placement of convertible bonds can obtain a significantly positive yield. In addition, in view of the factors affecting the yield of ambush placement, the study finds that the yield of ambush placement is significantly negatively correlated with the relative scale of convertible bond issuance, and positively correlated with the asset-liability ratio and return on equity of the issuer.