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Announcement effect and its determinants of exchangeable bonds

Author

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  • Wang, Lan
  • Chen, Langnan
  • Chen, Jieni

Abstract

This paper examines the announcement effect of exchangeable bonds and its determinants by utilizing the event study and the BMA respectively and by employing the data from Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) during 2013 and 2017. The results suggest that there is a significantly positive effect on the stock price on day 3 after the announcement based on the full sample and for the event window (1,3) based on the sample from SSE. The results also show that the announcement effect is positively related to the relative size of issuance based on the full sample.

Suggested Citation

  • Wang, Lan & Chen, Langnan & Chen, Jieni, 2019. "Announcement effect and its determinants of exchangeable bonds," Finance Research Letters, Elsevier, vol. 30(C), pages 76-82.
  • Handle: RePEc:eee:finlet:v:30:y:2019:i:c:p:76-82
    DOI: 10.1016/j.frl.2019.04.015
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    References listed on IDEAS

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    Cited by:

    1. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).

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    More about this item

    Keywords

    Exchangeable bonds; Announcement effect; Determinants; Event study; BMA;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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