Announcement effect and its determinants of exchangeable bonds

Lan Wang, Langnan Chen and Jieni Chen

Finance Research Letters, 2019, vol. 30, issue C, 76-82

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.

Keywords: Exchangeable bonds; Announcement effect; Determinants; Event study; BMA (search for similar items in EconPapers)
JEL-codes: G10 G32 G34 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318307256
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:76-82

DOI: 10.1016/j.frl.2019.04.015

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().