Abstract: This paper conducts an empirical study based on the analyst reports and stock market performance of the listed companies issuing convertible bonds and ordinary bonds prior to the announcement date from 2010 to 2022. The findings show that, compared to the listed companies issuing ordinary corporate bonds, there exist potential hype behaviors between the listed companies issuing convertible bonds and the analysts,which shapes a positive stock price effect. Specifically, the positive tone of the analyst reports significantly increase and the negative tone significantly decrease in the first 180 days of the announcement of convertible bond prospectus issued by listed companies, especially the responses in the first 90 days are more pronounced. At the same time, the average increase in P/B, stock price and circulation market valueis significantly greater in the first 20 days for the listed companies issuing convertible bonds, and the cumulative abnormal returns in the 20 days prior to the announcement date are significantly higher, which results in lower subsequent equity dilution costs for the listed companies issuing convertible bonds. The empirical results suggest that possible hype phenomenon by securities analysts may exist in the capital markets. The above findings unearth the share price anomalies and the transmission mechanism of share price changes prior to the announcement of convertible bond issuance by listed companies, while providing references for the regulation of capital market information disclosure and the protection of public investors.

Key words: convertible bond issuance, analyst report, sentiment analysis, market value management