市場如何解讀台灣現代可轉換公司債

How the Market Reacts to the Modern Convertible Bond in Taiwan

黃珮璇(Pei-Hsuan Huang)

指導教授 ： 盧秋玲

國立臺灣大學/管理學院/國際企業學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201701573

摘要

本研究欲探討投資人對公司發放可轉債抱持的看法。實作結果發現，不同於過去研究，投資人對可轉債之宣告效果已改變，傾向正面看待可轉債的發放，並在事件期間[-5,5]、[-1,1]均有正向的顯著累積異常報酬。尤其是宣告日前四天至宣告日後一天之每天平均異常報酬亦為顯著，也就是說可轉債有正面的宣告效應，但市場已在宣告日前提前反應。根據此結果本研究推斷原因為兩個：1) 資訊早已洩漏至市場，因此市場提前做出反應，2) 大股東或公司故意將定價日前幾日股價拉高，使其轉換價變高，避免投資人太快轉換。本研究找出其標的公司支股票成交量，並發現事件前樣本中有逾五成的公司之成交量處量縮，而在事件日前後則明顯有更多公司處量增，意即在事件日前後不但有正向異常顯著報酬，且成交量變大。最後一步發現公司市值大小可解釋事件期間之累積異常報酬，並對累積異常報酬有負面之影響 。

關鍵字

可轉債 ； 宣告效應

並列摘要

This study intends to understand investor reaction towards convertible bond issuance. Result indicates that unlike the past, there is a change in investor perception toward convertible bond issuance; it has become a positive signal, and there are significant positive CAARs at both window [-5,5] and [-1,0], especially 5 days prior to announcement date. The result shows a positive announcement effect, but reacts in advance. There are 2 possible reasons that explain the result: 1) information leakage, 2) major shareholders or company lift the stock price before the price setting base date so investors will not be able to convert easily. This study has also identified the underlying stock’s trading volume, and finds 55% of the companies have low trading volume before the event date; however, during the event date many companies have increasing volume. This means there not only exists significant abnormal return around the event date, the trading volume is also very high. And lastly it is found that company’s market value can explain the CAR at significant degree negatively.

並列關鍵字

Convertible bond ； announcement effect

參考文獻

Chang, C.H., 2006. The causes of announcement effect of convertible bonds issuance – the empirical study on the short-term and long-term common stock price effect.

Lee, T.S., Hu, S.Y., Wang, M.J. 2007. Euro convertible bond issuance, corporate value and corporate governance. Journal of Finance Studies, 15(3), 2007.

Literature References

Abhyankar, A., Dunning, A., 1999. Wealth effects of convertible bond and convertible preference share issues: an empirical analysis of the UK market. J. Bank. Financ. 23, 1043–1065.

Ambarish, R., John, K., and Williams, J. 1987. Efficient Signaling with Dividends and Investments. J. F. Vol. 42, No. 2, 321-343.