可轉換公司債宣告贖回對股票報酬影響與成因之探討

The Announcement Effect of Convertible Bond Calls on Abnormal Returns

吳明政(Ming-Cheng Wu) ； 蔡幼群(Yow-Chyun Tsai) ； 林佳錡(Jia-Chi Lin)

《企業管理學報》 69期 (2006/06) Pp. 135-168

摘要

可轉換公司債在近幾年來，已廣泛的被運用於公司籌措資金時的重要管道之一，其發行量與交易量皆有逐年增加的趨勢。然而，部份可轉換公司積於發行後，公司有權利將該債券進行贖回，此贖回行為的動機與影響效果為何？所引起的市場反應為何？目前國內針對此宣告贖回方面之研究仍相對較少。本文除探討宣告可轉換公司債贖回對股價報酬的影響外，亦對其成因加以研究，期能藉此更加瞭解可轉換公司債宣告贖回的市場反應與財務特性。本研究針對從1997年7月第一個可轉換公司債宣告贖回樣本開始，至2006年4月底為止，全部台灣上市上櫃公司成功發行並提早宣告贖回的可轉換公司債為樣本進行實證研究。結果指出，當可轉換公司債宣告贖回時，事件日當天的股價報酬率呈現顯著負0.5363%的報酬率，表示當可轉換公司債宣告贖回時，短期市場上標的股票的報酬率呈現負的顯著影響。此外，由實證結果發現可轉換公司債宣告贖回之復，股價開始下跌，其後卻又於短期內反轉向上，此結果與Mazzeo and Moore(1992)、Ederington and Goh (2001)、Bechmann(2004)一致。另外，研究結果顯示，可轉換公司債在宣告贖回期間，標的股票交易量並未呈現顯著增加的趨勢，但與宣告贖回後所轉換之股數呈現顯著正向的關係。此外，可轉換公司債於宣告贖回期間，標的股票融券量呈現明顯增加的趨勢，並與宣告贖回後所轉換之股數呈現顯著正向的關係，表示當宣告贖回時所轉換股票之數量愈多時，續回宣告期間的融券量愈多，此實證結果亦與Bechmann(2004)相符。可知債券持有人會在可轉換公司債宣告贖回期問，基於避險動機而先放空股票以規避標的股票波動的權益風險。

關鍵字

可轉換公司債 ； 避險動機 ； 宣告效果 ； 異常報酬

並列摘要

In recent years, issuing convertible bonds is one of the most important ways to raise funds for a corporation, but there were still fewer related researches until now. In addition, both the issue volume and trade volume of the convertible bonds are increasing year by year. Not only did this research investigate the announcement effect of a convertible bond call on abnormal returns, but it also analyzed its causing factors. Although the effect could be thought intuitively, none of researchers investigated it. Thus, this study expected to realize the market reaction and financial characteristics on the announcement of a convertible bond call. The results of this study showed that the abnormal returns on the announcement day are significantly negative, which indicated convertible bond calls are associated with a significantly negative announcement effect. Furthermore, the result represented the cumulative abnormal returns at the time of the call announcement day; convertible bond calls are associated with a significantly negative announcement effect and a subsequent price recovery in the short term. These findings in Taiwan market consist with the results conducted by Mazzeo and Moore (1992), Ederington and Goh (2001), and Bechmann (2004). The results of this study showed that the trade volume of underlying stock did not increase largely at the time of the call announcement day. However, this paper found a significant positive relationship between trade volume and the new shares issued after the call announcement. The short selling in connection with the call increased largely on the day of the call announcement, indicating a highly significant positive relationship between short selling in connection with the call and the new shares issued. The research findings in this study provided support to previous viewpoints of Bechmam (2004), and those findings also demonstrated that bondholders would hedge their equity risk by short selling at the time of the announcement of a convertible bond call.

並列關鍵字

convertible bond ； hedging incentive ； announcement effect ； abnormal return

參考文獻

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