企業財務特性與可轉換公司債契約設計

How Company Financial Characteristics Affect Convertible Bond Design

馮韋翔(Wei-Shiang Feng)

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(2011年)

https://doi.org/10.6342/NTU.2011.00742

摘要

無資料

關鍵字

企業財務特性 ； 可轉換公司債契約設計 ； 牛熊市 ； 高科技與傳統產業 ； Logistic 迴歸

並列摘要

According to the pecking order theory, business financing cost from high to low are new stock issued, debt financing and internal earning. Convertible bond is one of the debt financing and it owns debt and equity characteristics simultaneously. We use Black-Scholes formula to separate convertible bonds into debt-like and equity-like debt. Then, we apply classified convertible bonds to regress with financial characteristics of other business which hadn’t issue convertible bond ever. The results show business which are large firm size, low slack, high current asset ratio, high market to book value, high growth in asset change, high volatility and low stock return propensity to issue debt-like CB. There are similar results in equity-like CB, however, the stock return isn’t significant.
We also considered the specialty of Taiwan capital market and bifurcated into tech and non-tech industry. The study reveals equity-like CB has more significant variables than debt-like CB.
Last but not least, we add market condition into our regression model. Firm size and stock return variables have significant in market condition regression. Furthermore, we mixed market condition and industry different together. The result suggests no matter in hot or cold market. CB issued by high tech industry have less significant. There are more significant variables in non-tech industry during cold market. We believe that shows investors will highly concerned the implicit value of embedded option during cold market.

並列關鍵字

Financial characteristic ； Convertible designing ； hot and cold market ； high tech and non-tech industry ； Logistic regression

參考文獻

呂美綠(2007)台灣上市櫃公司發行可轉換公司債對股價長短期影響之研究，國立

Arak, M., and Martin, L.A., 2005,Convertible Bonds: How much Equity, How much debt?, Financial Analysts Journal(6),44-50

Burlacu, R., 2000, New evidence on the pecking order hypothesis: the case of French convertible bonds., Journal of Multinational Financial Management(10), 439-459

Cooper, M., Jr. Gutierrez, R., and Hameed, A., 2004, Market states and Momentum., Journal of Finance(3).,1345-1363

Dann, L., and Mikkelson, W.,1984, Convertible debt issuance, capital structure change, and financing-related information, Journal of Financial Economics(13),157-186