可轉換證券與財務限制之關聯性研究

Convertible Securities and Financial Constraints

陳懷伶(Huai-Ling Chen)

指導教授 ： 廖咸興

國立臺灣大學/管理學院/財務金融學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101038

摘要

過去以來較少研究討論有關於兼具負債與權益部分特性之混合型證券商品，然而隨著金融產業發展日愈發達，金融商品亦日趨多元化，混合性證券商品亦愈受市場與監管機關的重視。有鑑於市場開放及企業自治性的提高，具彈性靈活設計之混合性證券之重要性逐漸增加，本文欲以混合性證券種類中較常見之可轉換商品為研究對象，分析其與公司外部融資關聯，探討其與公司財務限制之相關性。
本文認為市場推斷公司發行可轉換證券為不利信息抑或係盈餘管理導致公司表現不佳可能作為影響可轉換商品與財務限制關聯性之原因。本研究以2004至2019年美國公司資料，以縱橫斷面追蹤資料迴歸分析發行可轉換商品之公司及其財務限制之關聯性。實證結果發現，可轉換商品與財務限制存在正向關聯性，及公司財務限制之增加與企業發行愈多可轉換證券有關。然而，研究結果顯示兩者之前揭相關性結果與公司盈餘管理行為無關。研究另外發現，擁有不同類型可轉換商品對其與財務限制之關聯存在不同效果。此外，不同Tobin's Q比率與營運現金流之公司，影響財務限制效果之程度亦有所不同。本文認為可能與該類特徵之公司較易存在某種訊號發射效果有關。

關鍵字

可轉換證券 ； 可轉換公司債 ； 可轉換特別股 ； 財務限制 ； 盈餘管理 ； 訊號發射理論

並列摘要

There has been little research on hybrid securities which combine the characteristics of debt and equity. However, as the financial industry develops, financial products have become more diversified, and hybrid securities have also been emphasized by the market and authorities. Due to the improvement of market openness and enterprise autonomy, the importance of flexible design of hybrid securities has gradually increased. This study intends to take convertible products which are common in hybrid securities as the research object, analyze its relationship with the company's external financing, and explore the relevance of financial constraints.
This study proposes that the market infers unfavorable information or earnings management may be used as a reason for affecting the relevance of convertible securities and financial constraints. From the data of US companies from 2004 to 2019, this study used panel data as a regression empirical analysis to examine the relationship between companies that issue convertible products and their financial constraints. The empirical results found that there is a positive correlation between convertible products and financial constraints. However, the results of the study show that the previous results of the correlation between the two have no relationship with the company's earnings management behavior. This study also found that having different types of convertible securities has different effects on its association with financial constraints. In addition, companies with different Tobin's Q ratios and operating cash flow have different degrees of impact on the effect of financial restrictions. This study proposes that it may be related to the fact that companies with such characteristics are more likely to certain signaling effects.

並列關鍵字

convertible securities ； convertible bond ； convertible preferred stock ； financial constraints ； earnings management ； signaling theory

參考文獻

Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The journal of finance, 23(4), 589-609.

Bascha, A., Walz, U. (2001). Convertible securities and optimal exit decisions in venture capital finance. Journal of corporate finance, 7(3), 285-306.

Casey, C., Bartczak, N. (1985). Using operating cash flow data to predict financial distress: Some extensions. Journal of Accounting Research, 384-401.

Chou, D. W., Wang, C. E., Chen, S. S., Tsai, S. (2009). Earnings management and the long‐run underperformance of firms following convertible bond offers. Journal of Business Finance Accounting, 36(1‐2), 73-98.

Cornelli, F., Yosha, O. (2003). Stage financing and the role of convertible securities. The Review of Economic Studies, 70(1), 1-32.