摘要
由於近十年來國內公司發行可轉換公司債的數量與金額都相當可觀，可轉換公司債的學術研究文獻也相對的蓬勃發展，數量可觀。國內對於可轉換公司債的研究，大致可分為兩大類：第一類是公司發行可轉換公司債的原因，第二類為可轉換公司債的定價與套利。前者是從公司資本結構的觀點來論述，後者則是從財務工程的觀點出發，但卻甚少有從投資學角度來研究國內可轉換公司債的文獻。美國的研究發現：折價可轉換公司債 (Discount Convertible Bonds) 投資組合的報酬，顯著高於市場投資組合的報酬。本研究即針對台灣國內發行的可轉換公司債進行類似的研究，而且本研究使用兩種建立折價可轉換公司債組合的方式：買入再賣出策略(buy and sell) 與買入且持有策略(buy and hold)。研究結果發現：使用市場模式(market model)描述折價可轉換公司債的報酬時，發現alpha值顯著大於零，beta值則顯著的介於0.2與0.6之間。本文的研究結果除了說明台灣的市場狀況與美國市場大致吻合，更證明臺灣折價可轉換公司債的投資條件優於美國的相對市場。
並列摘要
In the last decade convertible bonds issued domestically in Taiwan market has had considerable size in terms of quantity and amount. As a consequence, academic studies in this area have been booming and quite numbers of papers were published. In general, the studies on convertible bonds in Taiwan can be classified into two categories, one category on the causes of issuance of convertible bonds and the other category on the pricing and arbitrage on convertible bonds, the former approaches from capital structure point of view and the latter explores by means of financial engineering. There are very few studies on convertible bonds from the prospective of investment. The related study in US reveals that the earning of investment portfolio of discount convertible bonds is apparently higher than that of portfolios in marketplace. The thesis depicts the similar study on the convertible bonds issued in Taiwan market. The study has used two approaches by portfolios of convertible bonds, 1.) Buy-and-Sell: investment strategy of buying in and selling out after one year later 2.) Buy-and-Hold: investment strategy of buying in and holding on to the expiration of bonds. The following results are found from the study. When the earning of the portfolio of convertible bonds is derived by market modeling method, it apparently shows that the alpha value is larger than 0 and the beta value goes between 0.2 and 0.6. Based on the result of the study, it is concluded that besides convertible bonds investment in Taiwan market consistent with that in US market, Taiwan market has better investment conditions for convertible bonds than US market.