從公司治理角度探討海外可轉債發行與之後轉換價格重設對公司價值之影響

Euro Convertible Bond Issuance, Conversion Price Resetting and Corporate Value –From Corporate Governance Perspective

王瑪如(Ma-Ju Wang)

指導教授 ： 李存修

共同指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/博士(2008年)

https://doi.org/10.6342/NTU.2008.03218

摘要

海外可轉換公司債之發行已成為台灣上市公司的重要籌資工具，從2000年1月至2006年10月，台灣上市公司總共發行了254億美元之海外可轉換公司債。本研究以台灣上市公司宣告發行海外可轉換公司債為事件主題，將樣本分為民國92年前後兩期，探討其發行宣告在不同期間的市場反應，並找出宣告發行公司特性、債券特質與這段期間股價異常報酬變動的關係。研究發現，市場對宣告當日的反應都傾向負面，民國92年之前，市場在發行海外可轉債宣告前大部份的天數有顯著的正異常報酬，但92年之後，在海外可轉債發行宣告後一星期卻有明顯的負異常報酬，此實證結果顯示在民國92年之後，市場已視海外可轉債的發行宣告為壞消息。研究中亦發現，民國92年之前公司規模對宣告期間的股價異常報酬有負面影響，但92年之後，此一影響消失。另外，當公司採用特別重設時，對異常報酬的影響是負面的，規模愈大的公司愈不會有特別重設條款。規模小的公司其控制股東之現金流量權對異常報酬有顯著正向影響，支持現金權與公司價值利益一致的假說。而海外可轉債宣告前的股價表現績效和異常報酬顯著的正相關，顯示了股市投資人對於前景看好的公司對其募資行為仍然是樂觀其成的。

可轉換公司債的發行通常伴隨著負面的宣告效果，但對發行之後的轉換價格重設(reset)則鮮少有實證研究。理論上轉換價格向下重設使轉換比率提高，會造成每股盈餘的稀釋，稱為稀釋效果，但轉換價格的調低也使轉換的可能性升高，降低了償債的壓力，稱為債務緩和效果。

本研究發現對於海外可轉債發行後宣告重設轉換價格之市場反應不顯著，但轉換價格向下重設之生效日的事件效果則顯著為負，換言之，盈餘稀釋效果大於債務緩和效果。比較發行日與發行後重設轉換價格日兩個期間的營運績效顯示，無論是營收成長、資產報酬率或營運現金流量，重設期間之績效相對於發行時都是衰退的，這段期間平均長度約為一年，此現象可解釋發行公司調降轉換價格的原因。

一般而言，重設轉換價格其下降之幅度愈大，對股東愈不利，但是對於營運現金流量衰退幅度較大之公司，包括向下重設幅度接近法定兩成上限之公司，可能面臨較嚴重的融資成本支付壓力，其轉換價格向下重設的幅度愈大，可轉債的轉換可能性愈高，償還本息的壓力愈小，重設日股票異常報酬反而是正的，顯示此時股東重視債務緩和更勝於盈餘被稀釋。

關鍵字

海外可轉換公司債 ； 公司治理 ； 異常報酬 ； 轉換價格 ； 重設條款 ； 稀釋效果 ； 債務緩和效果

並列摘要

Euro Convertible Bond (ECB) has been a popular financing vehicle for Taiwan Stock Exchange listed companies. Some USD 25.4 billion of ECB has been issued from January 2000 to October 2006. The abnormal stock return around the announcement date is found to be mostly negative. The negative announcement effect continued for around one week after the event date for samples after 2003, implying that ECB announcement became a bad news for the issuing companies in the post-2003 period. Negative relationship between abnormal return and company size was found before 2003, but disappeared afterwards. Special reset clause which allows the issuing company to reset downward the conversion price without lower limit, was found to have a negative impact on the abnormal returns. Smaller companies tend to incorporate special reset clause in their ECB’s more than larger companies. Their abnormal returns are positively related to the cash flow right of the controlling shareholder, consistent with the Convergence of Interest Hypothesis. Finally, company performance in terms of stock returns before the announcement of ECB issuance is found to be positively related to the abnormal returns, implying that ECB issuance of good companies is still regarded as a good news by the market.

It has been well documented that negative effect prevails around the announcement date of convertible bond (CB) issuance. However, researches on the effect of conversion price (CP) downward resetting have been rare if there is any. Theoretically, downward resetting of CP raises the conversion ratio and hence induces heavier potential dilution on EPS upon conversion. On the other hand, downward resetting of CP also enhances the likelihood of conversion and therefore ease the cash flow burden of principal repayment. While the former, called dilution effect, is predicted to be negative, the later, called debt alleviation effect, is predicted to be positive.

It is found in this paper, using Taiwanese data, that share prices do not react in any significant way around the announcement date of CP resetting. Share prices however do react negatively around the effective date of the resetting event, making dilution effect dominant over debt alleviation effect. After reviewing the operating performance between the CB issuing period and the CP resetting period, we find that sales growth, return on assets and operating cash flow have all been worsening off, which may explain the motivation behind the decision of CP downward resetting.

Intuitively, the higher the magnitude of CP downward resetting, the more the dilution effect will be. But for companies suffering from severe cash flow shortage, the opposite effect may prevail. In other words, when CP reset by close to 20% downward(the legal limit), share prices react positively to the event, i.e., debt alleviation effect becomes dominant.

並列關鍵字

Euro Convertible Bond(ECB) ； Corporate Governance ； Abnormal Return ； Conversion Price ； Reset Clause ； Dilution Effect ； Debt Alleviation Effect

參考文獻

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