- 學位論文
可轉換公司債率對每股盈餘之探討 －縱橫平滑移轉迴歸模型之應用
The Study of Convertible Bond ratio on EPS：The Application of Panel Smooth Transition Regression Model
摘要
本研究係以國內可轉換公司債率(可轉換公司債發行金額除以總資產)對每股盈餘的變化，並分析負債比率、股價淨值比及股利政策等控制變數對每股盈餘是否存在著非線性的關係。在研究方法上採用Gonzalez, Terasvirta and Dijk(2004, 2005) 所發展的縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR)，以可轉換公司債除以總資產為模型中的轉換變數，觀察台灣上市櫃公司發行國內轉換公司債除以總資產對每股盈餘，是否存在平滑移轉效果(smooth transition threshold effect)，亦為可轉換公司債率是否為每股盈餘產生變化轉折的重要因素，本研究是以274家台灣上市櫃公司發行國內可轉換公司債為研究對象，以2004年至2007年的年資料，作為探討可轉換公司債率對每股盈餘影響程度。 根據實證結果顯示，得知可轉換公司債率對每股盈餘之間確實具有平滑移轉效果，存在一個轉換門檻值－37.5%，當可轉換公司債率低於門檻值時，負債比率對每股盈餘並無影響，股價淨值比對每股盈餘為正相關，而股利政策對每股盈餘也存在正相關；當可轉換公司債率高於門檻值時，負債比率對每股盈餘轉為負相關，股價淨值比對每股盈餘也是轉為負相關，而股利政策對每股盈餘仍存在正相關，亦表示當股利政策愈高對每股盈餘之影響愈明顯。
並列摘要
Using a CBs/TA ratio, derived from dividing the amount of domestic convertible bonds(CBs) issued by a certain company with its total book asset at the end period, this research analyses whether a company’s debt ratio(DEB), market-to-book ratio(MB) and dividend policy(DIV) exists nonlinear-regression relationships with its earnings per share(EPS) under different level of CBs/TA ratio. We adopt the Panel Smooth Transition Regression Model(PSTR) developed by Gonzalez, Terasvirta and Dijk(2004, 2005), and select the CBs/TA ratio as the transformation variable to ascertain whether the CBs/TA ratio has a smooth transition threshold effect on, ie. plays a key factor to cause the transformation of, the response variable, EPS. Our modeling samples contain 274 listed companies in Taiwan Stock Exchange or GreTai Securities Market with domestic convertible bonds issuing during 2004 to 2007, and financial ratios are calculated with calendar year-end data. Demonstrated by our empirical analysis, the CBs/TA ratio do possesses a smooth transition threshold effect on earnings per share, with a transformation threshold value at 37.5%. In more specific, when the CBs/TA ratio falls bellow the transformation threshold value, debt ratio is irrelevant to EPS, and both market-to-book value and dividend policy have positive correlation with EPS. Once the CBs/TA ratio exceeds 37.5%, both debt ratio and market-to-book value turn out to be negative correlative to EPS. Dividend policy, however, remains positive and suggests the higher the dividend payment the greater impact on earnings per share.