- 學位論文
台灣企業跨國上市發行海外可轉換公司債之宣告效果
Examining the Announcement Effect for Taiwan’s Overseas Public Listing Company Issuing Euro-Convertible Bond
摘要
據華爾街日報資料顯示，從去年（2010）的宏碁、鴻海、友達，到2011年的宸鴻與聯電，皆透過發行ECB募集欲擴充全球產能的大筆資金，這些企業只要有募資的需求，不但總能如期募得款項，且其發行ECB之溢價幅度還屢創新高。曹慧姝（2011）表示，國際資金對資金運用相對具彈性的海外可轉換公司債興趣非常高，尤其是台灣金融業利差低，能提供優渥的資產交換（Asset swap）條件，有利於台灣企業赴海外募資。 過去已有許多研究，探討單一海外融資工具對發行公司財務績效或對股價的影響，本研究欲探討已發行ECB的跨國上市企業之宣告效果，並探究哪些因素會影響ECB的異常報酬率。其中尤其探討跨國上市公司是否為影響股價異常報酬的主要因素。本研究利用事件研究法（Event Study）檢定異常報酬，觀察跨國上市公司發行ECB時的宣告效果。研究結果顯示無論是在發行日或宣告日為事件日，跨國上市公司的宣告效果非但不比非跨國上市公司佳，甚至其股票標的還會有負的累積平均異常報酬率產生。本研究推論，透過發行海外可轉換公司債的跨國上市企業，其平均募集總金額較為龐大，當其投資者購入海外可轉換公司債的同時將以放空現股達到避險效果，使得股票標的於事件日呈現負的異常報酬率。 另一方面，本研究透過複迴歸分析發現長期負債比率、營收成長率及轉換溢價變數，在第一事件日下於各窗口的t值皆不具顯著效果，而於第二事件日下，實證結果支持Stein(1992)的後門權益假說（Backdoor Equity Hypothesis）及Mayers (1998)的連續融資假說（Sequential Financing），顯示投資者對於高的長期負債及成長性較高的公司給予較正面的評價。至於轉換溢價部分，本研究的實證結果則與彭肖平（2009）以在台灣公開發行ECB之結果相符，我國海外可轉換公司債之轉換溢價與累積異常報酬呈負相關，但此結論卻不符合信號模型假說。
並列摘要
A recent Wall Street Journal report shows that Acer, Foxconn, AUO, TPK and UMC have all increased the amounts of their global ECB issuance since 2010. This study finds that the above companies usually raised adequate funds through issuing ECB and the price premium of ECB increases each time. Tsao (2011) argued that the international convertible bond market serves as a good funding source for Taiwan’s companies due to the low interest rate of Taiwanese banks, so that Taiwanese banks can provide good terms of the asset swaps. Numerous researches have focused on the impact of internationally single financial instrument on the financial performance or the stock price of the company. This study attempts to examine the announcement effect of ECB issuance for the internationally cross-listed companies. This investigation also examines the factors affecting the abnormal returns for the ECB as well as the stocks of the cross-listed companies. This study uses the event study approach to examine the abnormal returns for the cross-listed companies which have declared ECB issuance in the past decade. Empirical findings show that there are announcement effects for the cross-listed companies. However, this investigation also finds that the stocks of companies to generate negatively cumulative average abnormal returns. This finding implies that the investors who bought convertible bonds in the international market would also sell short the stocks for hedging purpose. Consequently, the cross-listed companies will likely incur negative abnormal returns on their stock offerings day. Moreover, this study finds that the insignificant effect exists for long-term debt ratio, revenue growth rate and conversion premium on the first event day. This work also finds that investors having a positive evaluation on the companies which have high long-term debt ratio and high growth rate on the second event day. This result confirms with the Stein (1992)’s Backdoor Equity Hypothesis and Mayers (1998)’s Sequential Financing Hypothesis. The conversion premium is also found to be negatively correlated with the cumulative abnormal returns, which confirms with Peng’s (2009) finding, but is inconsistent with the signal hypothesis.