台灣上市櫃企業發行公司債宣告對股票報酬之影響

The Announcement Effect of Corporate Bond Issuance on Stock Returns in the Taiwan Stock Market

劉瓊媛(Liu Chiung-Yuan)

指導教授 ： 蔡蒔銓

國立臺灣師範大學/管理學院/高階經理人企業管理碩士在職專班(EMBA)/碩士(2018年)

https://doi.org/10.6345/THE.NTNU.EMBA.043.2018.F08

摘要

本研究選取自民國96年至民國105年合計十年期間，以上市櫃企業發行國內公司債之董事會日為宣告日，共計1,376個樣本(共計564家企業)進行歸納與分析，並考量可轉換公司債與普通公司債之特性並不相同，爰除就整體樣本數探究其標準化平均異常報酬率及標準化累計平均異常報酬率之外，並進一步依市場別、產業別、營收規模、TCRI評等、董監事持股比率及董監事持股設質比率等六類別加以分類，俾利探討各不同類別下是否具有不同之宣告效果，根據實證結果可歸納出以下幾點結論：
一、上市櫃公司發行公司債之宣告具有顯著之負向累計平均異常報酬。
二、上市櫃公司發行普通公司債之宣告具有顯著之負向累計平均異常報酬，惟發行可轉換公債之宣告則為不顯著之負向累計平均異常報酬。
三、上市公司較上櫃公司因發行公司債宣告有較大的負向累計異常報酬，惟僅有上市公司發行普通公司債有顯著之效果。
四、營收規模小於50億之公司因發行公司債宣告有正向累計異常報酬，惟並不顯著。另營收規模大於50億之公司因發行公司債宣告則有顯著之負向累計異常報酬。
五、非電子產業發行國內可轉換公司債具有負向累計異常報酬，而電子產業發行可轉換公司債則具有正向累計異常報酬，惟均為不顯著。而企業發行國內普通公司債，不論其行業別為何，均為顯著之負向累計異常報酬。
六、企業宣告發行公司債，信用等級佳之企業較信用等級差之企業所產生的負向累計異常報酬為大，惟僅有信用等級佳之企業發行普通公司債有顯著之效果。
七、董監事持股比率小於20%之公司其所產生的負向累計異常報酬較董監事持股比率大於20%公司所產生的負向累計異常報酬為大，且其中僅有董監事持股比率小於20%企業發行普通公司債有顯著之效果。
八、董監事持股設質比率小於33%企業之負向累計異常報酬小於董監事持股設質比率高於33%企業之負向累計異常報酬，且其中僅有發行普通公司債有顯著之效果。

關鍵字

公司債 ； 可轉換公司債 ； 異常報酬 ； 事件研究法 ； 董監事持股

並列摘要

The importance of Corporate Bond Issuance as an instrument of fund raising in capital market is constantly increased in recent years because of relevant cost efficiency compared to other instruments due to lower market interest rate and the advantage of reduction the side effect of rapid share capital expansion compared to stock issuance. This study tries to explore the relation of cause and effect between the board resolution date of listed and OTC corporate bond issuance announcement and stock returns in Taiwan through empirical research, which selected total of 1,376 criteria-compliance samples (564 companies in total) from the period between 1996 and 2017 to process the approach of inductive analysis. Besides investigating the announcement effect of corporate bond issuance on stock returns for the whole samples by the methodology of standardised average abnormal returns (SAAR) and standardised cumulative average abnormal returns (SCAAR), under the consideration of difference characteristics between ordinary and convertible corporate bonds , the research distinguishes ordinary corporate bonds from convertible corporate bonds with further classification into industry category、revenue scale、TCRI、director and supervisor shareholding and pledged ratio in order to obtain in-depth understanding of the announcement effect.
According to the research results, it can be concluded that first of all, the announcement of listed and OTC companies issuing corporate bonds has significant negative cumulative average abnormal returns; secondly, the announcement of listed and OTC companies issuing ordinary corporate bonds has significant negative cumulative average abnormal returns while the announcement effect of convertible corporate bonds is not significant; also, compared to OTC companies, listed companies have larger negative cumulative abnormal returns, but only ordinary corporate bonds issuance of listed companies with significant effect.; besides, the companies with revenue scale under NTD 5 billion have positive but not significant cumulative abnormal returns and the companies with revenue scale over NTD 5 billion have significant negative abnormal returns; in addition, it is shown that non-electronic industry has negative cumulative abnormal returns on the announcement of domestic convertible corporate bond issuance and the cumulative abnormal returns of electronic industry are positive, although both of them are not significant. Moreover, regardless of different industries, there are significant negative cumulative returns of domestic ordinary corporate bonds issuance.; furthermore, in the aspect of different TCRI rating, it is illustrated that companies with TCRI rating between 1 to 5 have bigger negative cumulative abnormal returns on the announcement of corporate bond issuance than the returns for companies with TCRI rating between 6 to 9 while only the announcement effects of ordinary corporate bond issuance for the companies with TCRI rating between 1 to 5 are significant.; in addition, although different director and supervisor shareholding ratios have the same negative cumulative abnormal returns, the returns of the announcement effect of the companies with the ratios under 20% are greater than one with the ratios over 20% and only the announcement effects of ordinary corporate bond issuance for the companies with the ratios under 20% are significant; finally, there are negative cumulative abnormal returns for the announcement effects of corporate bond issuance from the perspective of different director and supervisor shareholding pledged ratios, and the negative abnormal returns of the companies with the ratios under 33% are lower than the one with ratios over 33% while only the ordinary corporate bond issuance has significant effect.

並列關鍵字

corporate bond ； convertible corporate bond ； abnormal return ； event study ； director and supervisor shareholding

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