台灣可轉換公司債市場轉換價格之研究

A Study on the Conversion Price of the Convertible Bonds in Taiwan

王心怡(Sin-Yi Wang)

指導教授 ： 郭文忠

國立臺北大學/社會科學學院/經濟學系/碩士(2008年)

摘要

本論文主要為探討台灣已上市上櫃之可轉換公司債折溢價程度之決定因素。就可轉換公司債實際發行時折溢價程度以及可轉換公司債發行條款中約定之轉換溢價兩個變數之影響原因加以分析。本文研究假說根據Kim (1900)訊號均衡模型與Stein (1992)的後門權益假說理論基礎，得到轉換價格高低能夠傳遞市場未來盈餘好壞訊息以及可轉換公司債融資對於股票、債券的傾向。本研究選取文獻中用來檢驗可轉換公司債發行動機與特徵的研究變數，以相對發行大小、負債比率、公司市值、發行總額、發行前一年底累積報酬率、票面利率、贖回條款、賣回條款與發行條款中近似於到期期限檢驗變數的發行年數作為檢驗折溢價策略訊息的影響因素。

本論文之實證研究結果發現票面利率、發行年數、賣權特徵是主要影響實際發行與條款中溢價的因素。迴歸結果顯示較低的票面利率、較長的發行年數、附有賣回權利的可轉換公司債會訂定相對較低的溢價程度，發行時的溢價也會較少以貼近轉換價值，因此發行公司的策略訊息為權益融資。另外以分期、分群樣本再次檢驗，票面利率與發行年數在早期是較明顯的影響因素，可能是後期趨向於零票息與發行年數趨向於五年變動較少而使影響程度降低。此外，負債比率亦在全球景氣衰退前(2000)影響條款的溢價程度。至於以市價淨值比、市值、電子產業來分群的樣本來看成長性與公司規模不同的影響因素，除了全樣本的三個主要影響，相對發行大小、市值、發行總額亦具有部份解釋分群樣本的溢價程度的能力，且公司規模較小、發行總額較大會有較少溢價程度，同樣代表以權益融資發行的取向。

關鍵字

可轉換公司債 ； 折溢價比率 ； 融資 ； 票面利率 ； 規模效果 ； 市價淨值比

並列摘要

This thesis attempts to discuss the essential factors of conversion premium in Taiwan convertible bond markets. It uses both the conversion premium on the issue day and those on the issue contract to analysis the determinant of conversion premium. I adopt the signaling theory of Kim (1900) and the back door hypothesis of Stein (1992) that the conversion price can see as the signals for future earnings and the company’s financing policy.
This research chooses several variables to examine the conversion premium, including the relative size, debt ratio, market capitalization, issue amount, issue years and coupon rate. The issue years, coupon rate, and the put provision are the main factors influencing the conversion premium both of the issue day and the issue contract. The empirical results in this thesis suggests that the lower the coupon rate is or the longer the issue years is, the lower the premium is, and the convertible bonds is more equity-like.
In addition, we distinguish the samples into several parts to discuss, the coupon rate and issue year are more obvious influence factors in early days. These may attribute to the trend of zero coupon rate and the short of issue years in recent years. Besides, debt ratio also affects the conversion premium subsamples on the issue contract before 2000. By considering the growth opportunity and the size effect, we separate convertible bonds into two groups of different market to book ratio, different market capitalization, and different industries to exam the conversion premium. Besides the three mainly important factors, relative size, market capitalization and issue amount variable partially explain the premium. The small the company size or the larger the issue amount, the less the conversion premium is, and the convertible bonds are more equity-like.

並列關鍵字

convertible bonds ； conversion premium on the issue day ； financing ； coupon rate ； size effect ； market to book ratio

參考文獻

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