美國可轉換公司債市場轉換溢價之研究

A Study on Conversion Premium of US Convertible Debt

彭怡婷(I-Ting Peng)

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

本論文研究可轉換公司債之發行決策問題，藉由分析轉換溢價之影響因素，以及針對不同性質企業及產業類別，討論其轉換溢價決定因素是否有所差異，目的為試圖探討公司如何決定轉換溢價之設定。研究對象為1992年1月至2007年3月底止，在美國公開發行之可轉換公司債。
實證結果發現，擁有低票面利率、低負債比率以及信用評等較佳的發行公司，會設定較高之轉換溢價。另外擁有不同企業性質的發行公司之轉換溢價影響因素的確有所差異。最後，在針對不同產業類別討論方面，顯示電子類公司在設定轉換溢價時，較不受本研究所選定的變數影響，而非電子類公司的轉換溢價則受到可轉換虛擬變數、負債比率及發行規模的影響。
本文希望針對此研究結果能提供發行公司在設定轉換溢價時之參考，以設計良好的可轉換公司債，使可轉換公司債能有效發揮其融資功能，對於投資人而言，亦可依據轉換溢價影響因素決定是否購買可轉換債券。

關鍵字

可轉換公司債 ； 轉換溢價 ； 後門假說 ； 轉換比率

並列摘要

This paper studies the issue decision problem of the convertible debt. It particularly analyzes the relation between the conversion premium, and different enterprises characteristics and industry classification. The purpose is in order to examine how the company determines the conversion premium. The research sample includes public U.S. convertible debt issued between January, 1992 and March, 2007.
The empirical results are summarized as follows. The issuers with low coupon rate, low debt ratio and higher credit rating would set higher conversion premium. In addition, this thesis also finds that the conversion premium deterministic factors of the issuers are associated with enterprises characteristics. Finally, in discussing different industry's classifications, it observes the electrical industry is not influenced by the selected parameters of this research while setting conversion premium, but the conversion premium of the nonelectrical industry is influenced by debt-convertible dummy, debt ratio and issue size.
This thesis hopes the research can offer reference to the issuers while setting conversion premium in order to design the good convertible debt. Enable the convertible debt to give play to its financing function effectively. The investors can also determine whether to buy the convertible debt or not according to the deterministic factors of conversion premium.

並列關鍵字

Convertible debt ； Conversion premium ； Backdoor hypothesis ； Conversion rate

參考文獻

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