投資人情緒與可轉債發行公司長期績效不彰關係之研究

Can investor sentiment explain the long-run underperformance of convertible bond issuers?

洪錦宜(Chin-I Hung)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2013年)

摘要

無資料

關鍵字

可轉換公司債 ； 投資人情緒 ； 長期績效不佳 ； 盈餘管理 ； 共同基金流量

並列摘要

Convertible bond (CB) is a hybrid security that could be transformed into a firm’s stock at a given price in a given period. In other words, it can be regarded as straight debts involving call options (Chou, Wang, Chen and Tsai, 2009). Recent studies have found that firms issue initial public offers (IPOs), seasoned equity offers (SEOs), and convertible bonds experiencing underperformance in the following years. By and large, related studies of IPO and SEO conclude that investor sentiment and earnings management are two main explanations for IPO and SEO issuers’ long-term underperformance.
The extant literature studying on the reasons for CB-issuing firms’ long-term underperformance, has offered two explanations: firms do wrong investment that cannot generate cash flows immediately and earnings management. However, there are no studies investigate driving forces of the poor long-run performance from a view point of investor sentiment. Since some studies have reached a common conclusion that earnings management is a common reason to cause long-run underperformance on IPOs, SEOs, and convertible bonds. In addition, convertible bonds are somewhat equity-like, firms also have the incentive to issue the convertible bonds when the stock price is overvaluation. Given that investor sentiment does play a role in explaining the underperformance of IPO and SEO, it is reasonable to suspect that investor sentiment may also lead to the long-run underperformance of convertible bonds. Therefore, the purpose of this study is to investigate whether investor sentiment plays a role in driving the long-run underperformance of convertible bonds issuers.
Our final sample investigating in this paper contains 387 CB-issuing firms during the period from 1984 to 2003, and divides into four quartiles by their level of investor sentiment. In this paper, we find there are significantly negative abnormal returns in 2-year, 3-year, and 4-year holding periods by using calendar-time portfolio approach.

並列關鍵字

Convertible bond ； Investor sentiment ； Long-term underperformance ； Earnings management ； Mutual fund flows

參考文獻

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