- 學位論文
台灣上市櫃公司發行可轉換公司債對股價長短期影響之研究
The Short-term and Long-term Stock Returns on Convertible Bond Issuance in Taiwan
摘要
本研究以發行轉換公司債之國內上市櫃公司為研究對象，探討可轉換公司債發行宣告對樣本公司股價所產生的影響，並將全體樣本依產業別、轉換溢價率加以分類比較。 實證結果市場對於宣告發行可轉換公司債的公司有負向的累積異常報酬，而短期實證結果機電類股在宣告訊息的負向股價報酬之影響程度較傳統產業為低，由於機電類股為財務槓桿較高且成長較快的公司，較適合發行可轉換公司債，因此短期實證結果符合預期。另外轉換溢價率低者在宣告日後負向累積異常報酬較轉換溢價率高者為低，此外樣本公司的長期買進持有報酬率是明顯低於市場投資組合報酬率，實證結果長期及短期皆為負向的報酬支持盈餘稀釋效應。
並列摘要
This study examines the effect of announcement of issuing convertible bond on stock returns in Taiwan. Further analysis and evaluations are made based on the empirical results to discuss the influences of Taiwanese company to its stock price, and later, to categorize sample companies by industry sector and conversion premium, and compare these two sub-samples by the short-term and long-term stock returns. There are negative cumulative average abnormal returns existed upon the convertible bond announcement. The abnormally negative cumulative average returns on convertible bond announcement of electronic-machine companies is lower than non-electronic-machine companies. Because the financial leverage of electronic-machine is high than non-electronic-machine to issue convertible bond. The short-term stock returns conform to our anticipation. The negative cumulative average abnormal returns on convertible bond announcement of the low conversion premium companies is lower than the high conversion premium companies. Moreover, the long-term buy–and–hold returns are significantly low than the market portfolio. The short–term and long–term negative cumulative average abnormal stock returns support earnings dilution effect.