可轉換公司債的發行與股票流動性之關聯性─以日本市場為例

Convertible Bond Issuance and Stock Liquidity─Evidence from the Japanese Market

黃笠雯(Li-wen Huang)

指導教授 ： 黃鴻明

國立中央大學/管理學院/財務金融學系/碩士(2011年)

摘要

本文探討1980 年4 月至2007 年11 月，東京證交所、大阪證交所、名古屋證交所上市公司，共514 筆可轉換公司債之發行。以股票流動性之角度探討可轉換公司債之發行動機。研究發現可轉換公司債發行公司之經理人，傾向選擇公司股票流動性風險較低，且市場狀況不利股權籌資之時機發行可轉換公司債，符合後門權益假說與流動性溢酬理論；此外可轉換公司債發行後，樣本公司股票流動性增加，且股票流動性風險顯著下降，證明可轉換公司債之發行可降低發行公司與市場流動性風險之共同性。透過研究日本泡沫化前後不同時期可轉換公司債之發行，發現對於投資人而言，若可轉換公司債之發行無法降低發行公司之股票流動性風險，則不論此債券是否受到政府或銀行的保證，可轉換公司債中債券的角色會使發行公司之系統風險大幅提高。顯示股票流動性風險除了是公司經理人籌資之考量之一，亦是市場投資人衡量證券風險之重要因素。

關鍵字

股票流動性 ； 可轉換公司債 ； 流動性風險

並列摘要

This paper explores the issuance of 514 TSE, OSE and NSE convertible bonds from April, 1980 to November, 2007. It discusses the issuance motivation of convertible bonds from the perspective of stock liquidity. The study finds that managers tend to issue the convertible bonds at the time when firm stocks are in a low liquidity risk and market condition is unfavorable to equity funding, which is in accordance with the backdoor-equity and liquidity premium theory. In addition, after the issuance of convertible bonds, firms’ stock liquidity will be increased, moreover, their stock liquidity risk will be significantly decreased, which proves that issuance of convertible bonds can reduce the comovement of the liquidity risk between issuing firms and market. By researching issuance of convertible bonds in different periods before and after Japan’s bubbling, it finds that for the investors, if issuance of convertible bonds cannot reduce stock liquidity risk of issuing firm, the role of
bonds in the convertible bonds may significantly increase the systematic risks of issuing firm regardless of guaranty made by government or bank for the bonds. It shows the stock liquidity risk is not only one of the considerations for company managers to make funding, but also a critical factor for market investors to measure security risks.

並列關鍵字

Stock liquidity ； Liquidity risk ； Convertible bonds

參考文獻

【29】 Lee, I. and Loughran, T., “Performance Following Convertible Bond Issuance”, Journal of Corporate Finance, Vol 4, pp. 185-207, 1998.

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