- 學位論文
可轉換公司債的發行與股票流動性之關聯性 —以臺灣為例
Convertible Bond Issuance and Stock Liquidity —Evidence from the Taiwan Market
摘要
本文研究1988年至2007年臺灣市場發行國內可轉換公司債與股票流動性及流動性風險間的關聯性。本文使用Liu(2006)提出由零交易日天數與週轉率組成的流動性指標( )衡量股票流動性，發現發行可轉換公司債前股票流動性上升，表示公司會選擇在資訊不對稱程度較低，意即股票流動性高時發行可轉換公司債，此結果與資訊不對稱假說一致。並且發行可轉換公司債後三年內皆能維持較佳的股票流動性，表示可轉換公司債的發行能使股票流動性獲得長期的改善。本文亦使用Liu(2006)提出的流動性資本資產定價模型(LCAPM)衡量臺灣股票市場的超額報酬，發現控制市場風險與流動性風險後已不存在顯著的異常報酬，表示市場風險與流動性風險足以解釋臺灣股票市場的報酬率。
並列摘要
This paper explores the relationship between convertible issue and stock liquidity risk, on the Taiwan market from 1988 to 2007. We evaluate stock liquidity with the liquidity measure( ) in Liu(2006), which is consisted of zero trading days and turnover. The result shows that stock liquidity will increase before convertible issue, that means company will issue convertible bonds when the information asymmetric is lower, which supports information asymmetric hypothesis. Further, company will keep better post-issue stock liquidity in three years, which means stock liquidity have long term improvement because of convertible issue. Otherwise, we use liquidity-augmented capital asset pricing model(LCAPM) in Liu(2006) to fit excess return on the Taiwan market. The result shows that it does not exist abnormal return after controlling liquidity risk and market risk, which demonstrates market risk and liquidity are sufficient to explain stock return on the Taiwan market.