可轉債超額報酬探討

Convertible bonds abnormal return

鄭凱文(Kai-Wen Cheng)

指導教授 ： 盧秋玲

國立臺灣大學/管理學院/國際企業學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202201063

摘要

本研究先運用資本資產定價模型分析持有折價可轉債30、60、90、120與150天之報酬，發現在各天期皆具有超額報酬，且隨著時間增加而減少，接著加入Altman (1968) 所提出的Z-score變數、Hui and Heubel (1984) 所提出的流動性變數、違約風險利差變動量與期限利差變動量進行檢驗，發現原有顯著的截距項在加入變數後不顯著，顯示持有折價可轉債的報酬可由以上所提及的變數加以解釋。研究發現流動性及期限利差變動量對持有30天折價可轉債報酬具有顯著影響，持有60天則是以營運資金與總資產比、保留盈餘與總資產比、期限利差與違約風險利差變動量為顯著；持有90天則是以營運資金與總資產比、市值總負債比、流動性與違約風險利差變動量為顯著；持有120天則是以營運資金與總資產比與違約風險利差變動量為顯著；持有150天則是以營運資金與總資產比為顯著。建議投資人可以關注相關變數以獲取較高的報酬。

關鍵字

超額報酬 ； 折價可轉換公司債 ； Z-score ； 流動性 ； 期限利差 ； 違約風險利差

並列摘要

This article analyzes the returns of holding discounted convertible bonds (CBs) at 30, 60, 90, 120, and 150 days by using the capital asset pricing model (CAPM) and finds that the abnormal returns exist on five different holding periods and decrease with time. After adding Z-score variables by Altman (1968), the liquidity variable by Hui and Heubel (1984), the change in default spread, and the change in term spread, the significant intercept of the regression model is found to be insignificant, indicating that the returns to holding discounted convertible bonds can be explained by the addition of the variables. It is found that liquidity ratio and the change of term spreads have significant effects on the return of holding 30-day discount convertible bonds, while working capital to total assets, retained earnings to total assets, the change of term spreads and default spread are significant for a 60-day holding period. Working capital to total assets and market value to total liabilities, liquidity ratio, and the change of default spread are significant for holding a 90-day holding period. Working capital to total assets and default spread are significant for holding a 120-day holding period. Working capital to total assets is significant for a 150-day holding period. It is recommended that investors pay attention to the relevant variables to obtain higher returns.

並列關鍵字

abnormal return ； discounted convertible bonds ； Z-score ； liquidity ； term spread ； default spread

參考文獻

Altman, E. I. (1968), “Financial ratios, discriminant analysis and the prediction of corporate bankruptcy,” The Journal of Finance, 23(4), 589-609.

Altman, E. I., Haldeman, R. G., Narayanan, P. (1977), “ZETATM analysis A new model to identify bankruptcy risk of corporations,” Journal of Banking Finance, 1(1), 29-54.

Ammann, M., Kind, A., Seiz, R. (2010), “What drives the performance of convertible-bond funds?” Journal of Banking Finance, 34(11), 2600-2613

Baumol, W. J., Malkiel, B. G., Quandt, R. E. (1966), “The valuation of convertible securities,” The Quarterly Journal of Economics, 80(1), 48-59.

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