影響可轉換公司債發行宣告效果的因素－長期與短期股價效果之實證研究

The Causes of Announcement Effect of Convertible Bonds Issuance-The Empirical Study on the Short-Term and Long-Term Common Stock Price Effect

張志向(Chih-Hsiang Chang)

《輔仁管理評論》 13卷2期 (2006/05) Pp. 99-140

https://doi.org/10.29698/FJMR.200605.0005

摘要

本研究以國內發行可轉換公司債之上市櫃公司為研究對象，藉由事件研究法與買進持有報酬模式，探討可轉換公司債發行宣告對發行公司普通股價格的影響。相較於早期相關文獻，本文旨在同時探討可轉換公司債發行宣告對發行公司長期與短期股票報酬的影響；而且爲了進一步瞭解可轉換公司債發行宣告對於權益市場所提供的資訊內容，本研究亦分析發行規模、公司規模、公司成立時間長短、產業別、資金運用計劃及溢價率等六個因素，對於可轉換公司債發行宣告效果的影響。實證研究結果顯示：在短期影響方面，若使用董事會日作為事件日時，可轉換公司債發行宣告會使得發行公司股價產生顯著地負的異常報酬；但若利用發行日作為事件日，卻無顯著的異常報酬產生。而在長期效果方面，發行公司之長期買進持有報酬率是明顯低於市場投資組合報酬率。至於在研究變數的影響方面，我們發現發行規模及溢價率明顯地影響可轉債的長期與短期發行宣告效果。

關鍵字

可轉換公司債 ； 事件研究法 ； 發行規模 ； 溢價率 ； 股票報酬

並列摘要

This paper employed event study and buy-and-hold returns model to explore the effect of the announcement of issuing convertible bonds on the stock return of the firms that issue convertible bonds in Taiwan Stock Exchange. Contrast to the past literature, we investigated not only the influence of the issuance of convertible bonds on the short-term and long-term stock returns, but also the impact of issue volume, size, year of launching, kind of industry, capital planning of a company, and premium ratio on the stock price reaction of convertible bonds issuance announcement in order to further look at the information contents of the announcement of issuing convertible bonds. The results revealed that in the short-term, significantly negative abnormal returns exist on the board meeting date, but don't on the issuance date, while the long-term buy-and-hold returns are significantly less than the market portfolio returns. Moreover, issue volume and premium ratio all have significant impact on the short-term and long-term common stock price reaction to the announcement of issuing convertible bonds.

並列關鍵字

convertible bond ； event study ； issue volume ； premium ratio ； stock returns

參考文獻

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