國內可轉換公司債已成為台灣上市公司之重要籌資工具,然而其多以低於合理價格之面額發行,造成深度折價發行之情形。本研究以折價發行轉換債為主題,探討各因素對於發行折價率之影響效果,並研究投資人接受到折價強度之訊息後對於股價之反應。研究發現,轉換價格為造成深度折價發行的重要因素,並涉及公司內部關係人圖利之行為,另外重設條款之履約彈性亦使可轉債合理價值增加,公司的成長機會則使可轉債之發行無須深度折價吸引投資人。在股價反應方面,投資人在接受折價幅度訊息前後,對於股價均無特別反應;在折價訊息釋出前,發行可轉債之負債比率增幅與股價累積異常報酬有正向關係。表示投資人尚不知公司是否廉售其證券,公司發行轉換債可展現其對前景之信心,對投資人而言為一好消息。
Convertible Bond (CB) has been a popular financing vehicle for companies listed on the Taiwan Stock Exchange. The issuing firms, however, usually issue CBs at a price much lower than the theoretical price. Conversion Price (CP) is a critical factor that results in an unusual high theoretical price, which may be manipulated by the insiders of the issuing firms. In addition, the value of reset clauses and growth opportunities are both dominant factors that make companies issue discounted CBs. Stock returns is not affected by the degree of CBs’ underestimation, but by the increasing amount of the issuing firms’ debt ratio. This implies that investors regard debt issuing as good news for companies because it shows good prospects for issuing firms.