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可轉換公司債資產交換之研究

A Study on Convertible Bond Assets Swaps

指導教授 : 盧嘉梧
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摘要


本研究分析可轉換公司債資產交換選擇權理論價格與實務上承作可轉換公司債選擇權價格之差異關聯性,研究係先以事件研究法分析可轉換公司債宣告日及發行日後,市場對於普通股股價表現的反應;再將可轉換公司債資產交換的樣本,按發行時的公開說明書中,承銷商所計算的選擇權價格,與市場上投資人承作資產交換選擇權的價格的高低差異,及該券是否有擔保,區分為四組類型,探討轉換公司債發行後五日承作資產交換的分拆比例多寡,及各組樣本公司股價短期及中長期報酬比較實證。 實證結果發現,利用事件研究法探討台灣上市櫃公司可轉換公司債宣告與實際發行兩個期間,發行公司普通股股價報酬均有負向累積異常報酬,可能是市場已瞭解近年可轉換公司債發行後幾乎都會進行資產交換分拆,而可轉換公司債的承銷配售以詢價圈購進行,市場因而認為內部人藉由資產分拆進一步提前將選擇權的價值取走,故普遍有負面的反應。 其次,將可轉換公司債資產交換的樣本,按發行時的公開說明書中,承銷商所計算的選擇權價格,與市場上投資人承作資產交換選擇權的價格的高低差異,及該公司債是否有擔保,區分為四組類型分組分析,結果顯示:當市價高估(係指公開說明書上轉換價理論價值小於證券商提供的選擇權報價者),且無擔保者,市場投資人進行資產交換分拆選擇權之意願明顯較低。 最後,由市價高估的樣本發現,其一個月、三個月及六個月普通股股價平均為正報酬(故選擇權為in the money);而市價低估的樣本,其一個月、三個月及六個月普通股股價平均為負報酬(故選擇權為out of the money);推論其原因為若以投資人單純評估是否投資可轉換公司債時,考慮的重要因素為可轉換公司的溢價率,而不是選擇權理論價與實際價的差異。

並列摘要


This research analyzes the relation between the theoretical and the real price of the convertible bond asset swaps of Taiwan listed companies. With the methods of event study, this research first analyzes the market reaction of common stock market after the announcement and the issuance of the convertible bond respectively. Then this study explores the different conditions of convertible bond swaps sample of the first five days after issuing. The major findings of this study include: First, by event studies, the empirical results reveal that both around the announcement and the issuing days of convertible bonds have negative abnormal cumulative returns on common stocks. This phenomenon may result from that market investors consider that bookbuilding process will benefit the majority shareholders who may deprive the value of convertible bonds issuance by swaps. Second, the research divides the sample of convertible bonds swaps by the dimension of two: One is whether the converting option is overvalued (which means that the theoretical price on prospects smaller than the market price of converting option on swaps), and the other is whether the convertible bonds guarantee by bank (or other assets). The result shows that investors tend not participating swaps on the overvalued and unsecured cases. Finally, in the overvalued cases, it also shows the converting options are in the money whenever after one, three or six months after issuance. In contrast, in the undervalued cases, the converting options are out of the money after one, three or six months after issuance. This implies that the premium rate may be regarded by investors as the key factor to decide the value of convertible bonds.

參考文獻


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