公司發行可轉債之宣告與長期績效

The Declaration of Issuing Convertibles for Companies and the Long-term Performance

李美芳(Mei-Fang Lee)

指導教授 ： 徐政義

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2011年)

摘要

本研究分別從發行公司端(初級市場)及投資商品端(次級市場)來探討可轉債。首先從發行公司端探討公司發行可轉債之動機及其宣告發行之長短期效果，其中針對宣告發行之長短期效果為討論可轉債宣告日前後五日股價之影響、發行日前後五日股價之變化及發行日後一年股價之變化。
實證結果發現，宣告日後一日有正的超額報酬，顯示市場對於公司宣告發行可轉債之訊息，做正面解讀。至於發行日之短期績效而言，除發行日前5天，因為可轉債之繳款日，公司心態偏多，有正向之超額報酬外，其餘皆無超額報酬，發行日一年後之長期績效為明顯超額正報酬。
再來針對次級市場因可轉債與標的股票間存在不效率性而產生套利空間，討論可轉債無風險靜態套利，給予想從事可轉債套利之投資人參考及提醒投資人該注意之風險。
關鍵詞：可轉債、套利

關鍵字

套利 ； 可轉債

並列摘要

This study is based on the different views of IPO companies (primary market) and investment products (secondary market) to discuss convertibles. First, we will discuss the motivation of issuing convertibles and the influence of long-term and short-term performance of IPO declaration. It will focus on the effect of stock price and the variation of the issuing during the ten days period which before and after IPO declaration. Meanwhile, it also focuses on the variation after one year of the declaration.
As result, the positive abnormal return , one day after the declaration, shows that the market views that the IPO declaration a positive sign. As to the short-term performance of the declaration, except the first five days of declaration, when the IPO companies want to push up stock price to attract investors to pay convertibles. The rest does not have the abnormal return. After a year of the declaration, the long-term performance apparently has positive abnormal return.
Moreover, I will discuss none-risk arbitrage chance of secondary market due to the price inefficiency between convertible and its target stock. That could give the advice to investor that the risk of arbitrage of the convertibles.
Keywords：convertibles、arbitrage

並列關鍵字

arbitrage ； convertibles

參考文獻

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