本文主要研究臺灣上市櫃公司在發行可轉換公司債後之股價報酬率與其之股權結構之關係。本研究採取事件研究法之市場模式(Market Model)進行分析,事件期間採納三種不同的窗期:分別為發行日後30日、60日以及90日後之股價異常報酬。希望藉由觀察長短時期之股票報酬表現,能更精準地歸納投資者對於公司發行可轉換公司債後股價的反應。本文研究樣本為2000年至2014年間臺灣上市櫃公司,並以多元迴歸檢驗相關假說。 由實證結果可知在發行日後的股價報酬為顯著之負報酬,背後可能隱含市場對可轉換公司債之發行反應較傾向負面的訊息傳遞。而本研究結果發現當公司股權集中度愈集中、大股東持股比率愈高時,會使得公司在發行可轉換公司債後之累積異常報酬也隨之提升;而在探討其與股權偏離程度之關係則未達統計上之顯著性。另敏感性分析部分,使用其他衡量股權偏離程度的變數加以驗證,而其結果雖與本研究之預期相符,但未達統計上之顯著性。
This paper examines the relationship between the ownership structure and abnormal stock return from the firm which issued the convertible bond. This study uses the event study and the market model to calculate abnormal returns as the dependent variable. The event windows are employed three deffrernt settings: 30days, 60days and 90days after issuing the convertible bond. This empirical results show that after the issuance date of issuing the convertible bond, the abnormal returns are negative in average. The abnormal returns will increase when the concentration of ownership structure and the ratio of equity holdings by large shareholders is higher than others. However, there are no relationship between the deviation of control rights from cash flow rights of the controllingshareholder and the abnormal stock return.