可轉換公司債軋空行情之實證研究

The Empirical Study of Corner Effects in Convertible Bond

李應慶(Ying-Ching Lee)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500249

摘要

本研究以發行國內可轉換公司債之上市櫃公司為研究對象，藉由事件研究法之市場模式，以股東大會前66日，即融劵強制回補日為事件宣告日，探討可轉換公司債是否具有軋空行情，另以每股盈餘、劵資比、成交量、主力與外資持股、股票週轉率及可轉換公司債之轉換期間為自變數，各事件期宣告日當天之SCAR（標準化累計異常報酬）為應變數，探討軋空行情的成因。
經研究顯示：
一、可轉換公司債於轉換期間進行套利的過程中，軋空行情並不顯著，即於融劵強制回補日前並無明顯之正向累計異常報酬，相反卻有些微負向報酬。但於融劵強制回補日後，確有明顯負向之累計異常報酬。
二、經由本次實證分析發現軋空行情啟動後，發生累計異常超額報酬幾乎是微乎其微，亦表示軋空行情並不普遍存於各類股中，僅止於零星發行公司。且多屬特定人士刻意製造的一種投資假象。
三、根據本文實際案例研究及假設推論中發現，軋空行情，其多受限於市場趨勢、流動性風險與資金壓力，要大規模形成軋空環境，可能性不大。
四、在軋空成因分析中，要大規模形成軋空行情實屬不易，但劵資比與股票週轉率在類股分析，相較其他變數，較具解釋能力，其應可適用於個股軋空分析中。

關鍵字

可轉換公司債 ； 強制回補日 ； 軋空行情 ； 事件研究法

並列摘要

This study evaluated the convertible bonds issued by listed firms in domestic security market. By using the market model of the event study , we explored whether corner effect exists 66 days before the shareholders meeting as the declaring day for compulsory covering of short sale positions. We used the SCAR of the declaring day as the dependant variable and EPS, volume of the market, holding share of the main holders and foreign investors, stock turnover ratio, and the convertible period as the independent variables to examine the key facters that influenced corner effects.

The empirical results are as follows:

1. The negligible corner effect is observed when arbitrage opportunities of the convertible bonds appear after conversion period. That is, there is no significart positive abnormal return before the declaring day . On the contrary, there exists small negative abnormal return. However, we found negative abnormal return after the declaring day.

2. The results show that the accumulated listed stocks abnormal return are nearly zero after the activated corner effect. It means the corner effect is not common among in equity market. It happens only among a few stocks. Most of the time, a false impression created by some speculators to mimic an investing rush in the market.

3. According to the case study and the inferences of the assumption, the corner effect is highly influenced by the market trend, liquidity risk, and capital. It is nearly impossible to create a market environment so that the corner effect may last.

4. It is not easy to create the effective corner effect environment. However, in terms of explanatory factors, Short Sell / Short Interest Ratio and Stock Turnover Ratio have better explanatory power than other factors. These two key factors are suitable in the corner effect analysis.

並列關鍵字

Event study ； The declaring day for compulsory covering ； Convertible bond ； Corner effect

參考文獻

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