國內發行可轉換公司債宣告效果與財務特質關係之研究-以電子業及傳統產業為例-

Announcement Effect and Financial Characteristics on Convertible Bounds – A Study of Electronic and Non-Electronic Industry.

徐煜博(Yu-Bo Shyu)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500411

摘要

本研究之研究目的旨在探討國內電子業與傳統產業在發行可轉換公司債之宣告事件對股價影響，並探討發行宣告異常報酬與財務特質的關係。研究期間為1998年至2004年，並以有宣告發行可轉換公司債之發行公司為研究對象。經篩選後共取得231個樣本，其中，電子業及傳統產業分別為172個及59個。
本研究採用事件研究法分析可轉換公司債發行之宣告效果，並以發行公司董事會決議發行日做為事件日，事件期之長度設為各事件日當日前後10天，用來計算正常報酬期間長度則設定為120天。此外，並以財務結構、償債能力及獲利能力三大項的六項財務指標為自變數，進行迴歸分析，探討財務特質與異常報酬的關聯。經實證分析後得到以下結論：
1. 市場對於發行公司宣告發行可轉換公司債有負向的異常報酬。
2. 電子業在宣告事件期之負向累積異常報酬率較傳統產業在宣告事件期之負向累積異常報酬率為低；顯示電子業在宣告訊息對股價影響之程度較傳統產業為低。
整體公司宣告發行可轉換公司債有負向異常報酬，主要受傳統產業影響。
3. 發行公司發行前一年度負債比率、利息保障倍數及股東權益報酬率與異常報酬間有負相關，而流動比率與異常報酬有不顯著的正相關。

關鍵字

可轉換公司債 ； 宣告效果 ； 財務特質 ； 事件研究法 ； 異常報酬

並列摘要

This study attempts to investigate the impact of the announcement effect of domestic convertible bonds (CB) on the stock prices of the 231 companies. This work also explores the relationship between the abnormal rate of return and the financial characteristics of the CB issuing companies during the period from 1998 to 2004. This investigation uses event study to examine the announcement effect of 172 electronic companies and 59 non-electronic companies. The financial structure, debt-paying ability, profit abilities, liabilities/assets ratio，Long term cash/fixed assets ratio，Current ratio，Times Interest Earned Ratio，Return on total assets，Return on shareholders' equity are picked as independent variables, then a regression analysis is employed.
The empirical results are summarized as follows:
1. There are negative abnormal rate of returns existed upon the CB announcement of the companies.
2. The abnormally negative rate of return on CB announcement of the electronic companies is less than that of non-electronic companies.
3. This work finds that the debt ratio, time interest earned and return on equity had a negative relation with abnormal rate of return on CB announcement of the issuing companies. However, the current ratio does not have significant relationship with abnormal rate of return.

並列關鍵字

Convertible Bond ； Announcement Effect ； Abnormal Return ； Financial Characteristics ； Event Study

參考文獻

Alexander G.J. and Stover R.D. and Kuhanu D.B., 1979, “Market Timing Strategies in Convertible Debt Financing”, Journal of Finance, Vol.34, pp.143-155.

Brigham E., 1966, “An Analysis of Convertible Debentures: Theory and Some Empirical Evidence”, Journal of Finance, Vol.21, pp.35-54.

Dann L. and W. Millelson, 1984, “Convertible Debt Issuance, Capital Structure Change and Financing-related Information”, Journal of Financial Economics, Vol.13, pp.157-186.

Eckbo and B. Epsen, 1986, “Valuation Effects of Corporate Debt Offerings”, Journal of Financial Economics, Vol.15, pp.119-151.

Finnerty and J.D., 1988, “Financial Engineering in Corporate Finance:An Overview”, Financial Management, Vol.17, pp.14-33.