IPO未滿一年即宣告發行國內可轉換公司債為一負向訊號?

Is The Issuance of Convertible Bonds Within a Year After Initial Public Offering a Negative Signal?

翁高文(Kao-Wen Weng)

指導教授 ： 林益倍

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

本文主要探討初上市未滿一年即宣告發行(國內)可轉換公司債(簡稱可轉債)是否為負向訊號。研究結果發現，相對於IPO一年內未發債公司，發行可轉債公司股價從第7個月起連續30個月呈現顯著(α=0.05)的負向累積平均異常報酬，到第36個月累積平均異常報酬更達到-32.57%。顯示IPO一年內發行可轉債對外部投資人來說的確是一項負向訊號。另外運用常續淨值報酬率(RoE)分類再執行可轉債融資宣告效果分析，研究結果顯示，對於前段班企業(RoE皆大於15%)發行可轉債，其累積平均異常報酬表現低於一年內未發債公司；後段班企業(有任一年RoE出現虧損)從第10個月後至第36個月呈現顯著的下降趨勢，至事件期滿+36個月時累積平均異常報酬高達-106.45%，其平均的累積平均異常報酬低於未發債公司高達20.10%，到最終期累積平均異常報酬比相同條件的後段班企業還要再低-38.61%以上。根據上述研究結果，我們建議投資人可執行配對交易，於IPO一年後買進一年內未發可轉債的前段班公司，放空IPO後一年內發可轉債後段班企業，可提高投資人的投資報酬。

關鍵字

累積平均異常報酬 ； 可轉換公司債 ； 初次上市公司

並列摘要

The main purpose of this paper probes into "Is the issuance of convertible bonds within a year after Initial Public Offering (IPO) a negative signal?" We use Market-Adjusted Returns Model to examine the cumulative average abnormal returns (CAAR ). The research finds the stocks' price of firms issued convertible bonds (CB) present lasting 30 months significantly (p<0.05) negative CAAR form event month t=+7,and CAAR declines to -32.57% in the end event month t=+36. This result shows that it is really be regarded as a negative signal for outside investors when firms issued CB within a year after offering. Moreover, we do the second phase analysis by utilizing ordinary-income Return on Equity (ROE) ratio as a criteria categorizing the sample to investigate the financing announcement effect. The findings indicate that the monthly CAAR of issued CB underperformed than non-issuing ones for elite class business group (yearly ROE over 15% in the three years). Likewise, the CAAR in backward class business group (ROE in deficit state in any year of three years) in event month +10 to +36 of issued CB firms show significant(p<0.01) decline, and CAAR are -106.45% for three years. The average CAAR of issuers is less 20.10% than non-issuers, and the largest difference of CAAR between both is 38.61% in month +22. In conclusion, the empirical result is in complete accord with our assumption. We suggest the investors can execute pairs trading. They can buy non-issuing CB elite class shares after 1 year of offering and do short selling stocks in first month of backward class business group which issued CB within a year after offering so that they can earn relatively higher returns.

並列關鍵字

Cumulative Average Abnormal Returns ； convertible bonds ； Initial Public Offering

參考文獻

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