摘要
隨著可轉換債券套利資本市場的多元發展，近年來避險基金以可轉換公司債為套利的件數倍增，可轉換公司債之所以受到避險基金的青睞，成為愈來愈受歡迎的投資工具，必有它的獨特之處，而海外可轉換公司債也是公司擴張海外市場的一大助力。本論文的研究目的在了解可轉換公司債： (1) 公司的股票與可轉換債券價格沒有同時上漲或下跌，就有機會建立可轉換債券多頭部位，同時放空根本股票，在這兩種交易間進行套利。 (2) 可轉換債券價格若接近投資價值，表示所轉換的股票價格沒有出現重大折價，投資者可以買進可轉換債券，並放空半數的股票，同時擁有多頭與空頭部位。以此種套利形式，投資者可以不用擔心股價上漲或下跌，只要可轉換債券價格上漲就可以帶來獲利。 (3) 採用可轉換公司債的交易策略運用於避險基金的種類有長期投資(Buy & Hold)、資產交換(Asset Swap)、套利(Arbitrage)、Delta避險、PIPES(Private Investment in Public Equitys)等相關策略來檢驗可轉換公司債的績效。 (4) 可轉換套利指數的價格波動率，明顯低於全球股票指數與S&P 500指數，更重要的夏普率(Sharpe ratio)顯示可轉債套利的報酬風險優於股票市場。 (5) 可轉換套利指數的表現，受到股票市場的影響很小(β值)與股價表現之間的相關程度很低。 (6) 可轉債套利的報酬行為類似於股票，但報酬波動率低於一般債券，說明可轉債套利基金在過去十年來何以普遍獲得青睞的原因。
並列摘要
With the plural development of the convertible bond arbitrage capital market, avoid the dangerous piece taking convertible company's debt as arbitrage of fund and double in recent years, the convertible company's debt is avoided the favoring of the dangerous fund, become the more and more popular investment tool, there must be its unique places, and the overseas convertible company's debt is a great helping hand that the company expands the overseas market. Understanding convertible company's debt in research purpose of this thesis: (1) The stock of the company and convertible bond price have not gone up or dropped at the same time, have an opportunity to set up the convertible multicipital position of bond, the empty basic stock is put at the same time, carry on arbitrage between these two kinds of transactions. (2) If convertible bond price is close investing value, show that the stock price changed has not converted into money greatly, investors can buy the convertible bond, and put and leave half of the stocks spaces, have bulls and nominal position at the same time. So as to one kind of arbitrage forms, investors needn't be afraid that the stock price goes up or drops, can bring and make a profit if go up at the convertible bond price. (3) Adopt the trade tactics of the convertible company's debt to apply the kind which avoid the dangerous fund to and have long-term investment (Buy & Hold), the assets exchanging (Asset Swap), arbitrage (Arbitrage), Delta avoids relevant tactics, such as dangerous, PIPES (Private Investment in Public Equitys),etc. to examine the performance of the convertible company's debt. (4) Fluctuating rate of price of the convertible arbitrage index, less than global stock index and S&P 500 index obviously, important Sharp is it show remuneration risk, transferable bond of arbitrage superior to the stock market to lead. (5) The behavior of the convertible arbitrage index, the relevant degree while displaying with the stock price is very low that influenced by stock market very small (β value). (6) The remuneration behavior of the arbitrage of the transferable bond is similar to stocks, but remuneration person who fluctuates lower than general bond, prove transferable bond arbitrage fund in why be general reason that favor over the last ten years.