政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/126575

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/126575

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/126575

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/126575

Title:	投資者需求對可轉債證券設計及財富效果之影響無
Authors:	高政修 Gao, Jheng-Siou
Contributors:	岳夢蘭 Yueh, Meng-Lan 高政修 Gao, Jheng-Siou
Keywords:	投資者需求可轉債異常報酬 Investor demand Convertible bond Delta Abnormal return
Date:	2019
Issue Date:	2019-10-03 17:16:48 (UTC+8)
Abstract:	本研究以選擇權需求、融券餘額變化及共同基金流量作為可轉換公司債之投資者需求，研究其對可轉債證券設計及股東財富效果之影響。關於證券設計，實證結果顯示選擇權需求、融券餘額變化較高時，可轉債之權益比重(delta)較高，而共同基金流量較高時，可轉債之權益比重較低，此外，本研究亦發現融券餘額變化對delta之影響，在海嘯前後顯著程度差異大。而關於股東財富效果，本研究之實證結果發現融券餘額變化較高時，可轉債發行發行公司之累計異常報酬率較低，且在高低delta兩組樣本之迴歸中皆顯著。 The study uses option demand, short interest change and mutual fund flows as proxies to examine the influence of investor demand on convertible bond security design and shareholder wealth effects. With regard to security design, the empirical results show that equity proportion of convertible bond (delta) is larger when option demand and short interest change are higher. Besides, the higher the mutual fund flows is, the smaller the delta is. Furthermore, influence of short interest change on delta is more significant after financial crisis. As for the shareholder wealth effect, the empirical results indicate that the cumulative abnormal return of convertible bond issuing firm is more negative when short interest change is higher. The coefficients of short interest change are also significant in both high and low delta samples.
Reference:	Baker, M. (2009). Capital market-driven corporate finance. Annu. Rev. Financ. Econ., 1(1), 181-205. Brown, S. J., Grundy, B. D., Lewis, C. M., & Verwijmeren, P. (2012). Convertibles and hedge funds as distributors of equity exposure. The Review of Financial Studies, 25(10), 3077-3112. Burlacu, R. (2000). New evidence on the pecking order hypothesis: the case of French convertible bonds. Journal of Multinational Financial Management, 10(3-4), 439-459. Choi, D., Getmansky, M., & Tookes, H. (2009). Convertible bond arbitrage, liquidity externalities, and stock prices. Journal of Financial Economics, 91(2), 227-251. De Jong, A., Dutordoir, M., & Verwijmeren, P. (2011). Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation. Journal of Financial Economics, 100(1), 113-129. De Jong, A., Dutordoir, M., Van Genuchten, N., & Verwijmeren, P. (2012). Convertible arbitrage price pressure and short-sale constraints. Financial Analysts Journal, 68(5), 70-88. De Jong, A., Duca, E., & Dutordoir, M. (2013). Do convertible bond issuers cater to investor demand?. Financial Management, 42(1), 41-78. Dong, M., Dutordoir, M., & Veld, C. (2011). Why do firms issue convertible bonds? Evidence from the field. Evidence from the Field (May 2, 2011). Duca, E., Dutordoir, M., Veld, C., & Verwijmeren, P. (2012). Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation. Journal of Banking & Finance, 36(11), 2884-2899. Dutordoir, M., Lewis, C., Seward, J., & Veld, C. (2014). What we do and do not know about convertible bond financing. Journal of Corporate Finance, 24, 3-20. Lewis, C. M., & Verwijmeren, P. (2011). Convertible security design and contract innovation. Journal of Corporate Finance, 17(4), 809-831. Lewis, C. M., Rogalski, R. J., & Seward, J. K. (1999). Is convertible debt a substitute for straight debt or for common equity?. Financial management, 5-27. Loncarski, I., Ter Horst, J., & Veld, C. (2009). The rise and demise of the convertible arbitrage strategy. Financial Analysts Journal, 65(5), 35-50.
Description:	碩士國立政治大學財務管理學系 1063570161
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G1063570161
Data Type:	thesis
DOI:	10.6814/NCCU201901192
Appears in Collections:	[Department of Finance] Theses

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