Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/141529
|
| Title: | 可轉換公司債發行期間對標的股價的影響
The Impact on the Stock Price in the Issuance Period of the Convertible Bonds |
| Authors: | 李元禎
Lee, Yuan-Jen |
| Contributors: | 郭維裕
Kuo, Wei-Yu
李元禎
Lee, Yuan-Jen |
| Keywords: | 可轉換公司債
可轉換公司債資產交換
詢價圈購
事件研究法
訂價日
異常報酬
Convertible bonds
Convertible bond asset swap
Book building
Event study
Pricing date
Abnormal return |
| Date: | 2022 |
| Issue Date: | 2022-09-02 14:41:46 (UTC+8) |
| Abstract: | 可轉換公司債對於投資大眾已經是個耳熟能詳的商品，相比選擇權、期貨需要另外開立期貨戶才能操作，可轉換公司債只需要開立證券戶即可購買。在前幾年低利率的情況下，公司若是有舉債的籌資需求，發行可轉換公司債遠比向銀行借款的利率成本來的低上許多。近幾年也因為可轉換公司債資產交換的出現，下檔風險有限並擁有數倍槓桿的特性，使得一般投資人能以更低的金額來參與可轉換公司債的投資，也造就了可轉換公司債的成交量直線上升。
可轉換公司債在發行時有兩大關鍵點，「發行方式」及「特定事件日」。首先發行方式大多採用詢價圈購的方式發行，此一發行方式對投資大眾相當不利，原因在於詢價圈購即公司授權給券商對特定人詢價，基本上一般投資人都不在這個「特定人」的範圍內，因此若我們想要找出此一籌資情況中的不效率性，只能從發行階段的特定事件日著手。
本研究採用事件研究法，針對可轉換公司債的發行日、訂價日、掛牌日、拆解日等關鍵時間點逐一分析，並分析以上時間點與股價的關聯性，其中以訂價日為主要探討重點；若是兩者間真的有顯著的異常報酬，後續也能將此方法延伸為一投資策略。
Convertible bonds are already a familiar commodity to the investing public. Comparing with options and futures, you need to open a futures account to operate. Convertible bonds only need to open a securities account. In the case of low interest rates in the past few years, if the company wants to borrow money, the interest rate of issuing convertible bonds is much lower than borrowing money from banks.
The presence of convertible bond asset swap in recent years, the lower risk and the higher potential profit, so that investors can participate in the investment of convertible corporate bonds at a lower cost, which has also created the volume of corporate bonds skyrocketed.
There are two key points in the issuance of convertible bonds, "issuance method" and "specific event date". Most of the convertible bonds are issued by the book building. This method of issuance is quite unfavorable to the investing public. The reason is that book building means that the company authorizes the securities firm to inquire about the price of a specific person. Basically, most investors are not in this "specific people", so if we want to find out the inefficiencies in this event, we can only start with a specific event day in the issuance period.
In this study we adopt the event study method to analyze the key time points such as the issuance date, pricing date, and listing date of convertible corporate bonds. We analyze the correlation between the above time points and stock prices. Among of them, the pricing date is the main focus of discussion.If there is really a significant abnormal return between the pricing date and stock prices, this phenomenon can also be extended to an investment strategy in the future. |
| Reference: | 吳欽杉(1995)，企業融資宣告與股價關係之實證研究— 以台灣上市櫃公司為例，中山管理評論，第 3 卷第 2 期，頁 41~62。
王朝仕(2005)，可轉換公司債發行宣告效果之再驗證-內部人交易觀點，經營管理論叢，Vol.1, No.2，頁1~22。
簡志鴻(2014)，可轉換公司債發行時資訊之資訊效果研究，輔仁大學金融與國際企業學系研究所在職專班碩士論文
張美英(2006)，上市公司發行可轉換公司債之績效研究，朝陽科技大學財務金融系研究所碩士論文
王重智(2006)，上市櫃公司宣告發行國內可轉換公司債對股價影響之研究，國立高雄第一科技大學金融營運研究所碩士論文
劉量海(2010)，國內企業發行可轉換公司債宣告效果之實證研究，國立臺北大學國際財務金融研究所在職專班碩士論文
林佳錡(2006)，可轉換公司債宣告贖回對股票報酬影響與成因之探討，國立彰化師範大學商業教育學系研究所碩士論文
Modigliani, F. and M. Miller (1958), The cost of capital, corporation finance, and the theory of investment. American Economic Review , Vol. 48, pp. 261-297.
Mikkelson, W. and M. Partch (1986), Valuation Effects of Security Offerings and the Issuance Process. Journal of Financial Economics, Vol. 15, pp. 31-60.
Mikkelson, W. and M. Partch (1992), Managers` Trading Around Stock Repurchases. Journal of Financial Economics
Lee, D. S., Mikkelson, W. H., and Partch, M. M. (1992), Managers’ Trading around Stock Repurchases. Journal of Finance, 47, 1947-1961. Stein, J. C. (1992), Convertible bonds as backdoor equity financing. Journal of Financial Economics, 32(1), 3-21.
A. Craig MacKinlay (1997), Event studies in economics and finance. Journal of Economic Literature, Vol. 35, pp 13-39.
William F. Sharpe (1963), A simplified model for portfolio analysis. Management Science, Vol. 9, pp 277-293.
Roona F.d. and C. Veldb (1998), Announcement Effects of Convertible Bond Loans and Warrant-Bond Loans: An Empirical Analysis for the Dutch Market. Journal of Banking & Finance, Vol. 22(12), pp.1481-1506
Cheng, W., and N. Visaltanachoti , and P. Kesayan (2005), A Stock Market Reaction Following Convertible Bond Issuance: Evidence from Japan. International Journal of Business, Vol. 10(4),pp.324-340 |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
109351029 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109351029 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201496 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 163 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
