臺灣博碩士論文加值系統

本論文主要探討國內轉換公司債評價. 藉由所推導出的轉換公司債
偏 微分方程式, 以數值分析法求解出所要的轉換公司債價
值. 並經由模型的 修正及國外轉換公司債的評價探討國內
市場價格與理論價格的差異, 是否 導因於國內制度面的因
素及市場效率性等問題. 在
實證的結果中, 未經模型修正的轉換公司債理論價格與市場價格仍
有一段差距. 但經由修正後, 理論價格的表現已可較適切的解釋出市場
價格的走勢現象. 並由國外轉換公司債的測試, 發現本論文所推導出的轉
換公司債模型, 運用在評價本文所提的國外樣本公司, 可得到市場價格與
理論價格相當接近的結果. 經由實證的結果, 國內轉換公司債理論價格無
法充份解釋市場價格, 可歸因於交易制度, 轉換限制( 轉換標的為債券換
股權利證書 ), 融資融券限制及市場效率性等因素.

This paper mainly investigate domestic prices of
convertible bonds. By deriving partial
differential equations, we can obtain the value of
convertible bonds through numerical analysis.
Through model modification and foreign convertibles'' pricing,
we convey whether the difference between market prices and
theoretical prices arise from domestic structural factors and
market inefficiency.

In the analysis of empirical research, there are differences
between unmodified theoretical prices prices and market prices.
After modification, theoretical prices can better explain the
trend of market prices. In the test of foreign
convertible bonds, we obtain the theoretical
prices very close to market prices if we apply
this model to foreign price samples. Therefore, we conclude
that owing to conversion restrictions, short sale restrictions,
and market inefficiency, domestic prices of convertible bonds
cannot fully explain market prices.