臺灣博碩士論文加值系統

本論文研究可轉換公司債之發行決策問題，藉由分析轉換溢價之影響因素，以及針對不同性質企業及產業類別，討論其轉換溢價決定因素是否有所差異，目的為試圖探討公司如何決定轉換溢價之設定。研究對象為1992年1月至2007年3月底止，在美國公開發行之可轉換公司債。
實證結果發現，擁有低票面利率、低負債比率以及信用評等較佳的發行公司，會設定較高之轉換溢價。另外擁有不同企業性質的發行公司之轉換溢價影響因素的確有所差異。最後，在針對不同產業類別討論方面，顯示電子類公司在設定轉換溢價時，較不受本研究所選定的變數影響，而非電子類公司的轉換溢價則受到可轉換虛擬變數、負債比率及發行規模的影響。
本文希望針對此研究結果能提供發行公司在設定轉換溢價時之參考，以設計良好的可轉換公司債，使可轉換公司債能有效發揮其融資功能，對於投資人而言，亦可依據轉換溢價影響因素決定是否購買可轉換債券。

This paper studies the issue decision problem of the convertible debt. It particularly analyzes the relation between the conversion premium, and different enterprises characteristics and industry classification. The purpose is in order to examine how the company determines the conversion premium. The research sample includes public U.S. convertible debt issued between January, 1992 and March, 2007.
The empirical results are summarized as follows. The issuers with low coupon rate, low debt ratio and higher credit rating would set higher conversion premium. In addition, this thesis also finds that the conversion premium deterministic factors of the issuers are associated with enterprises characteristics. Finally, in discussing different industry's classifications, it observes the electrical industry is not influenced by the selected parameters of this research while setting conversion premium, but the conversion premium of the nonelectrical industry is influenced by debt-convertible dummy, debt ratio and issue size.
This thesis hopes the research can offer reference to the issuers while setting conversion premium in order to design the good convertible debt. Enable the convertible debt to give play to its financing function effectively. The investors can also determine whether to buy the convertible debt or not according to the deterministic factors of conversion premium.

目錄

第一章 緒論.................................................... 1
第一節 研究背景與動機........................................... 1
第二節 研究目的................................................ 3
第三節 論文架構與研究流程........................................ 4

第二章 文獻回顧................................................ 5
第一節 發行可轉換公司債之動機.................................... 5
第二節 宣告發行可轉換公司債的市場反應............................. 7
第三節 可轉換公司債發行公司的特徵................................. 9

第三章 資料介紹................................................ 11
第一節 資料選取................................................ 11
第二節 變數定義................................................ 12
第三節 敘述統計分析............................................. 16

第四章 實證結果及分析........................................... 19
第一節 研究方法................................................ 19
第二節 全樣本之實證結果......................................... 21
第三節 依發行規模、公司規模及淨值市價比分群之實證結果............... 22
第四節 依產業類型分群之實證結果.................................. 25

第五章 結論與建議............................................... 27
第一節 研究結論................................................ 27
第二節 研究限制與建議........................................... 29

參考文獻........................................................ 45





表目錄

表3-1-1 可轉換公司債之歷年發行件數與總額統計表(1992-2007年).......... 30
表3-2-1 變數定義及預期效果整理.................................... 31
表3-3-1 敘述統計量-全樣本(樣本數=223)............................. 32
表3-3-2 依標準普爾評等分組之敘述統計量............................. 33
表3-3-3 產業及 SIC Code分類對照表................................. 34
表3-3-4 依產業分組之敘述統計量.................................... 35
表4-2-1 1992-2007年全樣本迴歸係數................................. 36
表4-3-1 1992-2007年以發行規模分群之迴歸係數 (發行規模<=5.01)........ 37
表4-3-2 1992-2007年以發行規模分群之迴歸係數 (發行規模>5.01)......... 38
表4-3-3 1992-2007年以公司規模分群之迴歸係數 (公司規模<=7.98)........ 39
表4-3-4 1992-2007年以公司規模分群之迴歸係數 (公司規模>=7.98)........ 40
表4-3-5 1992-2007年以淨值市價比分群之迴歸係數(淨值市價比<=0.33)..... 41
表4-3-6 1992-2007年以淨值市價比分群之迴歸係數 (淨值市價比>=0.33)..... 42
表4-4-1 1992-2007年以產業分群之迴歸係數 (電子業)................... 43
表4-4-2 1992-2007年以產業分群之迴歸係數 (非電子業).................. 44

吳儀玲，1992，可轉換公司債發行公司之特徵探討，國立台灣大學財務金融研究所碩士論文。
柯燕玲，2004，可轉換公司債轉換溢價之決定因素分析，國立高雄第一科技大學財務管理研究所碩士論文。
陳存賢，2004，可轉換公司債發行公司特徵與動機之研究，國立成功大學工業與資訊管理研究所碩士論文。
陳梅娟，2006，公司治理對可轉債轉換溢酬影響之研究，國立高雄第一科技大學財務管理研究所碩士論文。
Ang, J. S., Cole, R. A. and Lin J. W., “Agency costs and ownership structure,” Journal of Finance, Vol. 55, 2000, pp. 81–106.
Bancel, F. and Mittoo, U. R., “Why do European firms issue convertible debt?,” European Financial Management, Vol. 10, 2004, pp. 339–374.
Billingsley, R. S. and Smith, D. M., “Why do firms issue convertible debt?,” Financial Management, Vol. 25, 1996, pp. 93–99.
Brennan, M. and Kraus, A., “Efficient financing under asymmetric information,” Journal of Finance, Vol. 42, 1987, pp. 1225–1243.
Brennan, M. and Schwartz, E., “The case for convertibles,” Journal of Applied Corporate Finance, Vol. 1, 1988, pp. 55–64.
Chang, S. C., Chen, S. S. and Liu, Y., “Why firms use convertibles: A further test of the sequential-financing hypothesis,” Journal of Banking & Finance, Vol. 28, 2004, pp. 1163-1183.
Constantinides, G. M. and Grundy, B. D., “Optimal investment with stock repurchase and financing as signals,” Review of financial studies, Vol. 2, 1989, pp.445-465.
Davidson, W. N., Glascock, J. L., and Schwartz, T. V., “Signaling with convertible debt,” Journal of Financial and Quantitative Analysis, Vol. 30, 1995, pp. 425–440.
Essig, S., “Convertible Securities and Capital Structure Determinants”, Ph.D. dissertation (Graduate School of Business, University of Chicago, Chicago, IL 1991).
Graham, J. R. and Harvey C. R., “The theory and practice of corporate finance: evidence from the field,” Journal of Financial Economics, Vol. 60, 2001, pp. 187–243.
Green, R. C., “Investment incentives, debt and warrants,” Journal of Financial Economics, Vol. 13, 1984, pp. 115–136.
Kahle, M. K. and Walkling, R. A., “The Impact of Industry Classifications on Financial,” Journal of Financial and Quantitativ Analysis Vol. 31, 1996, pp. 309-335.
Kim, Y. C. and Stulz, R. M. “Is there a global market for convertible bonds,” Journal of Business, Vol. 65, 1992, pp. 75– 91.
Kim, Y. O., “Informative Conversion Ratios: A Signaling Approach,” Journal of Financial and Quantitative Analysis , Vol. 25, 1990, pp. 229-243.
Korkeamaki, T. P., “Effects of law on corporate financing practices – international evidence from convertible bond issues,” Journal of Corporate Finance, Vol. 11, 2005, pp. 809-831.
Lewis, C. M., Rogalski, R. J. and Seward, J. K., “Agency problems, information asymmetries and convertible debt security design,” Journal of Financial Intermediation, Vol. 7, 1998a, pp. 32–59.
Lewis, C. M., Rogalski, R. J., Seward, J.K., “Understanding the design of convertible debt,” Journal of Applied Corporate Finance, Vol. 11, 1998b, pp. 45–53
Lewis, C. M., Rogalski, R. J., Seward, J.K., “Industry conditions, growth opportunities, and market reactions to convertible debt financing decisions,” Journal of Banking and Finance, Vol. 27, 2003, pp. 153–181
Mayers, D., “Why firms issue convertible bonds: the matching of financial and real investment options,” Journal of Financial Economics, Vol. 47, 1998, pp. 83–102.
Myers, S. and Majluf, N., “Corporate financing and investment decisions when firms have information that investors do not have,” Journal of Financial Economics, Vol. 13, 1984, pp. 187–221.
Noddings, T. C., Christoph, S. C. and Noddings, J. G., The International Handbook of Convertibles (Chicago: Glenlake, 2001).
Stein, J. C., “Convertible bonds as backdoor equity financing,” Journal of Financial Economics , Vol. 32, 1992, pp. 3-21
.