臺灣博碩士論文加值系統

本論主要是以或有權利分析法，對國內可轉換公司債發行條件中之轉換價格可往下重設之權利價值作一理論上的評估，並對影響可轉換公司債價值的因素，如無風險利率、公司價值的變異性、到期日之變動作一敏感性分析。本論文發現，即使在不考慮可轉換公司發行條件中之保障收益率、轉換價格重設之權利下，國內可轉換公司債仍不僅在發行時價格偏低，在上市交易後其市價平均而言也常是被低估的；雖然，國內債券市場之流動性較低，但在扣除流動性貼水後（証管會發佈以理論價格扣除流動性貼水之九成，其中流動性貼水以一年期定存利率為依據。），投資可轉換公司債之收益仍遠較無轉換權之同公司普通公司債來得高。而另一方面，由於價格的低估，投資人若能採用適當的方法，也將有獲取超額利潤之機會。無論如何，不管是投資人或是政府單位，均應對可轉換公司債市場予以更多的注意。

This paper presents a simple Contingent Claim Pricing Model for valuing a zero-coupon, callable, redeemable, convertible bond with option to reset the conversion price. The model is used to analyze the sensitivity of the convertible bond''s price to change in the variance of the issuing firm''s asset price and to changes in risk-free rate and time to maturity. In particular, numerical solution techniques were used to analyze and price the value of the option to reset the conversion price. The model indicates the option to reset the conversion price is highly valuable to the investors, and the reported initial offering prices of the convertible issues in Taiwan is lower than their theoretical prices. Lack of liquidity in the bond market can''t sufficiently explain the pricing deviation. The results suggest that a buy-and-hold strategy can earn a positive abnormal return. It is highly recommended to further analyze the value of multiple resetting option and investigate in detail the profitability of arbitrage trading utilizing convertible bonds and the underlying common stocks.

Abstract …………………………………………………………..……..I
Table of Contents ………………………………………………………II
List of Tables …………………………………………………………..III
List of Figures …………………………………………………………IV
Chapter 1 Motivation and Background
1.1 Motivation …………………………………………………….1
1.2 Background and Organization of the thesis……………..…….7
Chapter 2 Review of the Literature
2.1 Introduction of Convertible Bond ……………………………. 8
2.2 Review of the Literature ………………………………..15
Chapter 3 Model Specifications and Methodology
3.1 The Solution Algorithm applied in Taiwan''s CBs market.…....20
3.2 The Simplified Pricing Model ………………………….28
3.3 The Simplified P.D.E. for the CBs ………………..…………..35
3.4 Methodology …………………………………………………...41
Chapter 4 Results
4.1 Theoretical Values of the CBs………………….……….…....43
4.2 Sensitivity Analysis
4.2.1 The Effect of Risk-free Rate ..……………………..……..46
4.2.2 The Effect of Volatility…..…..…………………….….….47
4.2.3 The Effect of Time to Maturity …. ………………………48
4.3 Evaluate the Reset Provision …………………………………..49
4.4 Adding the Call Provision ……..………………………………56
Chapter 5 Conclusions and Limitations
5.1 Conclusions………………………………..………….…....57
5.2 Limitations………………………………..………….…....58
Footnotes…………………..………………………..………….…....60
References…………………..………………………..………….…....62
Appendix..……………..………………………..………….…....64

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