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研究生:蔡揚威
研究生(外文):Yang-Wei Tsai
論文名稱:企業發行可轉換公司債對其股價的影響性-以台灣上市上櫃公司為例
論文名稱(外文):The impact of firms’convertible bond issues on their stock prices-The evidence from Taiwanese companies listed on TSE and OTC
指導教授:楊朝成楊朝成引用關係
指導教授(外文):Chau-Chen Yang
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:66
中文關鍵詞:可轉換公司債事件研究法市場模式法異常報酬
外文關鍵詞:Convertible BondEvent StudyAbnormal Return
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本研究目的旨在探討台灣上市上櫃公司發行可轉換公司債之不同宣告事件對發行公司股價所產生的影響。研究期間自民國90年1月1日至93年4月30日止,並進一步以上市與上櫃不同規模公司,電子與非電子不同產業類別公司及承銷新舊制度不同期間發行之公司為研究目的,進行與股價關聯性之研究,經以市場模式法估計樣本公司的預計報酬率,並運用標準化橫剖面法分析計算個別樣本公司於事件日前後20日交易內之異常報酬所獲得結論如下:
1.整體上市上櫃公司於董事會宣告日前7日累積異常報酬由正轉負, 表示訊息已先傳遞出去,提前反應負面效果,而至董事會宣告日後有顯著負的累積異常報酬,此時點約為董事會後一般案件送主管機關審核期間。
2.不管上市公司或上櫃公司均不顯著,顯示董事會訊息的宣告不因不同規模公司而有顯著差別,但可發現在董事會宣告日前上市公司為正向報酬,但上櫃公司則為負向報酬,而董事會宣告日後不論上市或上櫃公司均呈負向報酬。
3.就不同產業類別而言,電子類產業呈不顯著狀況,市場上因電子類股成交量較大,不因可轉換公司債之發行,而有影響市場價格;但非電子產業在董事會宣告日後產生顯著負的累積異常報酬,顯示市場對非電子產業於董事會宣告日前,較無顯著關心,但在訊息傳遞後即產生不利的報酬走勢。
4.新的承銷制度實施對於此期間發行之公司,因制度面改善市場持以正面看法,產生正向報酬,唯一般投資人對此措施並不十分瞭解以致正的顯著情形僅在案件申請前一段時間及核准為事件日後幾日。
最後,本研究以研究結論,分別針對發行公司、主管機關、投資人及後續研究者提出一些建議,期盼這些建議對其在從事相關決策或學術研究時能有所助益。


This paper examines the impact of Convertible Bond (CB) announcements made by Taiwanese public- listed companies on their stock prices for the period from January 1, 2001 to April 30, 2004. This paper simultaneously tests the impact of issuer attribute, Electronics and Non-electronics, listing on OTC and TSE and issuing under new and old underwriting rules. This study uses Market Model Method to estimate the expected return rate for sample companies. Also, it uses the Standardized- Residual Cross-Sectional Method to calculate the cumulative abnormal return occurred during the period 20 days ahead and behind the announcement dates. The evidence and analysis show the following findings:

1.The Standardized Cumulative Abnormal Return (SCAR) turned from positive into negative since 7 days before the date of Board of Directors meeting basing on the data collected from sample companies. This evidence suggests that the related information have revealed before the B.O.D. meeting date which resulted in a in –advanced negative response to the information. The evidence also shows a significant negative SCAR after the BOD meeting date, which is around the period of filing for issuance.
2.The responses are insignificant from companies either listed on OTC or TSE. This evidence suggests that the co-relation between the impact of the announcements on the stock price and the size of issue companies is rather small. Although the evidence shows that the TSE-listed companies, SCARs are positive before the BOD meeting date while the SCARs of OTC-listed companies are negative. However, the SCARs after the BOD meeting date are negative for both TSE-listed and OTC-listed companies.
3.The attribute of company contributes different responses: the evidence shows an insignificant response by companies within Electronics industries, while a significant negative SCAR occurred for Non-Electronics companies. The different volumes of transaction and turnover rates between companies within Electronics and Non-electronics industries might lead to different results. The stock prices of Electronics companies with high turnover rates are less influenced by the CB issuance. While the stock prices of Non-electronics companies with less transaction volumes have insignificant response before the announcements by BOD meeting. The significant response occurred only after the BOD meeting, the formal announcement of the issuance, which suggests that the investors of Non-electronics companies do not pay attention as close as those of Electronics Companies.
4.New underwriting rule contributes positive effect to the response. The evidence shows that the SCARs for the issuances under new rule are positive. This suggests that the overall investors have positive expectation about the new rule and react to it positively. However, the ordinary individual investors are not familiar with the new rule, which causes the positive response is not significant until a short period before the filing date and a few days after the approval of the issuance.

In the last, this study offers different suggestions to issuing companies, regulator, investors and follow-up researchers, respectively. The author hopes those suggestions will be helpful for those who are making the related decisions or doing the related researches.


中 文 摘 要…………………………………………………………I
英 文 摘 要…………………………………………………………II
謝    辭…………………………………………………………IV
目 錄…………………………………………………………Ⅵ
圖 目 錄…………………………………………………………VII
表 目 錄…………………………………………………………Ⅷ
第壹章 緒論
一、 研究背景……………………………………….. 1

二、 研究動機……………………………………….. 4
三、 研究目的……………………………………….. 5
四、 研究架構……………………………………….. 5
第貳章 國內可轉換公司債之發展與現況
一、 歷年發行狀況與趨勢…………………………… 7
二、 發行條件設計與演變…………………………… 9
三、 對發行公司原股東及投資人的影響…………… 12
四、 發行程序與承銷方式…………………………… 15
第參章 文獻探討
一、 企業融資宣告對公司股價的影響……………… 21
二、 國內實證文獻…………………………………… 26
三、 國外實證文獻…………………………………… 30
四、 國內外文獻發行CB實證結果之彙整………… 34
第肆章 研究方法
一、 研究流程………………………………………… 35
二、 研究樣本………………………………………… 36
三、 資料來源………………………………………… 36
四、 研究期間………………………………………… 36
五、 市場模式及檢定………………………………… 37
六、 研究限制………………………………………… 42
第伍章 實證結果與分析
一、 發行可轉換公司債對股價之影響……………… 43
二、 上市公司與上櫃公司之比較…………………… 46
三、 電子產業與非電子產業之比較………………… 51
四、 新舊承銷制度不同期間之比較………………… 56
第陸章 結論與建議
一、 結論……………………………………………… 61
二、 建議……………………………………………… 62
參考文獻…………………………………………………….. 64


一、中文部分
1.王彧疆(2000),我國上市公司發行可轉換公司債之研究,國立政治大學企業管理研究所碩士論文。
2.王慎、黃信昌、簡忠陵,民國92年7月,債券市場理論與實務,財團法人中華民國證券暨期貨市場發展基金會出版。pp162-185。
3.王嘉雯(2003),台灣上市公司海內外有價證券融資方式對其股價影響之研究,國立東華大學國際企業研究研究所碩士論文。
4.李建邦(1996),可轉換公司債的訊息效果:從預期轉換期間的觀點來分析,國立交通大學管理科學研究所碩士論文。
5.吳壽山、劉玉珍、李志宏、周賓凰,2001年4月,證券市場理論與實務,財團法人中華民國證券暨期貨市場發展基金會出版。pp404-420,pp114-136
6.林文祥(1997),發行可轉換公司債對股價之影響,文化大學會計研究所碩士論文。
7.邱華光(1998),發行國內與海外可轉換公司債對公司股票影響之比較國立中正大學企業管理研究所碩士論文。
8.林煜宗,2000年4月,投資學,財團法人中華民國證券暨期貨市場發展基金會出版。pp110-119,pp391-397。
9.曹育欣(2003),證券選擇與可轉換公司債發行宣告效果之研究,國立中山大學企業管理學系研究所研究所碩士論文。
10.張淑婉,「上市公司發行可轉換公司債之考慮因素及與公司價值之關係」,國立臺灣大學財務金融研究所碩士論文,民國82年6月。
11.陳靜宜(1994),上市公司不同融資方式對其股價影響之研究,國立政治大學企業管理研究所碩士論文。
12.詹曙銘(2003),可轉換公司債發行宣告對長、短期股價報酬的影響,朝陽科技大學研究所碩士論文。

二、英文部分

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3.Barclay, M. J., Litzenberger R. H. and Warner J. B., (1990), “Private Information, Trading Volume, and Stock Return Variances.” Review of Financial Studies ,3, pp. 233-253.
4.Brealey, Richard A. and Stewart C. Myers, (1988), Principles of Corporate Finance, Mcgraw-Hill Inc., New York.
5.Brown, S. J. and Warner J. B., 1980, “Measuring security price performance.”Journal of Financial Economics, 8, pp. 205-258. Brown, S. J. and Warner J. B., 1985, “Using daily stock returns: The case of event study.” Journal of Financial Economics, 14, pp. 3-31.
6.Chi, C. H., (1988), “American Depositary Receipts (ADR) Issues by Japanese Corporations: The Information Value on the U.S. Market (United States).”Ph. D. Dissertation, The George Washington University.
7.Denis, D. and G. Kadlec, (1994), “Corporate Events, Trading Activity, and the Estimation of Systematic Risk:Evidence From Equity Offerings and Share Repurchases.” Journal of Finance, pp.1787-1811."
8.Fabozzi, F., (1981), “Does Listing on the AMEX Increase the Value of Equity ? ”Financial Management, pp. 43-51.
9.Fama , E. F. , (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance ,25 , pp.383-417
10.. Fama, Eugene F., Lawrence Fisher, Michael Jensen, and Richard Roll, 1969,“The adjustment of stock prices to new information.” International EconomicReview 10, pp. 1-21.
11.Foerster, S., Karolyi, G.A., (1999), “The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US.” Journal of Finance, pp. 981-1013.
12.Gujarati, D. N., (1995), Basic Econometrics, third edition, McGraw-Hill, New York, NY, U.S.A., pp. 59-86, 101-104."
13.Ingersoll J. E.,”An Examination of Corporate Call Policies on Convertible Securites.” Journal of Finanace,May 1977,pp463~478.
14.Jensen, M. C., & Meckling, W. H. ,(1976), “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure.” Journal of Financial Economics ,11(2), pp.305-360.
15.Jensen, Michael C.,(1978), “Some Anomalous Evidence Regarding Market Efficiency.” Journal of Financial Economics ,6, pp.95-101.
16.Kang, Jun-Koo ,Kim,Yong-Cheol Rene M. Stulz, 1999, “The underreaction hypothesis and the new issue puzzle:Evidence from Japan.” The Review of Financial Studies Fall 1999 Vol.12 No3, pp519-534.
17.Kevin B. Connolly “Pricing Convertible Bonds”,1998,John Wiley& Sons Ltd.pp212-213
18.Leland, H., & Pyle, D., (1977), “Information Asymmetries, Financial Structure, and Financial Intermediation.” Journal of Finance ,32(3), pp.371-387.
19.Marie, Dutordoir, Lindam.Van De Gucht, 2004, “Determinants of the Stockholder Reactions to Convertible Debt Offering Announcements: An Analysis of the Western European Market”, EFMA 2004 Basel Meetings Paper, pp29-32.
20.Merton, R. C., 1987, “Presidential address: A simple model of capital market   equilibrium with incomplete information.” Journal of Finance 42, pp. 483-510.
21.Miller, D. P., 1999, “The market reaction to international cross-listing:Evidence from Depositary Receipts.” Journal of Financial Economics 51, pp.103-124
22.Park, J., 1990, “The impact of information on ADR return and variances: Some  Implications.” Ph. D. Dissertation, The University of Iowa.
23.Reilly, F., Wright D. and Wagasuki T., (1990), “A Dual Overseas Listing: The Impact on Returns, Risk and Trading Volume.” Working paper (University of Notre Dame)
24.Ross, Westerfield and Jaffe, Corporate Finance, 6th edition , 2002,ch,23
25.Sanger, G., McConnell, J., 1986, “Stock exchange listings, firm value, and security market efficiency: the impact of Nasdaq.” Journal of Financial and Quantitative Analysis 21, pp. 1-25.
26.Shleifer, Andrei, (1986), “Do Demand Curves for Stocks Slope Down?”Journal of Finance ,41, pp.579-590.
27.Sholes, M.,(1972), “Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Price.” Journal of Business ,45, pp.179-211.
28.Stapleton, R., Subrahmanyan, M., 1977, “Market imperfections, capital market   equilibrium and corporate finance.” Journal of Finance 32, pp. 307-319.
29.Ying, L., Lewellen W., Schlarbaum G. and Lease R., 1977, “Stock Exchange  Listings and Securities Returns.“ Journal of Financial and Quantitative Analysis 12, pp. 415-432


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