臺灣博碩士論文加值系統

可轉換公司債（可轉債）為一種兼具股票與債券特性的金融商品。目前國內企業所發行的可轉債通常包括：純粹債券、轉換權、買回權、賣回權、轉換價格重設權及特別重設權等組成要素。根據美國財務會計準則委員會發佈的第六號觀念性公報，在可轉債財務報表處理上，發行公司應將買回權列為資產；純粹債券與賣回權列為負債；轉換權、重設與特別重設權列為權益。由於國內財會準則對於可轉債隱含選擇權與重設條款特性的忽略，目前皆將可轉債歸於負債項下，造成可轉債財務報導之重大偏誤。本研究應用選擇權評價理論，採用蒙地卡羅模擬法，考量多個狀態變數之隨機過程（股價、利率）與可轉債發行公司之信用風險，可以有效評價具有路徑相依特性之可轉債及其隱含選擇權與轉換價格重設條款之價值，同時依據第六號觀念性公報，對可轉債各要素所做的定義，將財務報表重分類。研究結果證實，應用本研究所發展之模型，可以有效提升可轉債財務報導之攸關性及可靠性。

A Convertible Bond (CB) is a hybrid security which consists of several embedded options. The main elements of CB issued from enterprises in Taiwan generally consist of straight debts, conversion options, call options, put options, conversion price reset and special reset terms. According to the Concept Statement No.6 of Financial Accounting Standards Board (FASB), the call options should be classified as assets; straight debt and put options should be classified as liabilities; the conversion options, reset and special reset terms should be classified as equity. In the past, all elements of the CB were erroneously classified as liabilities due to the lack of a scientific approach to separate CB’s embedded options. As a result, the spirit of the accounting principles of the CB weren''t embodied in practice. This study uses the Monte Carlo simulation approach, which considers several variables and can evaluate the CB and its embedded options efficiently. We reclassify all elements of the CB in financial statements based on the accounting principles mentioned above. The relevance and reliability of financial reporting can be effectively improved by applying this approach.

第一章 緒論…………………………….………………………………1
第一節 研究背景……………………………………………………….1
第二節 研究目的……………………………………………………….3
第三節 論文架構……………………………………………………….4
第二章　文獻探討……………………….………………………………6
第一節　可轉換公司債隱含選擇權成分及會計分類………………….6
第二節　可轉換公司債財會準則之發展及財務報導之實證研究…….11
第三節　應用於可轉換公司債之選擇權評價模式…………………….17
第四節　評價可轉換公司債之狀態變數……………………………….20
第三章 研究方法……………………………………………………...22
第一節　觀念性架構…………………………………………………….22
第二節　研究設計……………………………………………………….24
第三節　樣本選取及資料來源………………………………………….38
第四章　研究結果與分析……………………………………………….41
第一節　可靠性分析…………………………………………………….41
第二節　攸關性分析…………………………………………………….43
第三節　敏感度分析…………………………………………………….47
第四節　結果討論……………………………………………………….48
第五章　結論、貢獻與限制…………………………………………….51
第一節 結論…………………………………………………………….51
第二節 研究貢獻……………………………………………………….53
第三節 研究限制及後續研究建議…………………………………….54
參考文獻………………………………………………………………….57
【附錄一】 MLE估計CIR參數……………………………………………61
【附錄二】 選取樣………………………………………………………62
圖表目錄 頁次
圖1-1 論文架構………………………………………………………….5
圖3-1 觀念性架構圖………………………….…………………………23
表2-1 FASB第六號觀念公報架構下，可轉換公司債組成成分之分類.11
表2-2 各國可轉換公司債之會計原則比較…….………………………13
表2-3 選擇權評價模式應用於評價可轉換公司債之適用性比較…….19
表3-1 樹狀法與LSM法求解美式賣權的比較…………….…………….26
表3-2 本研究之信用風險加碼標準……………………….……………30
表4-1可靠性驗證之敘述性統計量………………………….………….42
表4-2 可靠性驗證之檢定結果…………………………………….……43
表4-3 攸關性：可轉換公司債組成成分佔其帳面值比例
─設有特別重設條款者………………………………………………….44
表4-4 攸關性：可轉換公司債組成成分佔其帳面值比例
─未設有特別重設條款者……………………………………………….44
表4-5 攸關性：可轉換公司債組成成分佔其帳面值比例─全部樣本.45
表4-6 攸關性－重分類前後之金額、差異比例及t檢定結果…………47
表4-7 可靠性之敏感性分析………………….…………………………48

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