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研究生:傅雪珠
研究生(外文):Hsueh-Chu Fu
論文名稱:台灣上市櫃公司可轉債發行機率、財務槓桿與Tobin'sQ關係之實證研究
論文名稱(外文):Issuing Convertible Bond Probability, Leverage and Tobin's Q:An Empirical Study of Taiwanese Listed Companies
指導教授:兪海琴
指導教授(外文):Hai-Chin Yu
學位類別:碩士
校院名稱:中原大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:英文
論文頁數:60
中文關鍵詞:三階段最小平方迴歸方程式Tobin’s Q發行機率可轉換公司債財務槓桿
外文關鍵詞:Tobin’s QLeverageIssuing ProbabilityConvertible Bond3SLS.
相關次數:
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在全球的募款集資管道中,為何可轉換公司債總能誘導公司企業以及投資者關愛的眼光爭相投入呢? 可轉換公司債(以下簡稱可轉債)在海內外資本市場中做為資本籌集的工具已長達數十年之久,相較於透過直接債券市場募集資金,較低利率支付的可轉債則更能吸引企業集團的選擇發行,以達集資增資之目的,而可轉債兼具權益及債券的混血特質更有如強力磁性般的吸引力,讓投資人趨之若鶩。

為了解可轉債發行機率、公司財務槓桿及發行可轉換債券前後之公司績效變化等財務變數,本研究將實際調查探討所有發行可轉債公司的相關財務背景資料。本文檢視自一九九Ο年至二ΟΟ四年台灣資本市場中,有關上市櫃公司宣告發行可轉債前後對公司業務成長機率、公司財務槓桿、可轉債的發行機率的影響程度為何。本文發現可轉債的發行機率及公司財務槓桿是呈現顯著且正向的關係,而與公司績效則是呈現負向的關係發展,此結果與美國市場有關的文獻一致但卻與日本市場正向波動是不同的表現。

本文首先採取群組分析,依公司可轉債發行前與發行後的迴歸數據進行分析、高科技公司與傳統產業公司迴歸分析比對以及發行可轉債前後之不同期間表的迴歸數據結果作為群組分析。進而利用三階段最小平方的迴歸模型作進一步分析,預測不同的財務金融特質將對公司企業發行可轉債機率產生何種程度的影響效果,而由迴歸方程式結果顯示,公司績效低、財務槓桿高、高資本額企業、低控股的管理股東、低獲利率、高現金股利發放比率、低固定資產比率、高研發支出及公司上市櫃年資較高等變數,皆是影響公司可轉債發行機率的正向因素。此結果意味著,就資金市場而言,舉凡公司績效較佳的企業通常傾向於較少發行可轉債;而公司績效較差的企業則偏愛發行可轉債以吸引投資者的青睞;由此推論可得,可轉債的發行與否和公司績效兩者之間成顯著的逆向作用關係。
What are the special peculiarities of the financial instruments, which attract industries to issue convertible bonds, and the investors to participate? The convertible bonds (CBs) are an attractive financing instrument. It has been introduced to principal market as financing vehicles for several decades. Industries intend to issue convertible bonds at rates lower than comparable straight debt. Convertible bond have both - equity and debt features. That’s why attracting investors to its mixed nature of the convertible bond.
In order to realize the elements of CBs issuance, corporation leverage, and the different performance after outstanding convertible securities, this research attempts to investigate correlative finance data. This paper examines the growth opportunity, leverage, and probability to the announcement of convertible bonds issuance in Taiwan, during the period of 1990 through 2004. We discovered a significant positive convertible bond issuing probability, leverage and negative performance reaction to the announcement of CBs. This result confirms to the US market but shows inconsistence with the positive volatility in the Japan market.
We found that three significantly different groups are among: with CB outstanding firms vs. w/o CB outstanding firms, hi-tech firms vs. non hi-tech firms, during a specific different time table of CB issuing. Simultaneously, we predicted the issuing of CB probability through the three-stage least square regression model to analyze what kind of financial characteristics influences industries to issue CB. The results show that low performance, high leverage, large firm’s size, limited shareholder ownership, low earning-price ratio, high cash dividend payout ratio, low fixed assets ratio, high R&D expenditure, and older firms, are effective factors to induce industries to issue CBs. Meaning that firms with good performance tend not to issue CBs; in the other hand, firms with bad performance tend to opt for it; and firms issuing CBs, show a significantly negative influence on company’s performance.
CONTENTS
摘要 II
Abstract III
CONTENTS IV
CONTENTS OF TABLE VI
CONTENTS OF FIGURE VIII
1. Introduction 1
1.1 Background of Research 1
1.2 Motivation of Research1 1
1.3 Purpose of Research 2
1.4 Structure of Research 3
2. The Previous Literature review 4
2.1 The motivation of CB issuance 4
2.2 Literature about CB and Leverage 6
2.3 Literature about CB and Tobin’s Q 6
2.4 Literature about CB issuance 7
2.5 Related rules of CB 8
2.6 Advantage and disadvantage of CB issuance 9
3. Data and Methodology 13
3.1 Sample selection and description 13
3.1.1 Dependent variables 16
3.1.2 Independent variables 18
3.2 Variable definition 25
3.3 Research Methodology 26
3.3.1 Summary Statistics 26
3.3.2 t-statistics 27
3.3.3 3SLS Regression Models 28
4. Empirical Results 29
4.1 Descriptive Statistics 29
4.2 Univariate comparisons 32
4.2.1 t-statistics of firms with/without CB outstanding 32
4.2.2 t-statistics under different window of issuing 34
4.2.3 t-statistics of Hi-Tech and Non Hi-Tech 39
4.3 Three-Stage Least Square Simultaneous Equation 42
5. Conclusions and Implications 47
5.1 Conclusions 47
5.2 Implications 47
References
In English 49
In Chinese 52
TABLE OF CONTENTS

Table 1
Summary statistics of the convertible bonds (1990~2004) 14

Table 2
Variable definitions 25

Table 3
Means trend of Issuing CB probability/Performance/Leverage (1990~2004) 30

Table 4
Descriptive statistics of Taiwan convertible bonds issuance (1990 ~ 2004) 31

Table 5
Summary statistics based on firms with/without CB outstanding 33

Table 6
Univariate comparison on different window of issuing 35

Table 7
Univariate comparison on different window of issuing 37

Table 8
Descriptive Statistics of Primary Samples 40

Table 9
Characteristics comparison under Hi-Tech and non Hi-Tech firms 41

Table 10
The results of simultaneous regression models with dependent variables of Probability/Tobin’s Q/Leverage 45






FIGURE OF CONTENTS

Figure 1
Structure of research 3

Figure 2
Number of CBs issuing 15

Figure 3
Amount of CBs issuing 15

Figure 4
The means trend of variables 30

Figure 5
Relationship structure among issuing CB probability, leverage, and Tobin’s Q 44

Figure 6
3D Surface plot of Tobin’s Q/issuing CB probability/leverage 46
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