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研究生:戴吟伶
論文名稱:台灣可轉換公司債贖回策略之實證研究
論文名稱(外文):An empirical study of converitible bond's call policy
指導教授:郭志安郭志安引用關係
學位類別:碩士
校院名稱:國立彰化師範大學
系所名稱:商業教育學系
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:2007
畢業學年度:95
語文別:中文
論文頁數:63
中文關鍵詞:可轉換公司債
相關次數:
  • 被引用被引用:2
  • 點閱點閱:300
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
執行贖回可轉換公司債,對於公司的股東權益、資本結構會產生影響,因此贖回權是可轉換公司債研究中的重要課題。當贖回價格等於轉換價值時為發行公司的最佳贖回策略。然而,有許多國外學者的實證研究卻顯示公司往往非在此最佳時機贖回可轉換公司債。而國內的發行公司贖回可轉換公司債之實際狀況為何?又影響贖回策略之因素為何?為本研究之研究目的。本研究之研究期間為2000年至2007年5月,並以有宣告贖回可轉換公司債之公司為研究對象,共取得169個宣告贖回樣本。研究結果發現國內可轉換公司債為延遲贖回之現象,而影響公司贖回決策之因素有贖回收益率、相對發行量與股利支出。顯示出當公司的股利支出愈高、贖回收益率與相對發行量愈低,愈有可能延遲贖回可轉換公司債。
Firms call their convertible bonds will affect their shareholders’ equity and capital structure, so the call policy is the important study in the convertible bond’s research. The optimal call policy is to call a convertible bond when its conversion value rises to equal the call price. However, many foreign scholars observed call policies do not fit this elegant result. And when do firms actually call their convertible bonds in Taiwan? The purpose of this paper is to examine the actually call policy in Taiwan, and find the main factors that affect the call policy. The sample is the convertible bond that was called between 2000 to May 2007, and there are 169 convertible bonds in the research. The results show that convertible bonds in Taiwan are called late. And the main factors that affect the call policy are the call premium, relative issue size, and dividend expense. It is shown that firms with high dividend expense, low call premium and relative issue size will call late.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究流程 4

第二章 文獻探討 7
第一節 可轉換公司債概述 7
第二節 可轉換公司債之發行動機相關文獻 13
第三節 可轉換公司債之贖回決策相關文獻 19

第三章 研究方法 27
第一節 研究期間、樣本選取與資料來源 27
第二節 研究假說 28
第三節 研究設計 35

第四章 實證結果 40
第一節 敘述統計分析 41
第二節 贖回決策之分析 45

第五章 結論 54
第一節 研究結果 54
第二節 研究建議 55

參考文獻 57
中文部分 57
英文部分 58

表目錄
表3-1 變數定義表 35
表3-2 迴歸變數預期方向統計表 40
表4-1 樣本產業統計表 42
表4-2 樣本贖回年份表 43
表4-3 MONEYNESS檢定結果表 44
表4-4 變數共線性與自我相關檢定表 46
表4-5 多元迴歸結果表 49
表4-6 主要變數檢定結果表(贖回溢酬=0%) 51
表4-7 主要變數檢定結果表(贖回溢酬=20%) 53

圖目錄
圖1-1 研究流程圖 6
圖2-1 台灣可轉換公司債歷年發行總額 8
中文部分
李存修、張淑婉(民83),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,證券市場發展季刊,第22期,頁279-305。
冷必成(民85),發行可轉換公司債對公司價值之影響與贖回政策之探討,政治大學財務管理研究所碩士論文,未出版。
陳隆麒、郭敏華與菅瑞昌(民86),發行可轉換公司債與現金增資之比較探討,證券市場發展,第九卷 第一期, 頁31-61。
陳懿君(民89),台灣可轉換公司債之贖回政策與轉換策略,長庚大學管理學研究所碩士論文,未出版。
張佳盈(民91),台灣可轉換公司債贖回政策之探討, 長庚大學企業管理研究所碩士論文,未出版。



英文部分

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Asquith, P., 1995, Convertible Bonds Are Not Called late, Journal of Finance 50, 1275-1289.
Brennan, M. J. and E. S. Schwartz, 1977, Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion, Journal of Finance 32, 1699-1715.
Brigham, E. F., 1966, An Analysis of Convertible Debentures: Theory and Some Empirical Evidence, Journal of Finance 21, 35-45.
Butler A., 2002, Revisiting Optimal Call Policy for Convertibles, Financial Analyst Journal 58(1), 50-55.

Campbell, Cynthia J., Louis H. Ederington, and Prashant Vankudre, 1991,Tax Shields, Sample -Selection Bias, and the Information Content of Conversion-Forcing Bond Calls, Journal of Finance 46, 1291-1324.
Chemmanur, T. J. and Simonyan, K., 2006, Why Issue Putable Convertibles? An Empirical Analysis, EFA Zurich Meetings Available at SSRN.
Constantinides, G. M. and Grundy, B. D., 1987, Call and Conversion of Convertible Corporate Bonds: Theory and Evidence, Working paper, University of Chicago.
Dunn, K. B. and K. M. Eades, 1989 ,Voluntary Conversion of Convertible Securities and the Optimal Call Strategy, Journal of Financial Economics 23, 273-301.
Ederington, L. H. and Caton, G. L., Campbell, C. J., 1997, To call or not to call convertible debt, Financial Management 26, 22-31.
Ederington, L. H. and Jeremy C. Goh, 2001, Is a Convertible Bond Call Really Bad News? Journal of Business 74 , 459-476.
Grau A. J. and Forsyth P. A.. Vetzal K. R., 2004, Convertible bonds with call notice periods, Working paper of the University of Waterloo.
Green, R., 1984, Investment Incentives, Debt, and Warrants, Journal of Financial Economics 13, 115-136.
Harris, Milton and Artur Raviv, 1985,A Sequential Signaling Model of Convertible Debt Call Policy, The Journal of Finance 40, 1263-1281.
Hoffmeister, J. R., 1977, Use of Convertible Debt in the Early 1970’s: A Reevaluation of Corporate Motives, Quarterly Review of Economics and Business 17, 23-32.
Hoffmeister, J. R., Hays, P. A. and Kelley, G. D., 1987, Conditions Affecting the Timing of Convertible Bond Sales , Journal of Business Research 15, 101-106.
Ingersoll, J., 1977a, A Contingent-Claims Valuation of Convertible Securities, Journal of Financial Economics 4, 289-322.
Ingersoll, J., 1977b, An Examination of Corporate Call Policies on Convertible Securities, Journal of Finance 32, 463-478.
Jaffee, Dwight and Andrei Shleifer, 1990,Costs of Financial Distress, Delayed Calls of Convertible Bonds, and the Role of Investment Banks, Journal of Business 63, 107-123.
Jalan, P. and Barone, A. G., 1995, Equity Financing and Corporate Convertible Bond Policy, Journal of Banking and Finance 19, 187-206.
Jensen, M. C. and Meckling, W. H., 1976, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics 3, 305-360.
Kraus and Litzenberger, 1973, A State-Preference Model of Optimal Financial Leverage, Journal of finance 34, 143-155.
Kwok Y. K. and Lau K. W., 2001, Pricing Algorithms for Options with Exotic Path Dependence, Journal of Derivatives 9(1), 28-38.
Kwok Y. K. and Lau K. W., 2004, Anatomy of Option Features in Convertible Bonds, Journal of Futures Markets 24(6), 513-532.
Mayers, D., 1998, Why Firms Issue Convertible Bonds : the Matching of Financial and Real Investment options, Journal of Financial Economics 47, 83-102.
Mazzeo, M. A. and Moore W. T., 1992, Liquidity Costs and Stock Price Response to Convertible Security Calls, Journal of Business 65, 353-369.
Melicher, R. W. and Hoffmeister, J. R., 1980, Issuing Convertible Bonds, Financial Executive, 20-23.
Mikkelson, Wayne H., 1981,Convertible Calls and Security Returns, Journal of Finance Economics 9, 237-264.
Modigliani F. and Miller M. H., 1963, Corporate Income Taxes and The Cost of Capital: A Correction, American Economic Review 53, 433-443.
Ofer, A. R. and Natarajan A., 1987 ,Convertible Call Policies: An empirical analysis of an information-signaling hypothesis, Journal of Financial Economics 19, 91-108.
Pilcher, C. J., 1955, Raising Capital with Convertible Securities, Michigan Business Study 21, 27-39.
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