臺灣博碩士論文加值系統

可轉換公司債是一性質介於股票與債券之間的複合證券，複雜的發行條件及眾多影響價格的因素使得在評價可轉債價值時極具挑戰。本文將在Ingersoll(1977a)的分析架構下，加入信用風險及賣回條款的考量下，延伸探討各種情境下可轉債價值可能型態及其價格限制條件；同時建立一考量信用風險下的一因子評價模式，期能夠更精確評估國內可轉換公司債市場價格行為，並在實證上採用隱性有限差分數值法加以求解。實證研究中的研究對象是『茂達一』，以其發行期間自2004/04/20至2009/04/19作為研究期間。實證發現本文所建立的評價模型計算出的理論價格於『茂達一』發行前半期十分貼近實際市價，後期可能因流動性不足且投資人過分高估可轉債價值而有誤差。

Convertible bond is a hybrid security with debt- and equity-like features. Complicated bond indenture and many exogenous variables make it a big challenge to price convertible bonds. Under the framework of Ingersoll(1977a)，we consider the influence of credit risk of issuing company and put option to convertible bonds pricing and discuss all possible cases and pricing boundaries. Besides, we set up a one-factor pricing model in order to accurately catch the price behavior of domestic convertible bond market and solve it by implicit finite difference methods through an empirical test. We choose the convertible bond of Anpec as our research target. The period of this research is from 2004/04/20 to 2009/04/19. This study finds the theoretical prices of our model are close to market prices during first stage of research period. The estimation error of last period may due to illiquidity and over-expectation of investors.

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 2
第三節 可轉換公司債概述 2
第二章 文獻探討 6
第一節 可轉換公司債評價模型回顧 6
第二節 考慮信用風險的債券評價模型 18
第三章 評價模型的設定 24
第一節 可轉債價值解析解的可能情境分析 24
第二節 數值分析方法的選定 36
第三節 邊界條件的設定 38
第四章 實証研究 43
第一節 資料蒐集與參數估算 43
第二節 敏感性分析 46
第三節 市場價值、理論價值及轉換價值之實證 48
第四節 理論價格與市價差異原因探討 52
第五章 結論與建議 55
第一節 結論 55
第二節 後續研究建議 56
參考文獻 57

一、中文部分
[1].吳欽杉（1997）「以或有權利分析法評價台灣可轉換公司債」，中山管理評論1997年9月，第五卷第三期 pp.603-638
[2].紀景耀（1999）「信用風險下可轉換公司債之評價」，碩士論文，國立政治大學金融學系
[3].曾恩琦（1999）「可轉換公司債之評價-考慮破產可能模型」，碩士論文，東吳大學商用數學系
[4].曾恩琦（2004）「可轉換公司債之評價與最適轉換法則」，證券櫃檯月刊2004年7月，第九十五期 pp.55-72
二、英文部分
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