臺灣博碩士論文加值系統

本文以民國94年至100年間，發行可轉換公司債之台灣上市櫃公司為研究對象，藉由探討可轉債發行前後之股價表現、經理人權力對轉換溢價率及轉換機率之影響。
本文研究實證發現，在可轉換公司債宣告事件期間，多數樣本累計異常報酬為負向，亦即公司宣告發行可轉換公司債會顯著壓抑公司股價。另外，發現發行可轉換公司債之公司，其累計異常報酬之走勢呈現向下趨勢，故傾向接受可轉換公司債宣告事件對投資人而言為負向訊號。
若以金融海嘯前後與經理人權力之影響而言，其結果顯示：於金融海嘯後與金融海嘯前之比較，金融海嘯後使經理人權力越具顯著。其最主要與投資人對其資訊看好看壞及經營者的心態有關。金融海嘯前，投資人並不會特別注意經理人權力及持股比例相關資訊，而在海嘯發生時期，因為有抵押債權的問題，致使投資人會於海嘯後將經理人權力及持股比例納入考量之一，以避免雷曼兄弟事件、掏空案類似案件重演。

This study investigate the stock performance after issuing the convertible bond and the impact of CEO power on conversion premium and conversion probability . We use the listed companies in Taiwan stock market as our research sample. The observation period is set between 2005 to 2011.
The empirical findings indicate that, during the announcement period of issuing the convertible bonds, the cumulative abnormal returns are negative for most companies. It shows the stock price of issuing company will be deliberately suppressed before the convertible bond announcement. Moreover, we find there is a downward trend of cumulative abnormal returns for those issuing companies. Thus, we conclude that it releases a negative signal for the convertible bond issuance announcement.
Comparing the impact of CEO power on the announcement effect before and after the financial tsunami event, our findings show that: CEO power has becomes more decisive after the tsunami event. It can be attributed to the investors’ looking bad in the future and the reason of operator’s attitude. Before the financial tsunami, the investor does not pay special attention to CEO power and the information of managerial ownership. After the tsunami, the investors will reconsider the issue of secured debts, and take the CEO power and managerial ownership into account. Thus, like those that occurred at Lehman Brothers can be prevented.

摘要 I
ABSTRACT II
誌謝 III
目錄 IV
圖目錄 V
表目錄 VI
第壹章 緒論 1
第一節 研究緣起與動機 1
第二節 研究目的 7
第三節 研究架構 9
第貳章 文獻探討 11
第一節 經理人權力對公司經營績效之影響 11
第二節 可轉換公司債之發行動機 13
第三節 可轉換公司債的宣告效果 16
第四節 小結 19
第參章 研究方法 20
第一節 觀念性架構 20
第二節 研究假說建立 21
第三節 變數定義 24
第四節 事件研究法與異常報酬之衡量 28
第五節 多元迴歸模型 30
第肆章 實證結果 35
第一節 資料來源 35
第二節 敘述性統計分析 36
第三節 相關係數分析 40
第四節 宣告日前後之異常報酬 42
第五節 迴歸結果分析 46
第伍章 結論與建議 64
參考文獻 66
中文部分 66
英文部分 67
附錄一 可轉債發行條款 72
附錄二 現金增資法規 74

圖目錄
圖1-1 可轉換債券成交量 3
圖1-2 可轉債在100年之成交量 4
圖1-3 研究架構圖 10
圖3-1假說流程架構圖 20
圖3-2 事件研究之期間 28
圖4-1 總樣本產業分布圖 37
圖4-2 可轉換債券之平均異常報酬走勢圖-宣告期間(-20,240) 44
圖4-3 可轉換債券之平均異常報酬走勢圖-宣告(-20,20) 44
圖4-4可轉換債券之累計異常報酬走勢圖-宣告期間(-20,240) 45
圖4-5可轉換債券之累計異常報酬走勢圖-宣告(-20,20) 45


表目錄
表4-1 總樣本產業之分佈表 36
表4-2敘述統計量(全樣本N=185) 39
表4-3 皮爾森相關係數 41
表4-4可轉換債券的平均異常報酬與累計異常報酬-宣告期間 43
表4-5 CAR(t1,t2)迴歸結果表 48
表4-6轉換溢價率迴歸結果表 50
表4-7轉換機率迴歸結果表 51
表4-9 CAR(0,0)迴歸結果表-金融海嘯 54
表4-10 CAR(0,20)迴歸結果表-金融海嘯 56
表4-11 CAR(21,240)迴歸結果表-金融海嘯 58
表4-12轉換溢價率迴歸結果表-金融海嘯 60
表4-13 轉換機率迴歸結果表-金融海嘯 62

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