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研究生:袁浩明
研究生(外文):YUAN. HAOMING
論文名稱:上市公司發行可轉換公司債對股價的影響—以A股為例
論文名稱(外文):The impact of convertible bonds issued by listed companies in China's A-share market on stock price
指導教授:陳秀淋陳秀淋引用關係
指導教授(外文):CHEN, SHOW-LIN
口試委員:陳琪龍林志彥
口試委員(外文):CHEN, MAXLIN, CHIH-YEN
口試日期:2021-06-15
學位類別:碩士
校院名稱:輔仁大學
系所名稱:經濟學系碩士班
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2021
畢業學年度:109
語文別:中文
論文頁數:54
中文關鍵詞:可轉債長期影響每股盈餘
外文關鍵詞:convertible bondlong-term impactEPS
相關次數:
  • 被引用被引用:0
  • 點閱點閱:22
  • 評分評分:
  • 下載下載:5
  • 收藏至我的研究室書目清單書目收藏:0
本文選擇中國滬深A股市場中2010年至2019年的上市公司股票數據,探究發行可轉換公司債的公司在可轉債存續期間內股價變化是否受到可轉債事件的長期影響。通過使用不平衡追蹤數據(Unbalance Panel Data)下的最大概似估計迴歸模型(MLE Model)得出的計量結果顯示,可轉債存續期對發行公司的股價有顯著為負的影響,進一步探究發現顯著的下行壓力主要來自可轉債上市後至可轉換前的時間區間,當可轉債進入可轉換期後,顯著性影響將會消失。
同時本文選擇以五百億市值為分組標準,探究可轉債存續期內不同規模的發行公司每股盈餘的變化對股價的衝擊。計量結果顯示,每股盈餘變化對所有上市公司的股價影響存在正向顯著性,但發行可轉債的公司無論市值大小在可轉債存續期内的每股盈餘變化皆不會對公司股價造成顯著性影響。

This article uses the unbalanced panel data of listed companies in China's A-share market from 2010 to 2019 to explore the relationship between the change of the stock prices and the issuing of convertible bonds to explore the long-term impact of the convertible bond issuance on the stock price. The result obtained by MLE models shows that the duration of the convertible bond has negative impacts on the stock price. The downward pressure of the convertible bonds mainly exists in the period before conversion, and the significance disappears during the conversion period.
In order to explore the impact of EPS of different market capitalization, this article further uses 50 billion as a threshold size to separate the convertible bond market into two groups. Regardless of market capitalization, the result shows that EPS has positive impacts on the stock prices for the companies. However, EPS has no significant influence on two different groups which issuing convertible bonds.
第一章 緒論 1
一、 研究動機與目的 1
二、 可轉債介紹 2
三、 論文架構 19
第二章 文獻回顧 20
一、 理論回顧 20
二、 實證研究回顧 21
第三章 研究方法 27
一、 研究假説 27
二、 資料選擇 29
三、 樣本分類 32
四、 模型選擇 33
五、 計量方法 34
第四章 實證結果 37
一、 相關性分析 37
二、 可轉債存續與可轉股前後對股價影響之迴歸結果 37
三、 每股盈餘對股價影響之迴歸結果 42
第五章 總結 44
一、 結論 44
二、 展望 45
參考文獻 47
一、 中文文獻 47
二、 外文文獻 48
附錄 53
一、 敘述統計量 53
二、 表目錄 54


一、中文文獻
1.劉娥平 (2005) “中國上市公司可轉換債券發行公告財富效應的實證研究.” 金融研究 7:45-56.
2.付雷鳴、萬迪昉、張雅慧 (2010) “中國上市公司公司債發行公告效應的實證研究.” 金融研究 3:130-143.
3.杨伟 (2010) “我国上市公司可转债发行的公告效应研究.” 会计之友 8:73-76.
4.張鵬 (2012) “中國可轉債發行公告效應研究.” 復旦大學碩士學位論文.
5.宋芳秀、範瀚予 (2014) “中國可轉債的發行公告效應及影響因素——基於預案公告和發行公告的研究.” 經濟與管理研究 11:41-49.
6.孫慧玲、徐璐璐、林之琳 (2015) “我國上市公司發行可轉債後的經營績效研究.” 企業經濟 10:165-169.
7.鄭陳暉 (2018) “上市公司股權再融資方式研究.” 科技經濟導刊 26(24):189-190.
8.王天、張宗源 (2019) “可轉債轉股價下修對股價的影響.”中國註冊會計師 8:43-47.

二、外文文獻
1.Abhyankar, Abhay and Alison Dunning. 1999. "Wealth effects of convertible bond and convertible preference share issues: An empirical analysis of the UK market." Journal of Banking & Finance 23(7):1043-1065.
2.Ammann, Manuel, Martin Fehr and Ralf Seiz. 2006. "New evidence on the announcement effect of convertible and exchangeable bonds." Journal of Multinational Financial Management 16(1):43-63.
3.Amemiya, Takeshi. 1971. "The Estimation of the Variances in a Variance-Components Model" International Economic Review 12(1):1-13.
4.Baltagi, B. H. (2005) Econometric Analysis of Panel Data.
5.Bancel, Franck and Usha R. Mittoo. 2004. "Why do European firms issue convertible debt?" European Financial Management 10(2):339-373.
6.Billingsley, R. S. and David M. Smith. 1996. "Why do firms issue convertible debt? " Financial Management 25(2):93-99.
7.Brounen, Dirk, Abe D. Jong and Kees Koedijk. 2006. "Capital structure policies in Europe: Survey evidence." Journal of Banking & Finance 30(5):1409-1442.
8.Brennan, Michael and Alan Kraus. 1987. "Efficient financing under asymmetric information." The Journal of Finance 42(5):1225-1243.
9.Brennan, M. J. and Eduardo S. Schwartz. 1988. "The case for convertibles." Journal of Applied Corporate Finance 1(2):55-64.
10.Burlacu, Radu. 2000. "New evidence on the pecking order hypothesis: the case of French convertible bonds." Journal of Multinational Financial Management 10(3-4):439-459.
11.Choi, Darwin, Mila Getmansky, Brian Henderson and Heather Tookes. 2010. "Convertible bond arbitrageurs as suppliers of capital." The review of financial studies 23(6):2492-2522.
12.Dong, Ming, Marie Dutordoir and Chris Veld. 2011. "Why do firms issue convertible bonds? Evidence from the field." Evidence from the Field (May 2, 2011).
13.Duca, Eric, Marie Dutordoir, Chris Veld and Patrick Verwijmeren. 2012. "Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation." Journal of Banking & Finance 36(11):2884-2899.
14.Dutordoir, Marie, Craig Lewis, James Seward and Chris Veld. 2014. "What we do and do not know about convertible bond financing." Journal of Corporate Finance 24:3-20.
15.Graham, J. R. and Campbell R. Harvey. 2001. "The theory and practice of corporate finance: Evidence from the field." Journal of financial economics 60(2-3):187-243.
16.Green, R. C. 1984. "Investment incentives, debt, and warrants." Journal of financial Economics 13(1):115-136.
17.Jong, A. D., Marie Dutordoir, Nathalie V. Genuchten and Patrick Verwijmeren. 2012. "Convertible arbitrage price pressure and short-sale constraints." Financial Analysts Journal 68(5):70-88.
18.Kang, Jun-Koo and René M. Stulz. 1996. "How different is Japanese corporate finance? An investigation of the information content of new security issues." The review of financial studies 9(1):109-139.
19.Kim, Hyeong Joon and Seung Hun Han. 2019. "Convertible bond announcement returns, capital expenditures, and investment opportunities: Evidence from Korea." Pacific-Basin Finance Journal 53:331-348.
20.Leland, H. E. and David H. Pyle. 1977. "Informational asymmetries, financial structure, and financial intermediation." The journal of Finance 32(2):371-387.
21.Lee, Inmoo and Tim Loughran. 1998. "Performance following convertible bond issuance." Journal of Corporate Finance 4(2):185-207.
22.Lewis, C. M., Richard J. Rogalski and James K. Seward. 2001. "The long-run performance of firms that issue convertible debt: an empirical analysis of operating characteristics and analyst forecasts." Journal of Corporate Finance 7(4):447-474.
23.Lewis, C. M., Richard J. Rogalski and James K. Seward. 2002. "Risk changes around convertible debt offerings." Journal of Corporate Finance 8(1):67-80.
24.Lewis, C. M., Richard J. Rogalski and James K. Seward. 2002. "Industry conditions, growth opportunities and market reactions to convertible debt financing decisions." Journal of Banking & Finance 27(1):153-181.
25.Mayers, David. 1998. "Why firms issue convertible bonds: the matching of financial and real investment options." Journal of financial economics 47(1):83-102.
26.Roon, F. D. and Chris Veld. 1998. "Announcement effects of convertible bond loans and warrant-bond loans: An empirical analysis for the Dutch market." Journal of Banking & Finance 22(12):1481-1506.
27.Ross, S. A. 1977. "The determination of financial structure: the incentive-signalling approach." The bell journal of economics 8(1):23-40.
28.Scholes, M. S. 1972. "The market for securities: Substitution versus price pressure and the effects of information on share prices." The Journal of Business 45(2):179-211.
29.Spiess, D. K. and John Affleck-Graves. 1999. "The long-run performance of stock returns following debt offerings." Journal of Financial Economics 54(1):45-73.
30.Stein J. C. 1992. "Convertible bonds as backdoor equity financing." Journal of financial economics 32(1):3-21.
31.Zeidler, Felix, Mark Mietzner and Dirk Schiereck. 2012. "Risk dynamics surrounding the issuance of convertible bonds." Journal of Corporate Finance 18(2):273-290.

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