臺灣博碩士論文加值系統

海外可轉換公司債（Euro Convertible Bond，以下簡稱 ECB）可視為結合「純公司債」與「選擇權」之金融商品，具有進可攻、退可守的特性，容易為保守型投資人所接受，故近幾年國內ECB市場從2000年的18億美金快速地成長至2003年的106億美金。由於 ECB 可透過資產交換，經由資產交換的拆解與重組，讓不同的投資需求相互配搭，滿足投資者不同的現金流量偏好，所有參予者均可從而受惠，讓資本市場更有效率，使得ECB資產交換業務亦伴隨著快速成長。
鑑於承作ECB資產交換時並無一公開的交易平台，於初級市場交易，主要係參考主辦承銷商的報價，而於次級市場，則由交易商各自報價，雙方再透過櫃台買賣協商決定，所以承作資產交換時信用利差的報價無一定的標準，對於同一標的物的信用利差的報價，不同的券商之間的報價往往有很大的落差，甚至有時在同一時間、同一標的物不同券商的報價，上下高達100bp之差，故本研究嘗試著以一個新的ECB評價模式計算出ECB的理論價格、選擇權價值及其資產交換時最適的之交換利率，並實證分析，以提供市場一合理可信的根據，做為交易之參考。
� �以往文獻上對於ECB的研究幾乎多是以套利為研究主題，以ECB評價模式為研究主題的甚是少見。本研究在考慮無風險利率、有風險利率、信用評等、期間、股價及匯率等隨機因子下，首次於文獻使用一種新的評價模式以國內企業所發行之ECB為研究案例，來計算ECB理論價格、ECB純債券價值、ECB選擇權價值及其做資產交換時
合理之交換利率。評價的結果，由於ECB理論價格、ECB純債券價值、ECB選擇權價值三部分市場上無相關資料可供比較分析，故此部分僅列表提供參考，最後僅就資產交換之信用利差部分作比較分析。實證分析的結果顯示，券商對ECB資產交換時信用利差的報價明顯低估，市場報價之信用利差明顯低於實證之信用利差，市場報價之信用利差與實證之信用利差兩者之間成正相關的關係，且市場報價之信用利差越高者與實證之信用利差間的價差越大，顯示出信用利差越大者，市場報價低估之信用利差越嚴重。
� �本研究另發現國內企業發行之ECB有信用評等的很少，未來國內如能建立ECB發行公司信用評等制度，不但有助於海外融資之取得，更可透過信用評等的制度建立一合理的信用利差，以作為資產交換時信用利差報價之參考。

Euro Convertible Bond ( hereafter referred to as ECB) can be deemed as combine the financial products of ‘ the pure convertible Band ' and ' call option ', It is suitable for conservative investors. Because ECB can be exchanged through the asset swap it makes different investment demands match each other, meet different cash flow of investors, all persons who participate in the products can make the capital market more efficient and make ECB asset swap market grow up more quickly.
There is no one open trade platform while dealing ECB asset swap, in the primary market dealers, mainly consult the distributor's quotation, and on the secondary market, by each quotation of the trader, both sides buy and sell the decision of consulting through the counter again, the quotation of the credit spread does not have certain standard to deal the asset swap. The quotation of the credit spread of the same subject differs from the different securities traders even at the same time, the offer spread up to the difference of 100bps. This paper also find out ECB price, pure convertible bond price, call option value of ECB, credit spread of ECB Asset Swap refer to deal.
The paper pricing ECB and their asset swap as theme of study is very rare. This paper is mainly about pricing ECB and their asset swaps subject to interest rate, equity, exchange rate, and credit risk. The Empirical and Investigation result shows, the trader quotation of the credit spread is obviously underestimated, the credit spread that the trader offers is obviously lower than the Empirical credit spread, the relation between of the market offers credit spread shows that the high credit spread and the Empirical credit spread is positive correlation, and the greater the price differential among the higher credit spread of the market offer, so the Empirical result shows that the larger credit spread will be more serious underestimated .
The setting up of rating system for ECB issuing company not only contribute to the obtaining of overseas financing, through the rating System, even give more help to set up the suitable credit spread in order to the credit spread quotation while exchanging as the asset swap.

中文摘要---------------------------------------------------------------------- i
英文摘要------------------------------------------------------------------ --iii
誌謝--------------------------------------------------------------------------v
目錄--------------------------------------------------------------------------vi
表目錄----------------------------------------------------------------------viii
圖目錄------------------------------------------------------------------------ix
第一章 緒論-------------------------------------------------------------------
1.1 研究背景與動機--------------------------------------------------------- 1
1.2 研究目的----------------------------------------------------------------3
1.2.1 關鍵字-----------------------------------------------------------------4
1.3 研究範圍與限制----------------------------------------------------------4
1.3.1 研究樣本---------------------------------------------------------------4
1.3.2 研究樣本蒐集期間-------------------------------------------------------4
1.3.3 研究限制----------------------------------------------------------------4
1.4� 研究架構-----------------------------------------------------------------5
第二章 文獻探討---------------------------------------------------------
2.1 海外可轉換公司債定義及內容-----------------------------------------------7
2.1.1 海外可轉換公司債定義----------------------------------------------------7
2.1.2 海外可轉換公司債交易流程------------------------------------------------7
2.1.3 海外可轉換公司債的契約內容----------------------------------------------8
2.1.4 發行與投資海外可轉換公司債的優缺點-------------------------------------10
2.2 海外可轉換公司債資產交換流程及可能產生風險 -----------------------------11
2.2.1 資產交換---------------------------------------------------------------11
2.2.2 資產交換流程-----------------------------------------------------------12
2.2.3 承作資產交換可能產生之風險---------------------------------------------13
2.3 相關文獻探討-----------------------------------------------------------14
第三章 研究方法與設計---------------------------------------------------
3.1 � 研究方法---------------------------------------------------------------16
3.2� 研究對象---------------------------------------------------------------22
第四章 實證結果與分析---------------------------------------------------
4.1� �模型變數--------------------------------------------------------------33
4.1.1 評價模式的變數定義----------------------------------------------------33
4.1.2 研究變數--------------------------------------------------------------36
4.2 � 實證結果---------------------------------------------------------------39
4.2.1 �實證結果--------------------------------------------------------------39
4.2.2 實證結果與Bloomberg資料比較-------------------------------------------41
4.3 配對樣本平均數差異分析及迴歸分析--------------------------------------46
第五章 結論與建議----------------------------------------------------------
5.1 研究結論---------------------------------------------------------------49
5.2� 後續研究與建議-------------------------------------------------------- 50
參考文獻--------------------------------------------------------------------- 51
中文部分--------------------------------------------------------------------- 51
英文部分--------------------------------------------------------------------- 51
附錄一------------------------------------------------------------------------52
附錄二------------------------------------------------------------------------54

一、中文部分
1. 王姿云， 2003，,可轉換公司債拆解訂價與實例分析，中山大學財務管理研究所�
未出版碩士論文。

二、英文部分
1.張瀞云 , 2004,“ Pricing Foreign-Currency Convertible Bonds and Their �
� Asset Swaps With Interest Rate,Equity,FX,and Credit Risk”, 高雄第一科技大學� 財務管理研究所碩士論文
2.Black, F., and Scholes, M., 1973,”The Pricing of Options and Corporate liabilities”,Journal of Political Economy,vol. 81, pp. 637-654.
3.Huag, M.-W., and Wang, J.-Y., 2002, “Pricing Convertible Bonds Subject
To Default Risk”, Journal of Derivatives, vol.10, pp. 75-87.
4.Ingersoll, J., Jr., 1977a, “A Contingent-Claims Valuation of Convertible
Securities”,Journal of Financial Economics, vol. 4, pp. 289-322.
5. Jarrow, R.A., and Turnbull, S.M., 1955, “Pricing Derivatives on Financial
Securities Subject to Credit Risk”, Journal of Finance, vol. 50, pp. 53-85.