臺灣博碩士論文加值系統

近年國內可轉換公司債發行量增加，但缺乏可轉換公司債宣告贖回與發行公司股價關係之研究，故探討我國可轉換公司債宣告贖回對股價的影響。針對國內上市櫃公司所發行的可轉換公司債進行研究，了解可轉換公司債的市場狀況及宣告贖回情形，在宣告贖回前後是否對發行公司股價造成影響。
研究90年8月至93年3月間，我國上市櫃公司成功發行的可轉換公司債，以其中44個宣告贖回樣本，觀察宣告贖回時發行公司股票報酬率的異常情形。利用事件研究法以市場模式建立迴歸模型，同時採最小平方法及GARCH模型估計參數，計算宣告贖回期間預期報酬率並檢定異常報酬率。
實證結果顯示，我國企業發行的可轉換公司債大多數因轉換完畢而下市，以宣告贖回結束的可轉換公司債相對較少。宣告贖回對股價影響上，宣告日當日股價報酬率為不顯著負報酬率，宣告日前第四日及宣告日後一日的股價報酬率為顯著負報酬率，顯示宣告贖回事件在宣告當日及後一日會造成股價的下跌，而在宣告日二日後之股價報酬率即反轉為正報酬率，表示該事件宣告為暫時性影響，此結果與Mazzeo and Moore(1992) 宣告贖回股價受流動性暫時影響而下跌相符。在宣告日前十日之累計異常報酬為不顯著負報酬率，而宣告日後十日之累計異常報酬為不顯著正報酬率，故宣告贖回可轉換公司債在宣告前與宣告後期間股價不受該事件之影響。

This study examines the effects of stock returns at stated periods of call announcements of convertible bonds in Taiwan market. Due to more and more convertible bonds issued in recent years and the lack of researches into relationship between stock returns and call announcement of convertible bonds, it’s necessary to understand the market condition of convertible bonds and call status. This study selected 44 call announcement cases from August 2001 to March 2004 as analyzing samples among the listed companies which had successfully issued the convertible bonds in Taiwan stock market. The research made use of event study associated with regression in the market model and estimated parameter by OLS and GARCH to comprehend the abnormal stock returns at study period of call event.
The result of our study showed that most of the convertible bonds in Taiwan conclude with converting and this is associated with characteristics of equity bonds. Statistics show that the negative stock return on the announcement day is not significant, but on the day after announcement stock return is significant negative. However, the stock returns recover afterward because of the positive cumulative returns several days later. Furthermore, the accumulated stock return before call announcement is negative and after is positive. Despite before or after call announcement, the cumulative returns are not statistical significant and that implies call announcement almost causes no effects.
Like many previous studies, a call announcement of convertible bonds is accompanied with the price decline of the firm’s common equity. The descent yet quick reversal in stock price shows that the effects caused by the call announcement of convertible bonds are temporary. Thus, this finding in Taiwan market supports the liquidity hypothesis of Mazzeo and Moore (1992) that the decline in price following conversion-forcing calls is quickly reversed.

目錄…………………………………I
表目錄………………………………II
圖目錄………………………………III
第壹章 緒論……………………… 1
第一節 研究背景與動機…………1
第二節 研究目的…………………5
第三節 研究流程…………………6
第貳章 文獻探討………………… 7
第一節 我國可轉換公司債概況…8
第二節 可轉換公司債內容………14
第三節 海外可轉換公司債………18
第四節 相關文獻探討……………20
第參章 研究方法………………… 29
第一節 研究架構…………………30
第二節 研究假說…………………31
第三節 研究範圍…………………32
第四節 研究模式…………………34
第五節 研究限制…………………52
第肆章 研究結果與分析………… 53
第一節 樣本資料分析……………53
第二節 實證結果分析……………59
第伍章 結論……………………… 73
第一節 研究結論…………………73
第二節 研究建議…………………75
第三節 後續研究建議……………76
參考文獻……………………………77
參考網站……………………………80

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