國內可轉換公司債之宣告、發行及到期對公司股價的影響

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/18042

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Title:	國內可轉換公司債之宣告、發行及到期對公司股價的影響
Other Titles:	The Effects of Announcement, Issuance, and Maturity Dates of Convertible Bonds on Stock Prices
Authors:	林位餘 Lin, Wei-yu
Contributors:	財務金融學系財務管理碩士班吳錦文 Chin-wen Wu
Keywords:	異常報酬;宣告效果;國內可轉換公司債;事件研究法;發行效果;到期效果 Announcement effects;Issuance effects;Event Study;Convertible Bond;Abnormal Returns;Maturity effects
Date:	2012
Issue Date:	2015-01-08 09:05:53 (UTC+8)
Abstract:	本研究主要利用事件研究法在2001年至2011年間，國內可轉換公司債有宣告、發行、到期的上市公司，總計253個樣本，完整探討及分析可轉換公司債在宣告日、發行日、到期日等三個事件期間所有樣本的異常報酬情形，並且提供投資人可採行的投資策略；第二部分探討在不同的負債比率、信用評等、及發行規模等變數下，可轉換公司債在宣告日、發行日、到期日期間所產生累積平均異常報酬是否有差異，分別進行檢定與比較。本研究的重要發現如下：一、可轉換公司債在宣告日期間產生顯著負向的累積平均異常報酬，而在發行日期間則有顯著正向的累積平均異常報酬，在到期日期間則有顯著負向的累積平均異常報酬。二、在不同負債比率下，可轉換公司債在宣告日、發行日、及到期日期間所產生的累積平均異常報酬並沒有顯著的差異。三、在不同信用評等下，在宣告日、發行日、到期日期間所產生的累積平均異常報酬皆有顯著的差異，且低風險樣本的異常報酬表現最佳。四、在不同發行規模下，在宣告日、發行日、到期日期間所產生的累積平均異常報酬皆有顯著的差異，且小發行額樣本的異常報酬表現優於大發行額樣本。　　We use the 253 convertible bonds listed in TSE during 2001-2011 as our data. This first goal of this paper is to empirically investigate the impacts of announcement, issuance, and maturity dates of convertible bonds on their stock prices using the event study approach. The second goal of this paper is to empirically test the effects of debt ratio, credit rating, and issue size on the cumulative abnormal returns. The main findings of this paper are as follows:　　1. The announcement effects and maturity effects of convertible bonds are associated with significantly negatively cumulative abnormal returns, while the issuance effects are significantly positively related to cumulative abnormal returns.2. For different debt ratios, the cumulative abnormal returns of convertible bonds during the event periods of announcement, issuance, and maturity are not significant.3. For different credit ratings, the cumulative abnormal returns of convertible bonds during the event periods of announcement, issuance, and maturity are significant, especially for the high level of credit-rating convertible bonds.4. For different issue sizes, the cumulative abnormal returns of convertible bonds during the event periods of announcement, issuance, and maturity are significant, especially for the smaller sizes of convertible bonds.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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