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研究生： 楊綾欣
Yang, Ling-Hsin
論文名稱： 台灣上市櫃公司發行可轉換公司債的宣告效果－以多因子評價模型為基礎
The announcement effect of convertible bonds in Taiwan Market based on Multi-factor pricing models
指導教授： 李宏志
Li, Hung-Chih
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2013
畢業學年度： 101
語文別： 英文
論文頁數： 82
中文關鍵詞： 可轉債 、宣告效果 、事件研究 、市場模式 、多因子評價模型
外文關鍵詞： convertible bonds, announcement effect, event study, market model, multi-factor pricing models
相關次數： 點閱：126  下載：4 
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    • 本研究運用事件研究法(Event study)，探討可轉換債券(Convertible Bond，CB)的發行宣告效果。除了檢驗整體可轉債的宣告效果，本研究將總樣本依債券發行地點及發行目的進行劃分，並分別驗證不同發行地點或發行目的下的可轉債，是否呈現不同的發行宣告效果。在股價預期報酬率的衡量上，除了採用傳統的一因子模式(One-factor pricing model)外，本研究亦採行三種多因子評價模型(Multi-factor pricing model)，期能更精確地衡量出樣本公司在宣告期間的股價異常報酬率。此外，除了檢驗原始樣本的宣告效果之外，本研究亦納入配對樣本檢定的程序，希望能控制某些研究者無法掌握，但可能干擾研究結果的變數。
    實證結果顯示，整體而論，台灣地區的可轉債呈現顯著且負向的發行宣告效果。若進一步依「發行地點」及「發行目的」來區分原始樣本，發現海外可轉債(European CB，ECB)及具備多種發行目的之可轉債樣本中，呈現顯著且負向的宣告效果。若為籌措公司資本支出計畫而發行的可轉債，則呈現顯著且正向的宣告效果。以贖回舊債為目的而發行的可轉債，呈現負向且極端顯著的宣告效果，但在配對樣本檢定下，負向宣告效果變得不顯著。至於國內可轉債(Domestic CB，DCB) 、為支應企業日常營運而發行的可轉債，及為支應併購計畫而發行的可轉債樣本中，均未發現顯著的宣告效果。橫斷面的迴歸分析顯示，發行宣告期間的異常報酬率，與贖回保護期間(issue maturity)呈現顯著的正向關係；異常報酬率與相對發行規模(relative size of issue)及舉債程度(leverage ratio)之間，則呈現顯著的負向關係。

    This study aims to examine the announcement effect on convertible bond (CB) issues by using the methodology of Event study. In addition to examine the announcement effect on all CB issues in the research period, we divide the full sample into seven subsamples in terms of issuing place and issuing purpose and examine the announcement effect on these subsamples. We not only adopt the traditional one-factor pricing model, but also involve three kinds of multi-factor pricing models to estimate the expected stock returns, hoping to measure the abnormal returns in the announcement period more precisely. Besides, in addition to examine the announcement effect on original samples, we further involve the matched sample test for the purpose of controlling some unknown variables that might influence the research results.
    Our results reveal that the announcement effect of CB is significantly negative in Taiwan Market. When all CB issues are further separated in terms of issuing place and purpose, we find significantly negative effect for European CB and CB issued with mixed purposes. CB issued with purpose to finance capital expenditure schemes exhibit significantly positive effect. As to CB issued with the purpose of refinancing previous debts, we find negative and extremely significant effect in the original sample. But this kind of announcement effect became insignificant in the matched sample test. Domestic CB and CB issued with purpose of supporting normal business operations or supporting possible M&A programs all exhibit insignificant announcement effect. Finally, the cross-sectional regression analysis reveal that the variable issue maturity is positively related to abnormal returns, inversely, both relative size of issue and leverage ratio are negatively related to abnormal returns in the announcement period.

    Content Chapter1 Introduction 1 1.1 Research Background and Motivation 1 1.2 Research Objectives 2 1.3 Contributions 2 1.4 Organization 3 Chapter2 Literature Review 4 2.1 Motivations for firms to issue convertible bonds 4 2.1.1 Easing agency conflicts 4 2.1.2 Backdoor-equity financing hypothesis 5 2.1.3 Sequential-financing hypothesis 5 2.1.4 Reducing interest cost 6 2.2 The Announcement Effect of Convertible Bond Issues 6 2.3 The asset pricing models 9 Chapter 3 Methodology 11 3.1 Data Selection and Processing 11 3.2 Research Design 12 3.2.1 Event Study 12 3.2.2 The Matched Sample Test 15 3.2.3 The Estimation of Expected Returns 16 3.2.4 The Cross-Sectional Regression Analysis 19 Chapter4 Empirical Results 21 4.1 Descriptive Statistics 21 4.2 The Announcement effect of Convertible Bond Issues 23 4.2.1 Full Sample 23 4.2.2 DCB Sample 25 4.2.3 ECB Sample 26 4.2.4 Capital Expenditure 28 4.2.5 Debt Refinancing Sample 29 4.2.6 General Corporate Sample 30 4.2.7 Specific Acquisition Sample 31 4.2.8 Mixed Sample 32 4.3 Results of the Matched Sample Test 33 4.3.1 Full Sample and its Matched Sample 33 4.3.2 DCB Sample and its Matched Sample 35 4.3.3 ECB Sample and its Matched Sample 35 4.3.4 Capital Expenditure Sample and its Matched Sample 37 4.3.5 Debt Refinancing Sample and its Matched Sample 38 4.3.6 General Corporate Sample and its Matched Sample 39 4.3.7 Specific Acquisition Sample and its Matched Sample 41 4.3.8 Mixed Sample and its Matched Sample 42 4.3.9 Summary 43 4.4 Cross-Sectional Regression Results 44 4.4.1 Regression results based on three-day event window (-1,0) 45 4.4.2 Regression results based on three-day event window(0,1) 45 4.4.3 Regression results based on three-day event window (-1,1) 46 4.4.4 Regression results based on three-day event window (0,2) 46 4.4.5 Correlation Matrix of independent variables 46 4.4.6 Summary 47 Chapter5 Conclusions 49 5.1 The Announcement Effect of convertible bond issues 49 5.2 The Cross-sectional Regression results 51 References 53 List of Tables Table1-1-1 Issuing amounts of Stocks and CB in Taiwan 57 Table1-1-2 Number and Outstanding amounts of CB in Taiwan 57 Table3-1-1 Annual distribution of CB issues 58 Table3-1-2 Sample classified by issuing purpose, secured or not, and issuing method 58 Table3-1-3 Sample classified by TSE industry sector 59 Table4-1-1 Descriptive Statistics for Full Sample and Seven Subsamples 60 Table4-2-1 Average Abnormal Returns of Full Sample 62 Table4-2-2 Average Abnormal Returns of DCB Sample 63 Table4-2-3 Average Abnormal Returns of ECB Sample 64 Table4-2-4 Average Abnormal Returns of Capital Expenditure Sample 65 Table4-2-5 Average Abnormal Returns of Debt Refinancing Sample 66 Table4-2-6 Average Abnormal Returns of General Corporate Sample 67 Table4-2-7 Average Abnormal Returns of Specific Acquisition Sample 67 Table4-2-8 Average Abnormal Returns of Mixed Sample 68 Table4-2-9 Cumulative Abnormal Returns of Full Sample 68 Table4-2-10 Cumulative Abnormal Returns of DCB Sample 69 Table4-2-11 Cumulative Abnormal Returns of ECB Sample 69 Table4-2-12 Cumulative Abnormal Returns of Capital Expenditure Sample 70 Table4-2-13 Cumulative Abnormal Returns of Debt Refinancing Sample 70 Table4-2-14 Cumulative Abnormal Returns of General Corporate Sample 71 Table4-2-15 Cumulative Abnormal Returns of Specific Acquisition Sample 71 Table4-2-16 Cumulative Abnormal Returns of Mixed Sample 72 Table4-3-1 Difference of Average Abnormal Returns between Full Sample and its Matched Sample 72 Table4-3-2 Difference of Average Abnormal Returns between DCB Sample and its Matched Sample 73 Table4-3-3 Difference of Average Abnormal Returns between ECB Sample and its Matched Sample 73 Table4-3-4 Difference of Average Abnormal Returns between Capital Expenditure Sample and its Matched Sample74 Table4-3-5 Difference of Average Abnormal Returns between Debt Refinancing Sample and its Matched Sample74 Table4-3-6 Difference of Average Abnormal Returns between General Corporate Sample and its Matched Sample75 Table4-3-7 Difference of Average Abnormal Returns between Mixed Sample and its Matched Sample 75 Table4-3-8 Difference of Cumulative Abnormal Returns between Full Sample and its Matched Sample 76 Table4-3-9 Difference of Cumulative Abnormal Returns between DCB Sample and its Matched Sample 76 Table4-3-10 Difference of Cumulative Abnormal Returns between ECB Sample and its Matched Sample 77 Table4-3-11 Difference of Cumulative Abnormal Returns between Capital Expenditure Sample and its Matched Sample77 Table4-3-12 Difference of Cumulative Abnormal Returns between Debt Refinancing Sample and its Matched Sample 78 Table4-3-13 Difference of Cumulative Abnormal Returns between General Corporate Sample and its Matched Sample 78 Table4-3-14 Difference of Cumulative Abnormal Returns between Specific Acquisition Sample and its Matched Sample 79 Table 4-3-15 Difference of Cumulative Abnormal Returns between Mixed Sample and its Matched Sample 79 Table4-4-1 Results of Cross-Sectional Regression based on two-day event window(-1,0) 80 Table4-4-2 Results of Cross-Sectional Regression based on two-day event window(0,1) 80 Table4-4-3 Results of Cross-Sectional Regression based on two-day event window(-1,1) 81 Table4-4-4 Results of Cross-Sectional Regression based on two-day event window(0,2) 81 Table4-4-5 Correlation Matrix of Independent Variables on all CB issues 82 Table4-4-6 The Variance Inflation Factors of six independent variables 82

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