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研究生： 張菀珊
Shan, Wan
論文名稱： 強制贖回可轉債與其長期股價表現
Convertible bond call and its long-run performance
指導教授： 張紹基
Chang, Shao Chi
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際企業研究所
Institute of International Business
論文出版年： 2007
畢業學年度： 95
語文別： 英文
論文頁數： 50
中文關鍵詞： 可轉債 、可轉債贖回 、長期股價表現
外文關鍵詞： convertible bond, convertible bond call, long-run performance
相關次數： 點閱：96  下載：2 
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    • 過去關於可轉債強制贖回之長期表現的文獻皆未能替可轉債強制贖回後的長期表現訂立明確結論。這樣不明確的實証結果可能導因於不同的贖回目的會傳遞不同訊息給投資人，因此造成不同的股價長期表現。但目前的文獻皆未提供關於不同贖回目的與其股價長期表現間關係的實証結果。因此在這篇研究中,我們希望能再次確認可轉債贖回後股價的長期表現，並且希望測試可轉債不同贖回目的對於贖回後公司股價的長期表現是否存在影響力。
    實證結果顯示若公司在宣佈可轉債贖回前內線交易人之淨交易額為負(即買大於賣)且在宣布可轉債贖回後公司資本支出幅度顯著增加，則宣布可轉債贖回之長期股價表現較內線交易人淨交易餘額為正且資本支出未顯著增加之贖回可轉債長期股價表現為好。且唯有在宣佈贖回可轉債之目的為為未來有潛力之投資機會融資的情況下，才會出現內線交易人淨交易額為負且資本支出為正之特徵。也因此實證結果證實若宣布可轉債贖回之目的為融資未來有潛力之投資機會時，其贖回後的長期股價表現將為正。
    我們預期在此研究中可以解釋現存實証研究中無法對可轉債強制贖回後公司長期股價表現達成一致性結論的原因。

    The existing findings of the long-run performance of convertible bond calls are indefinite. The indefinite empirical evidence of long-run result may result from different purposes of call that transmit different signals to investors and may result in different long-run stock return sequent to the call announcement. But there are no literatures that provide empirical research in the relationship between purposes of call and their long-run performance. Therefore we want to examine the long-run performance sequent to convertible bond calls and also examine whether the relationship between purposes of calls and their long-run performance exists or not.
    The empirical results suggest that sample calling firms with low transaction volume from insiders before call announcement and high capital expenditure increase after call announcement would have better long-run performance. Those call announcement with the above characteristics are those calls for financing potential investment opportunities. Therefore, we can conclude that call for financing investment opportunities will have better post-call effect.
    We expect that this study can help us understand the reason what influences the long-run performance of convertible bond calls.

    I. Introduction 1 1.1 Research Background 1 1.2 Research Motivation 3 1.3 Research purpose 3 II. Literature Review 5 2.1 The reasons of firms that make conversion-forcing calls 5 2.2 Announcement Effect 8 2.3 Post-call Effect 12 III. Data and Methodology 14 3.1 The data-set of convertible bond calls 14 3.2 Long-run returns measures 16 3.3 Regression Model 19 IV. Empirical Analysis 23 4.1 Existing evidence 23 4.2 Analysis of subgroups 27 4.3 Regression 39 V. Conclusion 44 5.1 Conclusion 44 5.2 Research Limitation 45 VI. Reference 47 Table 1 Distribution of convertible bond calls by calendar year, 1985-1997 15 Table 2 Sample dividing process 21 Table 3 Common stock returns over a 5 days period around the announcement of convertible bond calls that force conversion 23 Table 4 Three-year BHR for calling firms, their matched control firms and value-weighted market portfolio 25 Table 5 Fama and French Four-Factor Regression Estimates 26 Table 6 Mean and median of two groups and their difference separate based on capital expenditure change 28 Table 7-1 Mean and median of two groups and their difference separate based on transaction volume of insiders 29 Table7-2 Mean and median of two groups and their difference separate based on transaction volume of insiders 30 Table 7-3 Mean and median of two groups and their difference separate based on transaction volume of insiders 31 Table8-1 Mean and median of two groups and their difference separate based on transaction frequency of insiders and capital expenditure changes 34 Table8-2 Mean and median of two groups and their difference separate based on transaction shares of insiders and capital expenditure changes 35 Table 8-3 Mean and median of two groups and their difference separate based on transaction amount of insiders and capital expenditure changes 36 Table 9 Fama and French Regression Model for Subsample 38 Table 10 Describe statistics 40 Table 11 Regression Model 41 Table 12 Regression Model 42

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