評價以庫藏股支應轉換的可轉債

Abstract

本文利用樹狀模型評價可轉換公司債，並且在評價模型中考慮了公司的股利支出、稅盾(Tax Benefits)和破產成本(Bankruptcy Cost)，此外，利用可轉換公司債持有人與發行公司之間的賽局來分析可轉換公司債在1.可轉換公司債持有人在獨佔持有(monopoly)、塊狀履約(block)以及完全競爭(perfect competitive)這三種不同的持有情況之部分轉換策略 2. 發行公司在Textbook Call Policy和最大化股東權益(Maximize Equity)兩種不同的贖回策略 3.發行公司會以發行新股或是買回庫藏股來支應轉換的可轉債，在上述各種情形下找到最佳轉換比例與最適贖回決策下的均衡解，並從到期日倒推回發行日求出可轉債的初始價值。除此之外，本文引用林亨利(2012)對可轉換公司債的平均生存年限進行估計，發現當公司以最大化股東權益(Maximize Equity)作為贖回決策依據時，可轉換公司債的平均生存年限較Textbook Call Policy之贖回判斷為長，對市場上觀察到的可轉換公司債的贖回延遲提出了另一種解釋。最後比較發行新股及買回庫藏股支應方式對於可轉債價值及其平均生存年限有何變化，並發現在有部分轉換的情形時，發行新股及庫藏股的評價會不同。

This study prices convertible bonds (CB) with tree model that considers dividend expenses, tax benefits, and bankruptcy cost. By taking advantages of the game theory model, we analyze the bond call/conversion strategies and the values of contingent claims from three aspects. The first aspect is the number of CB holders. We analyze the sequential conversion behaviors given that there is only one holder (monopoly scenario) and every holder is a price taker (perfect competitive scenario). Then we compare them with the block conversion setting. Second, we analyze two different call back policies, one minimizes the CB holder’s value (the textbook policy) and the other maximize the value of equity holders. The final aspect is obtaining the shares for converted bonds by either issuing new equity or by repurchasing outstanding stocks from the market. I develop a tree to analyze optimal sequential conversion and call strategies under aforementioned circumstances in order to evaluate the values of bonds and equities under the structural model. Besides, we reference Lin (2012) that measures the expected survival age of convertible bonds. The expected age under the the maximizing equity call policy is longer than that of the textbook call policy, which explains the call delay phenomenon for convertible bonds. In the end, we compare the influence of issuing new stock and repurchasing treasury stock on the value and the expected survival age of convertible bonds. They are different if the partial conversion is allowed.