發行反轉可替換債券對公司價值的影響

Abstract

本論文分析公司藉發行反轉可替換債券籌措資金的效果。反轉可替換債券是結構債的一種，當標的公司的股價低於某個預定的水準時，發行公司有權利將債券轉換成標的公司的股票。這種債券盛行於歐洲及北美金融市場。本論文提出的數值方法，能夠衡量發行反轉可替換債券對舉債公司價值及最適資本結構的影響。首先考慮發行公司發行以自己股票為標的物的反轉可替換債券，這種分析可用來解釋公司發生危機時以債作股的行為。接下來討論發行公司以其他公司(稱標的公司)的股票為標的發債。我們發現當發行公司與標的公司之間存在高度正相關時，有舉債公司價值和最適槓桿比率會明顯地提高。這是因為發行公司的負債，會隨著標的公司財務狀況惡化而減少。由於兩家公司的狀況高度相關，因此債券發行公司的負債，極有有可隨著其財務狀況惡化而減少，進而降低發債公司破產的可能性。我們實驗結果同時指出，當兩家公司的狀況高度相關時，藉由發行反轉可替換債券籌資會比發行普通公司債好。

This thesis analyzes the effects of raising debts by issuing reverse exchangeable. A reverse exchangeable is a structural note that could be converted into the reference stock when the stock price is lower than a certain prespecified threshold. This product is widely traded in Europe and North American financial markets. This thesis develops a numerical method to measure the impact of issuing reverse exchangeable on the issuer’s levered value and the optimal capital structure. At first we consider a situation that the firm issuing reverse exchangeable whose reference entity is itself. In this way, we can analyze the action that a firm converts debt to equity when the firm is in financial distress. Then we discuss the situation that the firm issuing reverse exchangeable whose reference entity is another company.We find that the firm levered value and the optimal leverage ratio can be significantly increased if the reference entity’s stock is highly correlated to the issuer's financial status. This is because the property that the issuer's debt obligation decreases when the financial status of reference entity deteriorates. Due to the aforementioned high correlation property, the issuer’s debt is very likely to decrease when its financial status deteriorates, which decreases the issuer’s default likelihood. Our numerical results also suggest that raising debt capital by issuing reverse exchangeable is better than issuing straight bonds.