在稅盾與破產成本的考量下評價可轉換公司債

Abstract

本文中評價可轉換公司債時將稅盾(Tax Benefit)和破產成本(Bankruptcy Cost)納入考量，此時可轉換公司債持有人在利益極大化的考量下，會以最佳轉換比例進行轉換；且當公司瀕臨破產時，可轉換公司債持有人會有以債作股的行為。這是過去評價可轉換公司債的相關文獻如Hung & Wang(2002)與Chambers & Lu(2007)所未曾考慮的。本文根據CRR模型建構出資產樹(CRR Tree)模擬資產變動並假設利率是固定的，經由倒推法，推出可轉換公司債期初價格。最後以實例Lucent在1997年所發行的可轉換公司債進行評價，並加以說明分析。

This thesis develop a method to price convertible bond under the considerations of effects of tax benefit and bankruptcy cost. To maximize the values of convertible bonds, the bond holders will convert the optimal ratio of convertible bond in order to maximize their benefits. On the other hand, when the company faces bankruptcy, the convertible bond holder will convert bonds into stock to prevent the lost due to liquidation cost. This effect is not considered in previous literature, says Hung & Wang(2002) and Chambers & Lu(2007). We use the CRR tree to model the asset value’s process with the assumption of constant interest rate. Then, we evaluate the initial convertible bond price by backward induction. Finally, we price the convertible bond issued by Lucent company in 1997 based on our model, and analyze our results.