公司債務結構改變下的債券異常報酬實証研究

Abstract

過去研究公司事件分析中，許多研究著重在探討當公司發生購併、股票重購等事件時對於股價及股票投資人的影響，較少探討公司事件發生時，對於債券持有人之影響。依據Merton(1974)的結構式信用風險模型指出，公司舉債經營時，股東權益如同一買權，其標的為公司資產價值，履約價格為該公司負債，所以當債務到期時，若公司價值高於到期債務時，則股東會執行買權，即公司將清償債務。後續有許多論文，討論隨機利率以及公司重組對於債券價格的影響，但少有論文討論債務結構改變(如發行新債)對於其他債券的影響，並提供實證。依此本文將探討當公司發行新債時，如新債到期日大於現有債券到期日，是否會使現有債券持有人持有債券的信用風險降低而產生異常報酬，並使用結構式信用風險評價模型推估風險溢酬，觀察此創新的數值方法是否可提供投資人當事件發生時良好的風險溢酬預測能力。研究結果顯示，當公司發行新債時，如新債到期日大於現有債券到期日，會使事件當週產生異常報酬。另本研究使用的創新數值方法(FPM)提供之風險溢酬相較彭博社(Bloomberg)所提供資料更接近實際KFT公司之交易結果，顯示可提供投資人當事件發生時良好的風險溢酬預測能力。

Prior studies have examined the impact of announcement of Merge & Acquisition or repurchase programs upon the equity value and stake shareholders and have less focused on the impact of various corporate events on bond values. According to Merton’s structural form, the equity can be viewed as a call option on the firm asset value with the strike price being equal to the firm’s liability. If the firm asset value is higher than it’s liablilties at debt maturity, the shareholder would exercise this call option and repaid the liabilities. Following researches have also focued on the impact upon interest rates follow correlated stochastic processes and company reorganization events while less reaearch has discussed the inference of the change of corporate liablilty’s value when corporate issues new bonds. This study analyzes the abnormal return for corporate’s ourstanding bonds when corporate issue a new bond with a longer maturity than outstanding bonds. We also examined the bonds risk premium by using credit risk model based on structural form model and evaluated it’s predict ability toward investors around corporate events. We find the strongest support for the hypothesis of if any abnormal return for others ourstanding bonds when corporate issue a new bond which it’s maturity longer than others outstanding bonds. Also, our credit risk model based on structural form model simulate daily bond risk premium of KFT company better than the reference of Bloomberg bond rating data and can provide a better predict tool for investors.