利用選擇權來評價反轉可替換債券對公司價值的影響

Abstract

本論文應用權衡理論去分析以反轉可替換債券籌資對公司價值的影響。反轉可替換債券是一種結構債，當標的公司在到期日的股價低於債券發行日的股價，則發行公司有權利將債券轉換成標的公司的股票給債券持有人。這種債券盛行於歐洲及北美金融市場。我們提出了一種選擇權評價方法來衡量公司發行反轉可替換債券的稅盾利益、破產成本、公司的槓桿價值及最適資本結構。首先考慮債券標的是自己公司股票的反轉可替換債券，公司在發生財務危機時，可以將反轉可替換債券轉換成公司股票，不但能降低公司的破產風險，也可以減少破產成本，而最適舉債比例跟公司的槓桿價值也比發行普通公司債還高。接著討論債券標的是其他公司的股票，相較於發行普通公司債，我們發現反轉可替換債券可以提升公司的槓桿價值，而且發行公司和標的公司的相關性越高，價值提升越明顯。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，進而降低發債公司破產的可能性。發行此債券不僅能降低破產風險，也能提升公司的資產價值，我們的實驗結果指出，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 applies the trade-off theory to analyze the effects on issuer’s value by issuing reverse exchangeable bonds (REB). A REB is a structural note that could be converted into the reference stock when the stock price at maturity is lower than the price at the issuing date. This product is widely traded in Europe and North American financial markets. We propose an option pricing approach to measure the impact of issuing REB on the tax benefit, the bankruptcy cost, the issuer’s levered value, and the analysis of optimal capital structure. First, we consider the case that the issuer issues REB on its own stock. The default risk and hence the bankruptcy cost reduces since the issuer can convert REB into equity during financial distress. The optimal leverage ratio and the firm value tend to be much higher than issuing other normal debts. Next, we discuss the case that the issuer issuing REB on another company’s stock. Compared to the firm issuing normal debts, issuing REB significantly increases the levered value, and the incremental magnitude increases with the increment of the correlation between the issuer’s value and the reference entity’s stock price. This is because a high correlation implies that the issuer is more likely to obtain debt reduction (due to the conversion of REB to the reference entity’s stock) when the issuer’s financial status deteriorates. This property decreases the issuer’s default likelihood and increases the issuer’s value. Our results suggest that raising debt capital by issuing reverse exchangeable bonds is better than issuing straight bonds.