可轉換公司債的部分轉換狀況以及贖回策略分析

Abstract

本文利用樹狀模型對可轉換公司債進行了評價，不僅納入了稅盾(Tax Benefits)以及破產成本(Bankruptcy Cost)的影響，也分析了可轉換公司債在不同持有型態下之轉換策略以及不同面相之公司贖回策略，建立了一套類似賽局的分析方式。並發現可轉換公司債在完全競爭的持有情況下仍然存在部分轉換的情形(Sequential Conversion)，但是並不存在以債作股的情況，這個情況間接影響到當公司進行舉債籌資時，是否在一適當的可轉換公司債混成比例，使得舉債後公司的槓桿價值(Leverage Value)最大化。除此之外，本文透過動態規劃法(Dynamic Programing)對可轉換公司債的生存年限進行估計，發現了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原先最小化可轉換公司債價值(Minimize CB Value)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。

This thesis prices convertible bonds (CB) with a “game-theory-based” tree model. Not only the tax benefits and the bankruptcy costs are taken into account to analyze the issuer’s capital structure, but the different types of holding scenarios and call strategies are taken into account. By releasing the block conversion constraint, we find that when the issuer’s value went high, the “sequential conversion” phenomenon can be observed both under the monopoly scenario (i.e., CB are held by one player.) and the competitive scenario (i.e., CB are held by many players and each player is a price taker.). On the other hand, when the issuer were in financial distress, the debt-to-equity conversion only appeared in monopoly scenario. These observations enrich our analysis on the capital structure and the issuer’s levered value for issuing CB. Besides, CB might “matured” early if they are converted .Or called back by issuers. Thus we use the dynamic programming method to estimate the expected maturity of CB. We find that the expected maturity is longer under the “equity maximizing” call policy than that under the “CB minimizing” strategy. This provides an alternative explanation that why the CB are called late.