由債券條款之設計探討我國轉換公司債發行對公司股價之影響

Abstract

本研究由債券條款的角度出發，將轉換公司債加以分類，以此分析轉換公 司債發行對公司股價的影響，試圖檢驗『轉換公司債之股價反應會受債券 條款規定不同所影響』的假設。故本研究以民國83年3月底之前，國內37 件發行轉換公司債的公司為樣本，以市場模式與事件研究法研究各型轉換 公司債之股價反應。本研究過程分為兩大部份：（一） 使用本研究所提 之『轉換可能性指標』，將影響轉換公司債轉換可能的債券條款加以量化 ，並依照轉換可能性指標的大小，把國內轉換公司債分為債券型與權益型 兩種。（二） 承接第一部份之結果，分別檢驗債券型與權益型轉換公司 債發行是否造成公司股價有顯著的異常報酬出現，並檢驗兩型的股價反應 是否有顯著差異。 實證結果發現：（一） 在宣告日兩日累積異常報 酬方面，債券型出現不顯著之正異常報酬，而權益型為不顯著之負異常報 酬。推論國內不論債券型或權益型轉換公司債，其發行均不具顯著之情報 效果。（二） 在債券型與權益型股價反應差異方面，得到兩者有顯著差 異的結論。在宣告日兩日異常報酬方面，債券型轉換公司債的股價反應明 顯優於權益型轉換公司債。 Recently, the high-tech industries in Taiwan are experiencing another cycle of rapid growth. To cope with the increased demand for their products, many high-tech firms are considering dramatic increase in their capital investment. Accompanied with the expansion, there is an urgent need for financing. The investors in Taiwan have gradually accepted the concept of convertible bonds (CBs). I the literature of capital structure, there is a great concern on the impacts of financing on the value of the underlying In this thesis, we propose that the wealth impacts of convertible bond issues are different for CBs with different covenants. We classified convertible bonds into two categories: namely, the "Bond Type" and the "Equity Type". Market model and event study method are then applied to investigate the wealth impacts. In total, 37 CBs issued in Taiwan were examined. The empirical work consists of two parts: First, we proposed a LCI index (Likelihood of Conversion Index) to quantify the degree of likelihood The study comes to two interesting findings. First, on announcement dates, the "Bond type" CBs show insignificant positive abnormal returns; while the "Equity type" CBs show insignificant negative effect. The results seem to suggest that the issuance of convertible bonds of both type carries no information content to the investors. Second, there is significant difference between the CARs of the two types of convertible bonds. The wealth impacts of the "Bond type" CBs is significantly greater than that of the "Equity type" of CBs.