可轉換公司債的訊息效果:從預期轉換期間的觀點來分析

Abstract

企業透過發行債權證券及股權證券來籌措長期資金，常因資訊的不對 稱造成市場上正向或是負向的反應，而影響股東的財富。可轉換公司債因 為具有債權與股權的雙重特性，因此市場上對這事件的認知將會影響其宣 告效果。過去的文獻大多利用標準的事件研究法來研究其發行的宣告效果 ，而本文將從其預期轉換期間與累積異常報酬(CAR)之間的關係來研究其 所傳遞的訊息效果。當轉換時間越長，其性質較屬於債權證券，反之，其 性質屬於股權證券。 本論文收集民國78年至85年間，33件國內成 功發行可轉換公司債的資料，首先利用事件研究法來計算其宣告期間的累 積預期報酬，然後再利用交叉迴歸分析來研究預期轉換期間與累積異常報 酬間的關係，研究結果發現:(1)在宣告期間的兩日累積異常報酬為不顯著 的負效果，其結果與過去的文獻一致。(2)利用迴歸分析的研究結果發現 ，預期轉換期間與累積異常報酬具有不顯著的正相關，加上宣告期間的累 積異常報酬為不顯著的負效果 可說明可轉換公司債較屬於權益的性質 。(3)發行量相對大小、股價報酬標準差、凍結期間、發行目的、風險溢 酬等變數對宣告效果亦是具有不顯著的影響。 Due to asymmetric information between insiders and outsiders, the positive market response to the debt financing and negative market response to the equityfinancing have been documented in the literature.Basically,a convertible bond is a straight bond combined with the stock option,which gives rise to a very interestingdiscussion on its issuance.We used to state that the convertible bond is a backdoor of the equity financing. In other words,the sooner the bond holgers execute theconversion right,the most likely it is an equity-type security, and vice versa.Because of its hybird nature---part debt,part equity, hence,the market response to itsissuance hinges on what type of security it is mostly like. The past research employed the standard event study methodology to examine theannouncement effect. This study is to reexamine its announcement effect from theperspective of the expected time to conversion. We collect the 33 convertible bondissues in the Taiwan security market for the period 1989 through 1996.First we caculate the CAR( cumulative abnormal return)in the designated event window.Then, we employ theregression analysis to examine the relationship between the expected time to conversion and the CAR.To get a clear picture on this examination, five controlled variableare added in the model.The results show(1)There is a negative but statistically insignificant announcement effect whit is consistent with the past research evidences.(2)The regression analysis provides the evidences which show the positive relationship between the expected time to conversion and CAR. It implies that convertible bondis much more like an equity-type security.(3)The size of the equity market value,the volatility of the stock return, the protective conversion period, the purposeof the issuance of the convertible bond and the bond's risk premium do not give rise to a significant effect as well