可轉換公司債理論價值與實際價格差異之行為分析

Abstract

債券市場中除了普通公司債外，可轉換公司債亦是重要的一項。其係指在約定的條件下，投資人可在特定期間，將該公司所發行的公司債轉換為特定股數普通股之債券。因此，可轉換公司債是同時具有公司債安全性與普通股的投機性之雙重特性。 而可轉換公司債在國外已行之多年，而對許多公司來說，其為一項重要融資來源。國內的可轉換公司債市場，自79年4月發行以遠紡股票為轉換標的之可轉換公司債以來至今7年多，已有多檔，而發行條件，也愈來愈優渥，不但凍結期縮短，甚至有保障收益和重設條件。因此，可轉換公司債市場理應篷渤發展，但市場規模卻由86年6月30日的640億元縮減至87年6月30日的580億元，且交投亦清淡。其主要原因可能是臺灣的投資大眾對股市投資以短線操作為主，且對可轉換公司債無深入認識，而認為其不適合短線進出獲利不大，因此使得交投無法熱絡。 而本研究之結果可歸納如下： 一、可轉換公司債的價差 根據本研究選取於85-86年發行於87年6月30日仍存續掛牌交易的可轉換公司債，共計33檔。而在33檔可轉換公司中，共有28檔(約佔85%)達0.05的顯著水準，表示此28檔可轉換公司債可能有價差的存在。僅5檔較缺乏機會。 二、依不同的發行條件探討可轉換公司債平均報酬率 不論是依凍結期、利率、發行期間的各種分類方式下，除利率為0-2%的情形外，其餘的各分類總平均報酬率皆大於0。 三、影響可轉換公司債價差平均值因素 標的物股價、轉換價格、凍結期間等3個變數，對可轉換公司債的理論價值與實際價格價差平均值差異的相互關係較顯著。此3變數與可轉換公司債理論價值與實際價格價差平均值的差異，彼此關連性為標的物股價愈高可轉換公司債理論價值與實際價格價差平均值差異愈大，轉換價格愈高與凍結期愈長可轉換公司債理論價值與實際價格價差平均值差異愈小。

In the bond market, the convertible bond plays an equally important role as the common stocks. Under the agreed terms, the investor can exchange the convertible bond into certain shares of stocks within a specific time frame. Consequently, the convertible bond possesses the double characteristics of the bond's safety and stock's speculation. The convertible bond has been marketed for many years in the world. To many corporations, it is an important source of their long-term loan. The convertible bond in Taiwan started in April 1990 with the Far Eastern Textile LTD's exchangeable bond. In more than seven years, quite a few corporations have issued new bonds and offered better deals such as reduced frozen period, guaranteed yield-to-maturity and reconciled new regulations. Theoretically, the convertible bond market ought to be thriving. On the contrary, the market scope has been reduced from NT$64 billion on June 30, 1997 to NT$58 billion on June 30, 1998 and the transactions were only occasional. One of the major reasons is that the investors in Taiwan are mainly interested in the short-term investment goal. They do not totally recognize the value of the convertible bond and believe the profit is very limited, which makes it not suitable for short-term investment. Hence, the amount of the transaction is moderate. Our research can be concluded as follows: 1. The price difference of the convertible bond exists We choose the 33 active convertible bonds on the market on June 30, 1998 which were issued between 1996 and 1997. There are 28 (about 85%) out of the 33 convertible bonds that reached 0.05 noticeable level. It proves that the 28 convertible bonds consist in price difference, only 5 are less attractive. 2. To study the average return of the convertible bonds according to various issued terms Except for those whose interest rate fall between 0-2%, we have found that the average returns are larger than zero, compared with various categorizations such as frozen period, interest rate and issued terms. 3. The factors that contribute to the average value of the convertible bond The three factors: stock price, conversion price and frozen period, have closed relationship with the average price difference of the theoretical value and market value. When the stock price is high, the difference of the theoretical value and market value of the convertible bond is also increased. When the conversion price is high and the frozen period is long, the difference of the theoretical value and market value of the convertible bond is decreased.