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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105066

    Title: 國內可轉換公司債訂價前後股價行為之研究
    Other Titles: Price behavior of stocks around pricing convertible bonds in Taiwan
    Authors: 曾嬿諭;Zeng, Yan-Yu
    Contributors: 淡江大學財務金融學系碩士在職專班
    顧廣平;Ku, Kuang-Ping
    Keywords: 可轉換公司債;轉換價格訂定;股票報酬;事件研究法;Convertible Bonds;Pricing Conversion Price;stock return;Event Study
    Date: 2015
    Issue Date: 2016-01-22 14:46:57 (UTC+8)
    Abstract:   在資訊不對稱的狀況下,大股東及內部人藉由詢價圈購的特性,於轉換價格訂定期間操控股價,使得外部股東財富被移轉給大股東或特定人。有鑑於此,2004年主管機關修正轉換價格訂定規定,以杜絕特定人圖利情事。本研究以修正後之年度,2005至2013年上市(櫃)公司所發行之可轉債為研究對象,可轉債轉換價訂價基準日為事件日,分別觀察各事件期之平均異常報酬及累積異常報酬。
      In the presence of information asymmetry, blockholders and insiders may take advantage of the characteristics of bookbuilding to manipulate their stock price during conversion price setting, in an attempt to transfer the wealth of external shareholders to them or any specific people. To avoid this behavior, the authority concerned has amended regulations governing conversion price setting in 2004. Focusing on convertible bonds issued by publicly listed firms in Taiwan during 2005~2013, a period where the amended regulations have gone into effect, this study uses the record date for setting conversion price of convertible bonds as the event day to observe the average abnormal return (AAR) and cumulative abnormal return (CAR) for these firms in different event periods.
      Empirical results highlight a tendency among all the sample firms that a significantly positive AAR emerges several days before the record date for conversion price setting and persists until two trading days after the record date, suggesting that there is no underpricing of stock prices by blockholders or specific people and stock prices are raised during the conversion price setting period. It can be inferred that since the 2004 amendment of the regulations governing the record date for conversion price setting, the behavior of gaining an instant profit by setting a lower conversion price has been eliminated. In other words, this amendment has effectively inhibited blockholders’ and insiders’ intention to underprice their stocks one, three or five days preceding to the conversion price setting day. It should be noted that this finding persists even if the effects of market type, industry type or research period are controlled for.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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