可轉換公司債近年來在台灣已成為企業籌資管道之一，金融海嘯期間更是有效避險工具。本論文以金融危機發生為背景，藉由事件研究法，研究我國上市(櫃)公司發行可轉債前後對公司股價長短期績效。研究期間為2002年1月1日至2014年12月31日，除了觀察全體事件樣本對股價報酬之績效外，還分群探討金融海嘯前與後對公司股價之異常報酬變動情況。短期事件研究以OLS與GARCH估計法計算出短期平均異常報酬與平均累積異常報酬，以此衡量短期股價變化；長期以規模參考投資組合報酬率與規模/淨值市價比投資組合報酬率作為基準報酬，再以買進持有法衡量長期績效。 實證結果顯示：短期而言，國內發行可轉債公司，其於發行前第10日到前第5日有產生顯著為正的平均累積異常報酬，發行可轉債後累積異常報酬有明顯下跌現象；金融海嘯前，在發行可轉債5日後累積異常報酬由正轉負，可見可轉債發行後短期對股東財富並非有一定正面效果；金融危機發生後，平均累積異常報酬下跌現象才趨於緩和。長期而言，在發行可轉債1年後，兩種不同之衡量異常報酬方式都產生類似的結果，買進持有異常報酬都有顯著下跌現象，而在發行3年後跌幅更大；金融海嘯後異常報酬明顯增加且顯著性大幅降低，這似乎顯示金融海嘯前發行可轉債對上市(櫃)公司股價受到的長期績效比金融海嘯後為差。 Convertible Bonds have become a prevailing financial tool to collect the capital in Taiwan market, and being an effective way of hedging risk in 2008 financial crisis. This paper investigates the effect of issuing Convertible Bonds from Taiwan listed companies from January 2002 to December 2014. In short-term event study, we calculate the short-term average abnormal return (AAR) and average cumulative abnormal return (CAR) by OLS and GARCH estimation method. In long-term event study, we adopt the method of MV return and MVBP return to find out the basis return and then measure long-term performance by Buy-and-hold abnormal returns (BHAR). The empirical results of the study are as follows: 1. A significantly positive CAR emerges 10 days before issuing the convertible bonds until 5 days before issuing it and has a setback after the issuance of convertible bonds. 2. Before the financial crisis, CAR turns negative after issuing convertible bonds, suggesting that the event does not have an obviously positive short-term announcement effect. After the financial crisis, the decreasing of CAR just tends to get more smooth. 3. In the long term study, it appears that issuing convertible bond by publicly listed firms in Taiwan after financial crisis has more influence than before financial crisis.
