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    题名: 台灣上市櫃電子公司發行可轉換公司債與財報及股價之關連性研究
    其它题名: A study of relationships among convertible bonds, financial statements and stock prices for electronic companies listed in TSE and OTC
    臺灣上市櫃電子公司發行可轉換公司債與財報及股價之關連性研究
    作者: 何榮隆;Ho, Jung-lung
    贡献者: 淡江大學管理科學研究所企業經營碩士在職專班
    倪衍森;Ni, Yen-sen
    关键词: 白噪音;零負債稅盾稅;舉債假說;Convertible bonds;Financial statements;TSE and OTC;Independent and pair T- test;Corporation governance ratio;Event window
    日期: 2006
    上传时间: 2010-01-11 03:06:50 (UTC+8)
    摘要: 本研究主要探討2001年至2003年間,台灣上市櫃電子公司宣告發行可轉換公司債與財報及股價之關連性研究,以提供投資人購買可轉債之參考依據及銀行業對發行可轉債公司辦理授信案件時之參考資訊。本實證研究的方向如下:分析發行可轉換公司債前後公司財務比率、經營績效有無差異性;探討發行可轉債在宣告發行時,是否會有資訊外溢之情形及當發行目的不同時,對股價之影響是否也會有所不同;之後並探討公司發行可轉債之成因為何,亦為在何種財務狀況下,較容易發行可轉換公司債;而本研究之重要發現如下:
    一、上市櫃電子公司常藉發行可轉債,來改善公司的財務狀況和增加獲利機會。但在本研究的獨立及成對t檢定中,實證顯示發現公司藉發行可轉債,對改善公司財務狀況及公司的ROE、ROA,並沒有太大的幫助。
    二、以多元線性迴歸分析方法,從財管之五力分析比率、公司治理比率等角度切入研究,發現負債管理比率高與流動資產週轉率差的公司,傾向發行較高金額的可轉債。而董監事持股高的公司,亦傾向發行較高金額的可轉債。代表一個現象就是董監事(大股東)可能藉發行可轉債的機會,可能以賣老股換新股之套利方式來謀利;而法人持這類的股票相對地不多,亦表示法人亦可嗅出發生可轉債的公司之股票,可能並非良好的投資標的。
    三、羅吉斯模型(Logit)迴歸分析研究,其結果發現淨值報酬率小、負債管理比率高、流動資產週轉率低、負債比率高等因素,竟然發行可轉債之財報顯現出上述的訊息。亦為表示發行可轉債公司之財報大都不甚理想,其成因可能是發行可轉債之公司,可能有有巨大的資金需求或缺口,急需要挹注新的資金動能,否則公司可能會引爆財務危機。
    四、以事件研究法來探討發行目的的不同的公司,其訊息發佈是否對股價有激勵的作用,其結果僅發現以償還負債之有發行可轉債以目的對股價的影響才有激勵的作用,亦為有正的累積異常報酬,其他目的不僅無此激勵作用,反而股價資訊揭露後反而回跌。
    五、若是將事件窗口拉大為(-30至30)其整體而言,可轉債的發行對公司股價的影響,造成事件日前股價有拉升的現象,然而在發行後股價反而有回跌的現象,亦為可能再發行前拉升股價,以裨益可轉債的發行,然而發行後已無此誘因,所以股價隨之回跌。
    中文關鍵字:白噪音;零負債稅盾稅;舉債假說
    The study is to investigate the relationships among convertible bonds, financial statements and stock prices for electronic companies listed in TSE and OTC from 2001 to 2003. The purpose of the study is to provide with reference to investors in purchasing the convertible bonds and to financial institutions in processing credit cases of issuing convertible bonds. The ways of the empirical study are as follows: (1) analyzing if there is any difference in financial ratio and operating performance after issuing convertible bonds, (2) examining if there would be the effect of information spillover when declaring issuance, (3) studying if the impact toward stock prices would be varied when the issuing objective is different, (4) exploring the reason of issuing convertible bonds, and (5) in what financial circumstance it would be a good timing to issue convertible corporate bonds. The important findings of the study are as follows:
    1. The listed electronic companies always try to improve the company’s financial status and increase profitability by issuing convertible bonds. However, in the independent and pair T-test of the study, the result indicates that there is a very limited improvement in issuing company’s financial status, ROE and ROA.
    2. From the perspective of financial analysis ratios and corporation governance ratio through multiple regression analysis method, the company with higher debt management ratio and low current asset turnover ratio tends to issue higher amount of convertible bonds. Meanwhile, the director holding a higher portion of stock also tends to issue higher amount of convertible bonds. This means that the director (big stockholders) may use the chance of issuing convertible bonds to gain profit by arbitrage, whereas to exchange old stocks with new ones. Nevertheless, the corporation may sense the convertible bonds are not a good investment objective since the corporation does not relatively hold many of the stocks.
    3. By Logit regression method, the result presents that the financial statements of the issuing companies reflect small net asset value ratio, high debt management ratio, low current asset turnover ratio and high debt ratio. This represents that the financial status of the issuing companies are not in a good condition. The companies may be in short of cash and urgently need to infuse into capitals; otherwise, the company would burst out financial crisis.
    4. To examine issuing objectives of different companies by event study, it is to investigate if the information disclosure would stimulate stock prices. The result indicates when the issuing purpose is to pay back debt, the simulating effects have direct impacts on stock prices; in other words, there is a positive accumulated abnormal returns. However, the other objectives do not carry the stimulating effect and would cause the stock price to drop after the information disclosure.
    5. If the event window are extended (from –30 to 30), the issuance of convertible bonds would make the stock price to go up before the date of event in general. But the stock price may drop after issuing, which means stock price is up before issuing for the sake of issuing the convertible bonds. The stock price will drop afterwards since there is no more incentive after issuing.
    Keywords: Convertible Bonds; Financial Statements ; TSE and OTC; Independent and pair T- test; Corporation governance ratio; Event window
    显示于类别:[管理科學學系暨研究所] 學位論文

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