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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/51590

    Title: 臺灣可轉換公司債對股價長短期績效之實證
    Other Titles: The empirical research of short- and long-term stock returns on convertible bonds in Taiwan
    Authors: 黃瑋菁;Huang, Wei-ching
    Contributors: 淡江大學財務金融學系碩士班
    林允永;Lin, Yun-yung
    Keywords: 可轉換公司債;發行;選擇權;內部人;事件研究;異常報酬;Convertible bond;Issue;Options;Insider;Event Study;Abnormal Returns
    Date: 2010
    Issue Date: 2010-09-23 15:26:28 (UTC+8)
    Abstract: 目前可轉換公司債對股價績效影響的國內外文獻已有不少,但是實證結果不一,所以本文以台灣可轉債公開說明書之基本發行條件、相關法令與市場實務現況為出發點,嘗試選出適當變數來建立一個最接近台灣可轉債市場的模型,來探討與可轉債相關之事件(例如:可轉債發行、強迫贖回、重設價格等),對該發行公司股價是否存在長短期的影響?且若存在所謂的異常報酬,何種事件造成的影響效果較大?影響會長達多久?再者,以國內可轉債之多項特徵變數(發行條件和發行公司特性)做橫斷面迴歸分析的實證,找出可以解釋影響發行公司長短期股價績效之因素;最後,針對以往文獻未曾討論過之「台灣可轉債四種到期方式之影響」、及「大股東對可轉債事件之影響」作進一步的實證分析,本研究將以上述各項實證結果來嘗試說明台灣可轉債的市場現象。
    There are many theses and research studied stock returns on convertible bonds currently from local and foreign countries. And the empirical results are so different. Therefore, this study focuses on only three points. Firstly, the thesis of this paper discuss the issue terms of Prospectus, the laws, and the current market experience and try to find out the most suitable model of the convertible bonds market in Taiwan, and then, to approach the short- and long-term stock abnormal returns. There is a further discussion on which has the largest abnormal return among issuance, forcing conversion or price reset. And how long does it last for? Secondly, the thesis uses the issue terms of Prospectus and issuer characteristics as explanatory variables to consider the cross-data regression method and figure out the factors influencing the abnormal returns. Thirdly, the thesis implements a further empirical research to discuss four different expiration styles of convertible bonds and impacts of issuer insiders. These parts are never been studied before. Finally, this thesis sums up the convertible bonds market in Taiwan with the three points noted above.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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