可轉換公司債的發行與股票流動性之關聯性
—以臺灣為例

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姓名

張茹雅(Ju-Ya Chang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

可轉換公司債的發行與股票流動性之關聯性 —以臺灣為例
(Convertible Bond Issuance and Stock Liquidity—Evidence from the Taiwan Market )

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摘要(中)

本文研究1988年至2007年臺灣市場發行國內可轉換公司債與股票流動性及流動性風險間的關聯性。本文使用Liu(2006)提出由零交易日天數與週轉率組成的流動性指標( )衡量股票流動性，發現發行可轉換公司債前股票流動性上升，表示公司會選擇在資訊不對稱程度較低，意即股票流動性高時發行可轉換公司債，此結果與資訊不對稱假說一致。並且發行可轉換公司債後三年內皆能維持較佳的股票流動性，表示可轉換公司債的發行能使股票流動性獲得長期的改善。本文亦使用Liu(2006)提出的流動性資本資產定價模型(LCAPM)衡量臺灣股票市場的超額報酬，發現控制市場風險與流動性風險後已不存在顯著的異常報酬，表示市場風險與流動性風險足以解釋臺灣股票市場的報酬率。

摘要(英)

This paper explores the relationship between convertible issue and stock liquidity risk, on the Taiwan market from 1988 to 2007. We evaluate stock liquidity with the liquidity measure( ) in Liu(2006), which is consisted of zero trading days and turnover. The result shows that stock liquidity will increase before convertible issue, that means company will issue convertible bonds when the information asymmetric is lower, which supports information asymmetric hypothesis. Further, company will keep better post-issue stock liquidity in three years, which means stock liquidity have long term improvement because of convertible issue. Otherwise, we use liquidity-augmented capital asset pricing model(LCAPM) in Liu(2006) to fit excess return on the Taiwan market. The result shows that it does not exist abnormal return after controlling liquidity risk and market risk, which demonstrates market risk and liquidity are sufficient to explain stock return on the Taiwan market.

關鍵字(中)

★ 可轉換公司債
★ 流動性風險
★ 股票流動性

關鍵字(英)

★ stock liquidity
★ convertible bonds
★ liquidity ris

論文目次

摘要 I
Abstract II
致謝 III
目錄 IV
圖目錄 V
表目錄 VI
第一章緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
1.3 研究架構 2
第二章文獻回顧 3
2.1 發行可轉換公司債的動機 3
2.2 發行可轉換公司債後股價的長短期績效 3
2.3 衡量流動性與流動性溢酬的相關文獻 4
2.4 臺灣可轉換公司債與股票流動性及流動性溢酬的相關文獻 5
第三章研究方法 7
3.1 研究假說 7
3.2 樣本選取 8
3.3 流動性變數 8
3.4 研究模型 10
第四章實證結果 14
4.1 市場β、流動性β與超額報酬的橫斷面實證結果 14
4.2 時間序列的實證結果 16
4.3 流動性因子的探討 17
4.4 網路泡沫化前後的實證結果 18
第五章結論 21
參考文獻 23

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指導教授

黃鴻明(Hong-Ming Huang)

審核日期

2011-6-27

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