可轉換公司債的發行與股票流動性之關聯性-以美國市場為例

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吳宣萱(Hsuan-hsuan Wu) 查詢紙本館藏

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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-以美國市場為例
(Convertible Bonds Issuance and Stock liquidity - Evidence from the United States Market)

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摘要(中)

本文以1980年至2007年美國發行的可轉債為樣本，發現投機級可轉債登記前，公司股票的流動性將逐漸上升；而在發行後將維持高流動性，約於十八個月後逐漸下降。但投資級可轉債不論事件前後，個股流動性變化幅度較小。公司偏好在流動性高的時候發行可轉債，因為此時資訊不對稱程度低，且債券人監督成本低。過去文獻認為，公司發行可轉債後，將有顯著的負向異常報酬。本研究發現，若以Liu(2006)的流動性資產定價模型(LCAPM)檢驗可轉債公司的股價月報酬，無論可轉債投資等級，登記前仍存在正向異常報酬，但發行後股價都不再有顯著的負向異常報酬。可轉債登記前一或兩個月，市場風險及流動性風險將落於可轉債登記前六個月內最低點，使得此時的權益資金成本偏低。可轉債事件後，個股流動性較登記前高，使得流動性風險降低。除此之外，可轉債事件後，市場風險及流動性風險同時下降，意謂個股面臨的系統性風險降低，投資人要求報酬率下降，且投機級可轉債風險降低程度較投資級可轉債更為明顯。

摘要(英)

We use the US convertible bond issued in 1980 to 2007 as our sample selection. If the convertible bonds belong to speculative grade, the stock liquidity increases gradually during the pre-filing period. After issuing convertible bond, the stock has high liquidity for eighteen months and decreases little by little. However, if the convertible bonds belong to investment grade, the change of liquidity is relatively small during the pre-filing and post-issuing period. Firms prefer to issue convertible bonds when stocks have high liquidity, because of low information asymmetry and low monitoring costs of debt holders. Previous literatures mention, there are abnormal negative returns after the convertible bond events. We use Liu’s (2006) LCAPM to examine the convertible bond issuer’s monthly stock returns. No matter what the convertible bond grade is, convertible bond firms still show an increase in abnormal returns prior to convertible bond filing, but the monthly abnormal returns after issuing the convertible bonds are insignificantly different from zero. In pre-filing six months, the market risk and liquidity risk decline to the lowest in month -1 or -2, which makes the cost of equity becomes lower. Because the liquidity of the stocks during post-issuing is higher than pre-filing period, the liquidity risks decline. Besides, both market risk and liquidity risk decrease during the post-issuing months, which means the individual stocks facing lower systematically risk, and investors will require lower risk premium. Furthermore, the decreasing risk of the speculative convertible bond is much more than investment convertible bond.

關鍵字(中)

★ 可轉換公司債
★ 股票流動性
★ 流動性風險

關鍵字(英)

★ Convertible bonds
★ Stock liquidity
★ Liquidity risk

論文目次

摘要 I
Abstract II
誌謝 III
目錄 IV
圖目錄 V
表目錄 VI
第一章緒論 1
1-1 研究背景 1
1-2 研究動機 2
1-3 研究架構 3
第二章文獻回顧 4
2-1 可轉債發行動機 4
2-2 發行可轉債後公司長短期股價表現 5
2-3 發行可轉債後影響股價的可能原因 6
2-4 可轉債與債券等級 6
2-5與流動性相關的文獻 7
第三章研究方法 9
3-1 Liu(2006)的流動性衡量 9
3-2 研究假說 10
3-2 樣本來源 11
3-3 模型設定 12
第四章實證結果 14
4-1 流動性變化 14
4-2 異常報酬 15
4-3 市場風險與流動性風險 16
第五章結論 19
參考文獻 21

參考文獻

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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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