博碩士論文 984208020 詳細資訊




以作者查詢圖書館館藏 以作者查詢臺灣博碩士 以作者查詢全國書目 勘誤回報 、線上人數:18 、訪客IP:34.239.179.228
姓名 吳宣萱(Hsuan-hsuan Wu)  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-以美國市場為例
(Convertible Bonds Issuance and Stock liquidity - Evidence from the United States Market)
相關論文
★ 以KMV 及Logistic 模型計算發行公司違約機率-台灣股市實證研究★ 財務比率與股價報酬關聯性之研究--以全球汽車產業為例
★ 以完全複製不定期調整方式建構指數股票型基金之績效研究★ 投資組合理論在財富管理上之應用
★ 以存活分析法預測通信貸款之還款期限★ 合併報表與母公司財務報表差異對投資人之影響
★ 公司治理與可轉債轉換策略★ 公司治理與股價動能
★ 銀行組織變更對經營績效影響-以H銀行為例★ 公司治理與租賃融資關係探討
★ 我國期貨信託基金發展探討★ 結算制度改變對到期日效應影響之研究
★ 灰關聯分析在財務風險評估上的應用-以台灣上市家電業為例★ 可轉換公司債的發行與股票流動性之關聯性─以日本市場為例
★ 可轉換公司債的發行與股票流動性之關聯性 —以臺灣為例★ 美國公債殖利率與景氣循環指標間關聯性之探討
檔案 [Endnote RIS 格式]    [Bibtex 格式]    [相關文章]   [文章引用]   [完整記錄]   [館藏目錄]   [檢視]  [下載]
  1. 本電子論文使用權限為同意立即開放。
  2. 已達開放權限電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
  3. 請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。

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 [01] Abhyankar, A. and Ho, K. Y., “Long-run abnormal performance following convertible preference share and convertible bond issues: New evidence from the United Kingdom.” International Review of Economics & Finance 15, 97-119, 2006.
[02] Acharya, V.V. and Pedersen, L.H., “Asset pricing with liquidity risk.” Journal of Financial Economics 77, 375-410, 2005.
[03] Aitken, M. and Comerton-Forde, C., “How should liquidity be measured?” Pacific-Basin Finance Journal 11, 45-59, 2003.
[04] Amihud, Y., “Illiquidity and stock returns: cross-section and time-series effects.” Journal of Financial Markets 5, 31-56, 2002.
[05] Asparouhova, E., Bessembinder, H. and Kalcheva, I., “Liquidity biases in asset pricing tests.” Journal of Financial Economics 96, 215-237, 2010.
[06] Baker, M. and Stein, J., “Market liquidity as a sentiment indicator.” Journal of Financial Markets 7, 271-299, 2004.
[07] Ball R, and Kothari S. P., “Nonstationary expected returns: Implications for tests of market efficiency and serial correlation in returns.” Journal of Financial Economics 25, 51-74, 1989.
[08] Bancel, F. and Mittoo, U. R., “Why do European firms issue convertible debt?” European Financial Management 10, 339-373, 2004.
[09] Bayless, M. and Chaplinsky, S., “Is there a window of opportunity for seasoned equity issuance?” Journal of Finance 51, 253-278, 1996.
[10] Billingsley, R. S. and Smith, D. M., “Why do firms issue convertible debt?” Financial Management 25, 93-99, 1996.
[11] Brennan, M. and Schwartz, E., “The case for convertibles.” Journal of Applied Corporate Finance 1, 55-64, 1988.
[12] Brigham, E., “An analysis of convertible debentures: theory and some empirical evidence.” Journal of Finance 21, 35-54, 1966.
[13] Brockman, P. and Chung, D. Y., “Investor protection and firm liquidity.” The Journal of Finance 58, 921-937, 2003.
[14] Bulter, A. W. and Wan, H., “Stock market liquidity and the long-run stock performance of debt issuers.” Review of Financial Studies 23, 3966-3995, 2010.
[15] Dann, L. and W. Mikkelsom, “Convertible debt issuance, capital structure change and financing-related information: Some new evidence.” Journal of Financial Economics 13, 157-186, 1984.
[16] Dichev, I. D. and Piotroski, J. D., “The performance of long-run stock returns following issues of public and private debt.” Journal of Business Finance & Accounting 26, 1103-1132, 1999.
[17] Dutordoir, M. and Linda Van de Gucht, “Are there windows of opportunity for convertible debt issuance? Evidence for Western Europe.” Journal of Banking & Finance 31, 2828-2846, 2007.
[18] Eckbo, B. E. and Norli, Ø., “Liquidity risk, leverage and long-run IPO returns.” Journal of Coperate Finance 11, 1-35, 2005.
[19] Eckbo, B. E., “Valuation effects of corporate debt offerings.” Journal of Financial Economics 15, 119-151, 1986.
[20] Eleswarapu, V. and Reinganum, M., “The seasonal behavior of the liquidity risk premium in asset pricing.” Journal of Financial Economics 34, 373-386, 1993.
[21] Fang, V. W., Noe, T. H. and Tice, S., “Stock market liquidity and firm value.” Journal of Financial Economics 94, 150-169, 2009.
[22] Gallmeyer, M., Hollifield, B. and Seppi, D., “Liquidity discovery and asset pricing.” Unpublished working paper, Carnegie Mellon University, 2004.
[23] Green, R., “Investment incentives, debt and warrants.” Journal of Financial Economics 13, 115-136, 1984.
[24] Hasbrouck, J., “Trading costs and returns for US equities: estimating effective costs from daily data.” Journal of Finance 64, 1445-1477, 2009.
[25] Hoffmeister, J. R., “Use of convertible debt in the early 1970s: A reevaluation of corporate motives.” Quarterly Reviews of Economics Business 17, 23-32, 1977.
[26] Holmstro‥m, B. and Tirole, J., “LAPM: A liquidity-based asset pricing model.” Journal of Finance 56,1837-1867, 2001.
[27] Kang, J. K. and Lee, Y. W., “The pricing of convertible debt offerings.” Journal of Financial Economics 41, 231-248, 1996.
[28] Lee, I. and Loughran, T., “Performance following convertible debt issuance.” Journal of Corporate Finance 4, 185-207, 1998.
[29] Lewis, C. M., Rogalski, R. J. and Seward, J. K., “Agency problems, information asymmetries, and convertible debt security design.” Journal of Financial Intermediation 7, 32-59, 1998.
[30] Lewis, C. M., Rogalski, R. J. and Seward, J. K., “Industry conditions, growth opportunities and market reactions to convertible debt financing decisions.” Journal of Banking and Finance 27, 153-181, 2003.
[31] Lewis, C. M., Rogalski, R. J. and Seward, J. K., “The long-run performance of firms that issue convertible debt: an empirical analysis of operating characteristics and analyst forecasts.” Journal of Corporate Finance 7, 447-474, 2001.
[32] Lin, J. C., and Wu, Y. L., “SEO timing, the cost of equity capital, and liquidity risk.” Available at SSRN: http://ssrn.com/abstract=1540322, 2010.
[33] Lin, J.C., Singh, A. K and Yu. W, “Stock splits, trading continuity, and the cost of equity capital.” Journal of Financial economics 93, 474-489, 2009.
[34] Liu W. M., “A liquidity-augmented capital asset pricing model.” Journal of Financial Economics 82, 631-671, 2006.
[35] Liu, J. L., Switzer and Lorne N., “Liquidity risk, firm risk, and issue risk premium effects on the abnormal returns to new issues of convertible bonds.” Available at SSRN: http://ssrn.com/abstract=1343597, 2009.
[36] Loughran, T. and Ritter, J. R., “The new issues puzzle.” Journal of Finance 50, 23-51, 1995.
[37] Mayers, D., “Why firms issue convertible bonds: The matching of financial and real investment options.” Journal of Financial Economics 47, 83-102, 1998.
[38] McLaughlin, R., Safieddine, A. and Vasudevan, G. K., “The long-run performance of convertible debt issuers.” Journal of Financail Research 21, 363-388,1998.
[39] Mikkelson, W. H. and Partch, M. M., “Valuation effects of security offerings and the issuance process.” Journal of Financial Economics 15, 31-60, 1986.
[40] Miller, M. H. and Rock, K., “Dividend policy under asymmetric information.” The Journal of Finance 40, 1031-1051, 1985.
[41] Myers, S. C. and Majluf, N. S., “Corporate financing and investment decisions when firms have information that investors do not have.” Journal of Financial Economics 13, 187-221, 1984.
[42] Odders-White, E. O, and Ready, M. J., “Credit ratings and stock liquidity.” The Reviews of Financial Studies 19, 119-157, 2006.
[43] Pástor, L. and Stambaugh, R., “Liquidity risk and expected stock returns.” Journal of Political Economy 111, 642-685, 2003.
[44] Pilcher, James C., “Raising capital with convertible securities.” Ann Arbor: Bureau of Business Research, School of Business Administration. University of Michigan, 1955.
[45] Saunders, A., and Steffen, S., “The costs of being private: evidence from the loan market.” Available at SSRN: http://ssrn.com/abstract=1335007, 2009.
[46] Spiess, D. K. and Affleck-Graves, J., “The long-run performance of stock returns following debt offerings.” Journal of Financial Economics 54, 45-73, 1999.
[47] Stein, J., “Convertible bonds as backdoor equity financing.” Journal of Financial Economics 32, 3-21, 1992.
[48] Sunder, J., “Information spillover and capital structure.” Working Paper, Northwestern University. 2006.
指導教授 黃鴻明(Hong-ming Huang) 審核日期 2011-6-27
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明