| 摘要: | 本研究藉由參閱過往學者研究結果，進一步就國內市場2010年~2017年發行可轉債之上市櫃公司為研究對象，將可轉債發行宣告日(即董事會日)作為事件日，透過事件研究法，分別研究短期:事件前後各三天以及長期:事件日後三年之平均股價異常報酬及累積平均異常報酬情形作為研究國內發行可轉債宣告效果的再探討。此外希望透過可轉債特徵、發行公司特性，以及內部人持股異動情形，進一步分類，並就分類結果分析各組別針對可轉債發行宣示效果結果是否具顯著不同，希望從中尋找出可靠的訊號，可做為市場投資人面對可轉債發行時，選擇的判斷因素。
經研究顯示，可轉債發行宣示效果於短期中，事件日前幾日到發行日當天，會具有顯著的正向累積平均報酬，與多數國外研究結論有所不同；而長期來看，可轉債發行效果則具有顯著負向相關的累積平均異常報酬效果，則與多數國內外研究結果相同。
此外重點之一，作為資訊量占絕對優勢的內部人持股異動變化，與股價異常報酬於短期及長期平均異常報酬及累積平均異常報酬方面，均呈現反向關聯，且不少具統計上顯著特性，與一般投資人的直覺相悖。經推測原因應為公司內部人為了製造短期股價上漲，可轉債轉換價值具想像空間，一旦投資人買入後反而股價回落；此外，根據發行可轉債資金運用用途不同，與股價異常報酬也有很不一樣的關聯，其中資本支出與償還銀行借款分別代表著公司未來成長性的預期及改善公司財務危機的目的，在長期事件期間半年間有顯著正向累積平均異常報酬，但持有三年累積報酬反轉而下。最後較具一致性結論的變數是，發行公司具較低基期的財務指標，例如Tobin’s Q、較低的發行規模或公司總資產等，於長期持有累積平均異常報酬，具有較好的異常報酬。;By referring to the research results of previous scholars, this study focuses on the listed companies that issued convertible bonds(CBs) in the domestic market from 2010 to 2017. Using event study methodology, the announcement date of the issuance of CBs (ie the day of the board of directors) is regarded as an event day. We study the short-term- three days before and after the event day, and the long-term: the average abnormal returns(AAR) and the cumulative average abnormal returns around three years after the event day. Apart from renewing the announcement effect of domestic issuance of CBs, More importantly, we want to find out the reliable signals by checking the characteristic of CBs, the financial ratios of issue companies, and the changes in shareholding of stakeholders. It hopes to find out some reliable signal that could help investors to choose which CBs worthy to buy or not. By classification will be carried out, and the classification results will be analyzed whether the results of the announcement of the issuance of convertible bonds are significantly different for each group. The signal can be used as a judgment factor for market investors to choose when facing the issue of convertible bonds.
This study has shown that the announcement effect of CBs issue to whole sample companies in the short run, It has a significant positive cumulative average abnormal return, which is different from the conclusions of most foreign studies. But in the long run, the effect of CB’s announcement effect has a significant negative correlation with the cumulative average abnormal return effect, which is the same as most domestic and foreign research results.
The study discovers a significantly negative abnormal return in stock price reaction to the changes of insider’s shareholding in the short-term and long-term.
As oppose to we believe, when stakeholder increase his shares of stock before event day, it might decrease the abnormal return in stock. It is speculated that the reason to create a short-term rise in the stock price might make the value of CB’s conversion right increase. And once investors buy it, the stock price will fall. There is a very different relationship, in which capital expenditure and bank loan repayment represent the company′s future growth expectations and the purpose of improving the company′s financial crisis, respectively. During the long-term event period, there is a significant positive cumulative average abnormal return from half a year to one year. But when keep holding more then the three-years, the cumulative return reversed. Finally, a variable with a more consistent conclusion is that the issuer has a lower base period of financial indicators, such as Tobin′Q, a lower issue size or the company′s total assets, etc., and the accumulated average abnormal return in the long-term has a better return. |
