English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 79209/108319 (73%)
造訪人次 : 20451090      線上人數 : 584
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/117018
    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/117018


    題名: 金融監管是否影響金融機構發行可轉債之宣告效果
    Does financial regulation influence convertible bond announcement effects of financial firms?
    作者: 何宛庭
    Ho, Wan Ting
    貢獻者: 湛可南
    Chan, Konan
    何宛庭
    Ho, Wan Ting
    關鍵詞: 金融監管
    可轉債宣告效果
    金融業
    Financial regulations
    Convertible bond announcement effects
    Financial firms
    日期: 2018
    上傳時間: 2018-05-02 15:46:46 (UTC+8)
    摘要: 本文研究美國金融業發行可轉債之宣告效果,實證結果發現金融業與非金融業發行可轉債之宣告效果皆為負向,而金融業之宣告效果優於非金融業1.41%,本文推論金融監管可以緩和資訊不對稱,進而降低金融業藉由資訊不對稱而獲利的可能性。金融業的籌資決策受限於最低資本適足率與充分揭露等規範,因此,金融業發行證券時較無彈性去選擇發行時機,本文發現在適當的金融監管下,金融業發行可轉債有較良好的宣告效果。
    Using a sample of US convertible bonds, we confirm that both financial and non-financial firms experience negative announcement returns of convertible bond issuance, and find that financial firms exhibit a 1.41% return higher than non-financial firms. We posit that financial regulations mitigate information asymmetry, thus decreasing the likelihood for financial firms to profit from information asymmetry. Financial firms’ capital structure decisions are constrained by regulations. They are thus not flexible to set the optimal quantity of capital and to time the market. As a result, financial firms tend to have less negative convertible bond announcement returns under strict financial regulations.
    參考文獻: Abhyankar, A., Dunning, A., 1999. Wealth effects of convertible bond and convertible preference share issues: An empirical analysis of the U.K. market. Journal of Banking and Finance 23, 1043-1065.
    Abiad, A., Detragiache, E., Tressel, T., 2008. A new database of financial reforms. IMF Staff Papers 08/266.
    Ammann, M., Kind, A., Wilde, C., 2003. Are convertible bonds underpriced? An analysis of the French market. Journal of Banking and Finance 27, 635-653.
    Ammann, M., Fehr, M., Seiz, R., 2006. New evidence on the announcement effect of convertible and exchangeable bonds. Journal of Multinational Financial Management 16, 43-63.
    Ammann, M., Kind, A., Seiz, R., 2010. What drives the performance of convertible-bond funds? Journal of Banking and Finance 34, 2600-2613.
    Arshanapalli, B., Fabozzi, F.J., Switzer, L.N., Gosselin, G., 2005. New evidence on the market impact of convertible bond issues in the U.S. Finance Letters 3, 1-6.
    Bancel, F., Mittoo, U.R., Zhang, Z., 2009. The geography of european convertible bonds: Why firms issue convertibles? Working Paper, ESCP European Business School Berlin, University of Manitoba, and University of Regina.
    Bayless, M., Chaplinsky, S., 1996. Is there a window of opportunity for seasoned equity issuance? Journal of Finance 51, 253-278.
    Beck, T., Demirgüç-Kunt, A., Levine, R., 2003. Bank supervision and corporate finance. NBER Working Paper 9620.
    Berger, A.N., Herring, R.J., Szegö, G.P., 1995. The role of capital in financial institutions. Journal of Banking and Finance 19, 393-430.
    Berger, A.N., Bonaccorsi di Patti, E., 2006. Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry. Journal of Banking and Finance 30, 1065-1102.
    Brennan, M.J., Kraus, A., 1987. Efficient financing under asymmetric information. Journal of Finance 42, 1225-1243.
    Brown, S.J., Warner, J.B., 1985. Using daily stock returns: The case of event studies. Journal of Financial Economics 14, 3-31.
    Burlacu, R., 2000. New evidence on the pecking order hypothesis: The case of French convertible bonds. Journal of Multinational Financial Management 10, 439-459.
    Carbó-Valverde, S., Cuadros-Solas, P.J., Rodríguez-Fernández, F., 2017. Do banks and industrial companies have equal access to reputable underwriters in debt markets? Journal of Corporate Finance 45, 176-202.
    Calomiris, C.W., 1999. Building an incentive-compatible safety net. Journal of Banking and Finance 23, 1499-1519.
    Carvajal, A., Elliott, J., 2007. Strengths and weaknesses in securities market regulation: A global analysis. IMF Working Paper 07/259.
    Chae, J., 2005. Trading volume, information asymmetry, and timing information. Journal of Finance 60, 413-442.
    Choe, H., Masulis, R., Nanda, V., 1993. Common stock offerings across the business cycle: Theory and evidence. Journal of Empirical Finance 1, 3-31.
    Čihák, M., Tieman, A., 2008. Quality of financial sector regulation and supervision around the world. IMF Working Paper 08/190.
    Dann, L.Y., Mikkelson, W.H., 1984. Convertible debt issuance, capital structure change and financing-related information: Some new evidence. Journal of Financial Economics 13, 157-186.
    Demirguc-Kunt, A., Maksimovic, V., 1999. Institutions, financial markets, and firm debt maturity. Journal of Financial Economics 54, 295-336.
    De Jong, A., Veld, C., 2001. An empirical analysis of incremental capital structure decisions under managerial entrenchment. Journal of Banking and Finance 25, 1857-1895.
    De Jong, A., Dutordoir, M., Verwijmeren, P., 2011. Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation. Journal of Financial Economics 100, 113-129.
    Dong, M., Dutordoir, M., Veld, C., 2012. Why do firms issue convertible bonds? Evidence from the field. Working Paper, York University, Manchester Business School, and University of Glasgow.
    Duca, E., Dutordoir, M., Veld, C., Verwijmeren, P., 2012. Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation. Journal of Banking and Finance 36, 2884-2899.
    Dutordoir, M., Van de Gucht, L., 2007. Are there windows of opportunity for convertible debt issuance? Evidence for Western Europe. Journal of Banking and Finance 31, 1-19.
    Dutordoir, M., Strong, N., Ziegan, M., 2014. Does corporate governance influence convertible bond issuance? Journal of Corporate Finance 24, 80-100.
    Dutordoir, M., Li, H., Liu, F.H., Verwijmeren, P., 2016. Convertible bond announcement effects: Why is Japan different. Journal of Corporate Finance 37, 76-92.
    Eckbo, B.E., Masulis, R.W., Norli, O., 2007. Security offerings. In: Eckbo, B. (Ed.), Handbook of Corporate Finance: Empirical Corporate Finance, vol. 1. North Holland, Amsterdam.
    Flannery, M.J., Kwan, S.H., Nimalendran, M., 2004. Market evidence on the opaqueness of banking firms’ assets. Journal of Financial Economics 71, 419-460.
    Flannery, M.J., Kwan, S.H., Nimalendran, M., 2013. The 2007-2009 financial crisis and bank opaqueness. Journal of Financial Intermediation 22, 55-84.
    Gatev, E., Strahan, P.E., 2006. Banks’ advantage in hedging liquidity risk: Theory and evidence from the commercial paper market. Journal of Finance 61, 867-892.
    Green, R.C., 1984. Investment incentives, debt, and warrants. Journal of Financial Economics 13, 115-136.
    Gropp, R., Heider, F., 2010. The determinants of bank capital structure. Review of Finance 14, 587-622.
    Hoffmann, A.O.I., Post, T., Pennings, J.M.E., 2013. Individual investor perceptions and behavior during the financial crisis. Journal of Banking and Finance 37, 60-74.
    Horvitz, P.M., Lee, I., Robertson, K.L., 1991. Valuation effects of new securities issuance by bank holding companies: New evidence. Financial Review 26, 91-104.
    Janjigian, V., 1987. The leverage changing consequences of convertible debt financing. Financial Management 16, 15-21.
    Johnson, S., Boone, P., Breach, A., Friedman, E., 2000. Corporate governance in the Asian financial crisis. Journal of Financial Economics 58, 141-186.
    Kaufmann, D., Kraay, A., Mastruzzi, M., 2010. The worldwide governance indicators: Methodology and analytical issues. Policy Research Working Paper 5430. World Bank.
    King, R., 1986. Convertible bond valuation: An empirical test. The Journal of Financial Research 9, 53-69.
    Korkeamaki, T.P., 2005. Effects of law on corporate financing practices—international evidence from convertible bond issues. Journal of Corporate Finance 11, 809-831.
    Krasker, W.S., 1986. Stock price movements in response to stock issues under asymmetric information. Journal of Finance 41, 93-105.
    Krishnaswami, S., Spindt, P.A., Subramaniam, V., 1999. Information asymmetry, monitoring, and the placement structure of corporate debt. Journal of Financial Economics 51, 407-434.
    Lee, C., Lee, K., Yeo, G., 2009. Investor protection and convertible debt design. Journal of Banking and Finance 33, 985-995.
    Lewis, C.M., Rogalski, R.J., Seward, J.K., 1999. Is convertible debt a substitute for straight debt or for common equity? Financial Management 28, 5-27.
    Lewis, C.M., Rogalski, R.J., Seward, J.K., 2001 The long-run performance of firms that issue convertible debt: An empirical analysis of operating characteristics and analysts forecasts. Journal of Corporate Finance 7, 447-474.
    Lewis, C.M., Rogalski, R.J., Seward, J.K., 2003. Industry conditions, growth opportunities and market reactions to convertible debt financing decisions. Journal of Banking and Finance 27, 153-181.
    Li, H., Liu, H., Siganos, A., 2016. A comparison of the stock market reactions of convertible bond offerings between financial and non-financial institutions: Do they differ? International Review of Financial Analysis 45, 356-366.
    Livingston, M., Naranjo, A., Zhou, L., 2007. Asset opaqueness and split bond ratings. Financial Management 36, 49-62.
    Livingston, M., Zhou, L., 2010. Split bond ratings and information opacity premiums. Financial Management 39, 515-532.
    Magennis, D., Watts, E., Wright, S., 1998. Convertible notes: The debt versus equity classification problem. Journal of Multinational Financial Management 8, 303-315.
    Marle, M.V., Verwijmeren, P., 2017. The long and the short of convertible arbitrage: An empirical examination of arbitrageurs’ holding periods. Journal of Empirical Finance 44, 237-249.
    Mayers, D., 1998. Why firms issue convertible bonds: The matching of financial and real investment options. Journal of Financial Economics 47, 83-102.
    Myers, S.C., Majluf, N.S., 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13, 187-222.
    Michayluk, D., Neuhauser, K.L., 2006. Investor overreaction during market declines: Evidence from the 1997 Asian financial crisis. The Journal of Financial Research 29, 217-234.
    Morgan, D., 2002. Rating banks: Risk and uncertainty in an opaque industry. The American Economic Review 92, 874-888.
    Naranjo, P., Saavedra, D., Verdi, R., 2017. Financial reporting regulation and financing decisions. Working Paper, Massachusetts Institute of Technology.
    Petmezas, D., Santamaria, D., 2014. Investor induced contagion during the banking and European sovereign debt crisis of 2007-2012: Wealth effect or portfolio rebalancing? Journal of International Money and Finance 49, 401-424.
    Poloncheck, J., Slovin, M.B., Sushka, M.E., 1989. Valuation effect of commercial bank securities offerings. Journal of Banking and Finance 13, 443-461.
    Ross, S.A., 1977. The determination of financial structure: The incentive signalling approach. Bell Journal of Economics 8, 23-40.
    Smith, C.W., 1986. Investment banking and the capital acquisition process. Journal of Financial Economics 15, 3-29.
    Smith, C., Watts, R., 1992. The investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Financial Economics 32, 263-292.
    Stein, J.C., 1992. Convertible bonds as backdoor equity financing. Journal of Financial Economics 32, 3-21.
    Tanda, A., 2015. The effects of bank regulation on the relationship between capital and risk. Comparative Economic Studies 57, 31-54.
    White, H., 1980. A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48, 817-838.
    Yaman, D., 2016. Industry effects and convertible bond sequence. Global Journal of Business Research 10, 9-20.
    Zabolotnyuk, Y., Jones, R., Veld, C., 2010. An empirical comparison of convertible bond valuation models. Financial Management 39, 675-706.
    描述: 碩士
    國立政治大學
    財務管理研究所
    105357011
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0105357011
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    701101.pdf1364KbAdobe PDF0檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋