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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33983
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33983


    Title: 探討不同時間到期之可轉換公司債的價格交互影響效果
    Authors: 許芳銘
    Contributors: 廖四郎
    許芳銘
    Keywords: 可轉換公司債
    稀釋效果
    Date: 2003
    Issue Date: 2009-09-17 19:01:16 (UTC+8)
    Abstract: 目前有許多論文探討可轉換公司債的評價方式,但這些論文都是建立在公司只發行單一可轉債的假設下,而目前在櫃檯買賣中心掛牌交易的可轉債中,約有二十家公司同時有兩檔不同時間到期的可轉債發行在外。因為可轉債具備有選擇權的性質,其價值是不確定的,若未來可轉債是很有可能被轉換為股票,則對公司股東而言,無異於將股票以低於市場價格賣出,在此情況下,公司資產會有高估的情形,則將影響到可轉債的評價。所以同時有兩檔以上之可轉債發行的評價不能用一般的評價模型來進行評價。本文依據Lim and Terry (2003)的模型推導出在同時有兩檔可轉債發行下的債券價格,並探討兩者間的影響效果。
    結果可以清楚看到,在Lim and Terry(2003)的論文所得到的結論,也適用於可轉換公司債上。當公司同時發行兩檔以上之可轉換公司債,則此兩檔可轉換公司債的價格會互相影響,除了因稀釋效果造成股價降低所導致的影響外,任一的可轉換公司債被贖回也會影響另一可轉債的價值,故在評價可轉換公司債的時候,對此情況應加以考慮,投資人在選擇投資標的時,也應對此情況加以評估。雖然此結果是建立在較簡單而非較一般化的條款設定下,但在純粹分析稀釋效果以及可轉債價格交互影響效果下,此一簡化的評價方法所得到的結果應仍具參考價值。
    Reference: 1.賴曉薇, 2002, “可轉債選擇權評價與模擬,”國立中央大學財務金融 研究所碩士論文.
    2.陳松男, 2002,“金融工程學:金融商品創新選擇權理論,” 華泰文化事業公司出版.
    3.陳士暐, 1995, “可轉換公司債評價之研究,” 國立中央大學財務管理研究所碩士論文.
    4.Baumol, W.J., G. Malkiel, B. and E. Quandt, R., Feb 1966,“The Valuation of Convertible Securities,” Quarterly Journal of Economics, pp.48-59.
    5.Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol.81, No,3, pp.637-654.
    6.Brennan, M.J. and E. Schwartz, S., 1977, “Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion,” The Journal of Finance, Vol.32, No.5, pp.1699-1715.
    7.Brennan, M.J. and E. Schwartz, S., 1980, “Analyzing Convertible Bonds,” Journal of Financial and Quantitative Analysis, Vol.15, No.4, pp.907-929.
    8.Brigham, E.F., L. Gapenski, C. and M. Ehrhardt, C., 1999, “Financial Management, Ninth Edition, ” Published by Dryden Press.
    9.Emanuel, D.C., 1983, “Warrant Valuation and Exercise Strategy,” Journal of Financial Economics 12, pp.211-235.
    10.Galai, D. and M. Schenller, I., 1978, “Pricing of Warrants and the Value of the Firm,” The Journal of Finance, Vol.33. No.5, pp.1333-1342.
    11.Geske, R., 1979, “The Valuation of Compound Options,” Journal of Financial Economics 7, pp.63-81.
    12.Ingersoll, J.E., 1977a, “A Contingent Claims Valuation of Convertible Securities,” Journal of Financial Economics, Vol.4, pp.289-322.
    13.John, H.C., 2000,“Options, Futures, & Other Derivatives, Fourth Edition,” Published by Prentice-Hall, Inc.
    14.Lim, K.G. and E. Terry, 2003,“The Valuation of Multiple Stock Warrants,” The Journal of Futures Markets, Vol. 23, No.6, pp.517-534.
    15.King, R., 1986, ”Convertible Bond Valuation:An Empirical Test,” Journal of Financial Research, Vol.9, No.1, pp.53-69.
    16.McConnell, J.J. and E. Schwartz S., 1986,“LYON Taming,” Journal of Finance, Vol.41, No.3, pp.561-576.
    17.Poensgen, O.H., 1965,”The Valuation of Convertible Bonds,” Industrial Management Review, Vol.7, pp.77-92.
    18.Sundaresan, S.M., 2002, “Fixed Income Markets and Their Derivatives, 2e,” Published by South-Western, a division of Thomson Learning.
    19.Walter, J.E. and A. Que, V., 1973,”The Valuation of Convertible Bonds,” Journal of Finance, pp.713-732.
    20.Ziegler, A., 1999, “A Game Theory Analysis of Options:Contributions to the Theory of Financial Intermediation in Continuous Time,” Published by Springer-Verlag.
    Description: 國立政治大學
    金融研究所
    91352015
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091352015
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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