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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/126575
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/126575

    Title: 投資者需求對可轉債證券設計及財富效果之影響
    Authors: 高政修
    Gao, Jheng-Siou
    Contributors: 岳夢蘭
    Yueh, Meng-Lan
    Gao, Jheng-Siou
    Keywords: 投資者需求
    Investor demand
    Convertible bond
    Abnormal return
    Date: 2019
    Issue Date: 2019-10-03 17:16:48 (UTC+8)
    Abstract: 本研究以選擇權需求、融券餘額變化及共同基金流量作為可轉換公司債之投資者需求,研究其對可轉債證券設計及股東財富效果之影響。關於證券設計,實證結果顯示選擇權需求、融券餘額變化較高時,可轉債之權益比重(delta)較高,而共同基金流量較高時,可轉債之權益比重較低,此外,本研究亦發現融券餘額變化對delta之影響,在海嘯前後顯著程度差異大。而關於股東財富效果,本研究之實證結果發現融券餘額變化較高時,可轉債發行發行公司之累計異常報酬率較低,且在高低delta兩組樣本之迴歸中皆顯著。
    The study uses option demand, short interest change and mutual fund flows as proxies to examine the influence of investor demand on convertible bond security design and shareholder wealth effects. With regard to security design, the empirical results show that equity proportion of convertible bond (delta) is larger when option demand and short interest change are higher. Besides, the higher the mutual fund flows is, the smaller the delta is. Furthermore, influence of short interest change on delta is more significant after financial crisis. As for the shareholder wealth effect, the empirical results indicate that the cumulative abnormal return of convertible bond issuing firm is more negative when short interest change is higher. The coefficients of short interest change are also significant in both high and low delta samples.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1063570161
    Data Type: thesis
    DOI: 10.6814/NCCU201901192
    Appears in Collections:[財務管理學系] 學位論文

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