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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


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    題名: 投資者需求對可轉債證券設計及財富效果之影響
    無
    作者: 高政修
    Gao, Jheng-Siou
    貢獻者: 岳夢蘭
    Yueh, Meng-Lan
    高政修
    Gao, Jheng-Siou
    關鍵詞: 投資者需求
    可轉債
    異常報酬
    Investor demand
    Convertible bond
    Delta
    Abnormal return
    日期: 2019
    上傳時間: 2019-10-03 17:16:48 (UTC+8)
    摘要: 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.
    參考文獻: Baker, M. (2009). Capital market-driven corporate finance.
    Annu. Rev. Financ. Econ., 1(1), 181-205.

    Brown, S. J., Grundy, B. D., Lewis, C. M., & Verwijmeren,
    P. (2012). Convertibles and hedge funds as distributors
    of equity exposure. The Review of Financial Studies,
    25(10), 3077-3112.

    Burlacu, R. (2000). New evidence on the pecking order
    hypothesis: the case of French convertible bonds.
    Journal of Multinational Financial Management, 10(3-4),
    439-459.

    Choi, D., Getmansky, M., & Tookes, H. (2009). Convertible
    bond arbitrage, liquidity externalities, and stock
    prices. Journal of Financial Economics, 91(2), 227-251.

    De Jong, A., Dutordoir, M., & Verwijmeren, P. (2011). Why
    do convertible issuers simultaneously repurchase stock?
    An arbitrage-based explanation. Journal of Financial
    Economics, 100(1), 113-129.

    De Jong, A., Dutordoir, M., Van Genuchten, N., &
    Verwijmeren, P. (2012). Convertible arbitrage price
    pressure and short-sale constraints. Financial Analysts
    Journal, 68(5), 70-88.

    De Jong, A., Duca, E., & Dutordoir, M. (2013). Do
    convertible bond issuers cater to investor demand?.
    Financial Management, 42(1), 41-78.

    Dong, M., Dutordoir, M., & Veld, C. (2011). Why do firms
    issue convertible bonds? Evidence from the field.
    Evidence from the Field (May 2, 2011).

    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 & Finance, 36(11), 2884-2899.

    Dutordoir, M., Lewis, C., Seward, J., & Veld, C. (2014).
    What we do and do not know about convertible bond
    financing. Journal of Corporate Finance, 24, 3-20.

    Lewis, C. M., & Verwijmeren, P. (2011). Convertible
    security design and contract innovation. Journal of
    Corporate Finance, 17(4), 809-831.

    Lewis, C. M., Rogalski, R. J., & Seward, J. K. (1999). Is
    convertible debt a substitute for straight debt or for
    common equity?. Financial management, 5-27.

    Loncarski, I., Ter Horst, J., & Veld, C. (2009). The rise
    and demise of the convertible arbitrage strategy.
    Financial Analysts Journal, 65(5), 35-50.
    描述: 碩士
    國立政治大學
    財務管理學系
    1063570161
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1063570161
    資料類型: thesis
    DOI: 10.6814/NCCU201901192
    顯示於類別:[財務管理學系] 學位論文

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