政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/4163
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    Title: 現金增資與可轉換公司債的宣告效果之再探討:以台灣股市為例
    Other Titles: A Reexamination on the Valuation Effects of Seasoned Equity Offerings and Convertible Offerings---The Case of Taiwan
    Authors: 徐燕山
    Keywords: 現金增資;可轉換公司債;宣告效果;台灣股票市場
    Seasoned equity;Convertible bond;Announcement effect;Taiwan stock market
    Date: 2000
    Issue Date: 2007-04-18 16:42:01 (UTC+8)
    Publisher: 臺北市:國立政治大學財務管理學系
    Abstract: 在美國,有關現金增資與可轉換公司債之研究,均發現金增資與可轉換公司債的宣告造成股票價格顯著地下挫,這些實證結果與各種理論模式的預期相符合;然而,在台灣,各實證研究的結果則無一致性,本研究的主要目的就是再度探討現金增資與可轉換公司債的宣告效果。不同於先前國內、外的相關研究之處,乃本研究的樣本公司必須在研究期間內,曾經辦理現金增資與可轉換公司債的發行。此種樣本公司挑選方式,可避免研究期間不同或樣本公司屬性不同所造成的影響。依照先前理論模式的推論,本研究的現金增資宣告效果(股價下挫幅度)應大於可轉換公司債的宣告效果。本研究的另一個目的是探討可轉換公司債的條款(例如:到期年限及轉換價格)是否會影響到其宣告效果的幅度;可轉換公司債的條款設計,會造成可轉換公司債屬性的差異,有些可轉換公司債的屬性會偏向股票,有些則會偏向一般公司債的屬性。實證結果顯示,現金增資與可轉換公司債的宣告效果均為負向,但只有可轉換公司債的宣告效果達5%的顯著水準。而兩者宣告效果的差異則未達顯著水準。在可轉換公司債屬性與宣告日效果之關係上,屬性越偏向股票的可轉換公司債的負向宣告效果卻較小,此種結果與理論預期相違,有待進一步研究。
    In U.S., finance academics study the security-issue decision to understand why firms choose to issue a particular security and how investors react to that choice. Researches on U.S. markets have documented negative and statistically significant price reactions to both seasoned equity offer and convertible debt offer announcements. And the magnitude of price reactions associated with seasoned equity offer announcements is greater than that of convertible debt offer announcements. However, the direction and magnitude of price reactions to both seasoned equity offer and convertible debt offer announcements in Taiwan stock markets are mixed. The purpose of this research is twofold. The first is to reexamination the information content of seasoned equity offer and convertible debt offer announcements in Taiwan stock markets. Only those firms having both seasoned equity and convertible debt offers during the study period are included in the study sample. This sampling design is to eliminate both issues of study period and sample characteristics. The second objective is to examine if the magnitude of price reactions to convertible debt offers is related to the probability of conversion at issue. If the probability of conversion is higher, the magnitude of price reactions should be greater in theory. The empirical results show that price reactions to both seasoned equity offer and convertible debt offer announcements are negative. But only the convertible one is significantly different from zero. On the relation between the magnitude of price reactions and the probability of conversion, the empirical results show that the higher the probability of conversion, the magnitude of price reactions is smaller. This contradicts to the prediction of the option theory.
    Description: 核定金額:226800元
    Data Type: report
    Appears in Collections:[Department of Finance ] NSC Projects

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