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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/48955
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48955


    Title: 可轉換公司債宣告與發行對公司股票流動性影響之研究
    The effect of convertible bond announcement and issue on stock liquidity
    Authors: 簡子堯
    Contributors: 屠美亞
    簡子堯
    Keywords: 可轉換公司債
    股票流動性
    Date: 2010
    Issue Date: 2010-12-08 01:54:15 (UTC+8)
    Abstract: 隨著可轉換公司債相關法規與市場的逐漸完善,越來越多公司使用可轉換公司債進行籌資,然而許多研究報告皆顯示,可轉換公司債之發行對於公司會產生負面影響。本研究之目的,即在於探討可轉換公司債宣告與發行對於發行公司股票流動性所造成之影響為何。本研究以國內1997年至2009年間曾發行國內可轉換公司債之公司為樣本,以宣告日及發行日建構三種不同觀察期(圖3-5-1),利用事件研究法計算發行公司股票流動性指標(成交量、成交值、週轉率)因可轉換公司債宣告與發行所造成之變化程度,並進一步以多元迴歸法(Multiple Regression Analysis)分析,探討可能影響股票流動性變化程度的重要因素為何。

    本研究之實證結果如下:

    1.發行公司股票成交值及週轉率在發行日後較發行日前皆顯著下降;在宣告日前後部份,股票成交值及週轉率在宣告日過後亦顯著下降,但若剔除2001年10月前台灣經濟新報資料庫使用發行日代替宣告日該部份之資料,則僅股票週轉率呈現顯著下降;與宣告日前公司股票流動性相比,發行日過後公司股票成交值及週轉率皆顯著下降。

    2.根據迴歸分析,發現大盤成交量變化、股價變化、股價波動率變化、市價淨值比及成立年數皆可能影響公司股票流動性變化幅度,前三項變數對異常股票流動性變化的迴歸係數為顯著的正值,後兩項變數的迴歸係數則為顯著的負值。至於內部人持股比率、獨立董監席次比率的迴歸係數則並不顯著異於零。
    Reference: 一、中文文獻
    王若蓮,2009,「公司盈餘管理對其股票流動性之影響效果」,國立交通大學管理科學研究所博士論文。
    王琮珀,2009,「總經理持股、供應鏈關係與股票流動性之關聯性研究」,東海大學會計研究所碩士論文。
    林士韡,2009,「公司治理、盈餘管理與可轉換公司債發行後長期績效之研究」,國立政治大學財務管理研究所碩士論文。
    徐煜博,2005,「國內發行可轉換公司債宣告效果與財務特質關係之研究-以電子業及傳統產業為例」,中原大學企業管理研究所碩士論文。
    高依暄,2006,「制度變革對國內可轉換公司債效率性之影響」,國立中山大學財務管理研究所碩士論文。
    曹育欣,2002,「證券選擇與可轉換公司債發行宣告效果之研究」,國立中山大學企業管理學系研究所碩士論文。
    詹曙銘,2003,「可轉換公司債發行宣告對長、短期股價報酬的影響」,朝陽科技大學財務金融系碩士班碩士論文。
    鄭舜仁,2004,「探討影響股票流動性的因素─以時間數列橫斷面探討公司規模、股權結構與資訊不對稱」,管理科學與統計決策,第1卷第1期,頁85-97。
    謝武吉,2007,「台灣發行可轉換公司債之回顧與探討」,國立高雄大學高階經營管理碩士在職專班碩士論文。

    二、英文文獻
    Abhyankar, A. and A. Dunning, 1999, “Wealth effects of convertible bond and convertible preference share issues: an empirical analysis of the UK market.” Journal of Banking & Finance, Vol.23, No.7, 1043-1065.
    Ammann, M., M. Fehr and R. Seiz, 2006, “New evidence on the announcement effect of convertible and exchangeable bonds.” Journal of Multinational Financial Management, Vol.16, No.1, 43-63.
    Bolton, P. and E. V. Thadden, 1998, “Blocks, liquidity, and corporate control.” The Journal of Finance, Vol.53, No.1, 1-25.
    Brown, S. and S. A. Hillegeist, 2007, “How disclosure quality affects the level of information asymmetry.” Review of Accounting Studies, Vol.12, No.2-3, 443-447.
    Cheng, W., N. Visaltanachoti and P. Kesayan, 2005, “A stock market reaction following convertible bond issuance: evidence from Japan.” International Journal of Business, Vol.10, No.4, 323-340.
    Chiang, R. and P. C. Venkatesh, 1988, “Insider holdings and perceptions of information asymmetry: a note.” The Journal of Finance, Vol.43, No.4, 1041-1048.
    Choi, D., M. Getmansky and H. Tookes, 2009, “Convertible bond arbitrage, liquidity externalities, and stock prices.” Journal of Financial Economics, Vol.91, No.2, 227-251.
    Dann, L. Y. and W. H. Mikkelson, 1984, “Convertible debt issuance, capital structure change and financing related information.” Journal of Financial Economics, Vol.13, No.2, 157-186.
    Davidson, W., J. L. Glastock and T. V. Schwarz, 1995, “Signaling with convertible debt.” Journal of Financial and Quantitative Analysis, Vol.30, No.3, 425-440.
    De Roon, F. and C. Veld, 1998, “Announcement effects of convertible bond loans and warrant-bond loans: An empirical analysis for the Dutch market.” Journal of Banking and Finance, Vol.22, No.12, 1481-1506.
    Diamond, D. W. and R. E. Verrecchia, 1991, “Disclosure, liquidity, and the cost of capital.” Journal of Finance, Vol. 46, No.4, 1325-1360.
    Green, R., 1984, “Investment incentives, debt, and warrants.” Journal of Financial Economics, Vol.13, No.1, 115-136.
    Kang, J. K., Y. C. Kim, K. J. Park and R.M. Stulz, 1995, “An analysis of the wealth effects of Japanese offshore dollar-denominated convertible and warrant bond issues.” Journal of Financial and Quantitative Analysis, Vol.30, No.2, 257-270.
    Kim, Y. O., 1990, “Informative conversion ratios:a signaling approach.” Journal of Financial and Quantitative Analysis, Vol.25, No.2, 229-243.
    Liao, C. H., 2009, “Does corporate governance reduce information asymmetry of intangibles?” Doctoral dissertation, Department of Accountancy, Case Western Reserve University.
    Mayers, D., 1998, “Why firms issue convertible bonds: the matching of financial and real investment options.” Journal of Financial Economics, Vol.47, No.1, 83-102.
    McLaughlin, R., A. Sasieddine and G. K. Vasudevan, 1998, “The long-run performance of convertible debt issuers.” The Journal of Financial Research Vol.21, No.4, 373-388.
    Mikkelson, W. and M. Partch, 1986, “Valuation effects of security offerings and the issuance process.” Journal of Financial Economics, Vol.15, No.1-2, 31-60.
    Stein, J., 1992, “Convertible bonds as backdoor equity financing.” Journal of Financial Economics 32, 3-21.
    Description: 碩士
    國立政治大學
    財務管理研究所
    97357002
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097357002
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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