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研究生： 徐志斌
Chih-Pin Hsu
論文名稱： Empirical Studies on Taiwan CB Option Markets
指導教授： 張傳章
Chuang-Chang Chang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系在職專班
Executive Master of Finance
論文出版年： 2014
畢業學年度： 102
語文別： 英文
論文頁數： 39
中文關鍵詞： 可轉換公司債 、擔保 、槓桿 、轉換溢價率 、選擇權拆解率
外文關鍵詞： convertible bonds, guaranteed, leverage, conversion premium ratio, option/proceeds ratio
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    • 摘要
    近期對於可轉債初級市場報酬的學術研究著重於短期可轉債價格表現，研究
    顯示可轉債存在發行時折價狀況或者報酬表現落後指標兩種不同結果。本研究主
    要針對台灣可轉換公司債初級市場掛牌後3 個月內可轉債價格報酬率的表現進
    行研究，找出短期報酬的分佈並針對一些可能影響可轉債報酬率的獨立變數予以
    分析，目的在找出影響可轉債報酬率可靠以及一致性的變數。研究結果顯示有擔
    保可轉換公司債在3 個月內的報酬率均優於其現股以及市場報酬，而且第一個月
    的報酬率為3 個月內最佳。對於變數的分析，研究顯示低轉換溢價率以及高選擇
    權拆解率的特徵對於選擇可轉換公司債標的的投資具有顯著的參考價值。

    Abstract
    Recent Studies regarding to the performance of convertible bonds after issuing
    suggest either underpriced for their new issuing or underperformed results compared
    to matching benchmarks. This research uses the sample collected from Taiwan
    convertible bond market with an aim to find the distribution of IPO performance and
    analyze the impact to the profit returns by independent variables. The results indicate
    convertible bonds all outperform their underlying stocks and market indexes in the 3
    months following the issuing. In addition, the leverage returns suggest first month is
    the best time for investors among all 3 months. For analysis of variables, guaranteed
    convertible bonds demonstrate much stronger returns than non-guaranteed with
    significant evidence. Low conversion premium ratios and high option / proceedings
    prove to be outstanding reference for better profits.

    Contents Abstract ................................................II Contents ................................................III List of Figures .........................................IV List of Tables ..........................................V 1. Introduction .........................................1 2. Literature Review ....................................5 3. Option on Convertible Bond ...........................7 3.1 The Description on Option ...........................7 3.2 Premium as Interest Cost ............................8 3.3 The Practice of Option on Convertible Bond ..........8 4. Data and Methodology .................................9 4.1 Data Overview .......................................9 4.2 Data Selection ......................................10 4.3 Statistic Description on Data .......................11 4.4 Methodology .........................................12 5. Empirical Result and Statistic test ..................15 5.1 Initial Leverage Returns ............................15 5.2 Leverage Returns by Bond Risk and Proceeds ..........16 5.3 Statistical Significance of Leverage Returns for CBs.17 5.4 Cross-Sectional Regression ..........................18 5.5 Summary Statistics for various subsamples ...........19 6. Conclusion ...........................................21 Reference ...............................................24 Appendix ................................................37

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