臺灣海外可轉換公司債之設計與外匯避險問題

Abstract

本研究主要是從商品設計角度探討台灣公司發行海外可轉換公司債的動機及其所涉及的外匯風險問題。公司在發行海外可轉換公司債時，必須考量債券與權益兩部分，票面利率可用來衡量債券部份的價值，而執行價格與固定轉換匯率反應的則是權益部分的價值。本研究採Mishra與Naranyanan(1991)的方法來探討台灣上市公司發行此衍生證券背後的動機。實證結果發現，就代理理論的觀點而言，上市公司並非基於降低代理成本的動機而發行海外可轉換公司債。就公司管理當局的觀點而言，實證結果不支持公司想以較高的價格出售股票，同時，也拒絕降低融資成本的說法。但是，本研究發現，當外幣傾向升值時，公司會傾向賦予這類衍生證券較高權益的成份。基於此發現，可能的解釋是，海外可轉換公司債的發行公司希望能藉此分散融通的資金來源。最後，關於海外可轉換公司債的發行公司是否要積極管理所面對的外匯風險問題，本研究利用套利定價理論的兩因子模式對發行海外可轉換公司債的二十二家上市公司進行實證。結果發現，由於外匯風險並不被股市投資人評價，就降低資金成本的考慮上，發行公司並不需要對海外可轉換公司債所產生的匯兌風險進行避險。

This paper is composed of two related topics about the Euroconvertibles: One is to test the rationales behind the issuance of Euroconvertibles. The other is to investigate, based on a viewpoint of their cost of capital, whether the firms should hedge their foreign exchange exposure.For the topic of the design of Euroconvertible, this study examines agency rationale and other managerial rationales behind the issuance of Euroconvertibles. Analysis of empirical results shows that the agency rationale cannot be supported, furthermore, the managerial rationale about the position to utilize Euroconvertibles as delayed equity sold at a premium also cannot be supported. As from the point of view of lowering the funding cost, the argument to issue the Euroconvertibles rather than straight debts when the level of interest rate is high is not empirically supported. This study also employs this method to testing how the Euroconvertibles react to the level of foreign exchange rate. It presents that when the level is relatively high; i.e., when the foreign currencies tend to appreciate, the issuers significantly put more weights on the equity component, rather than debt component. It might be explained as the surmise that the firm aimed to diversify its financing sources when designing the Euroconvertibles.As for the second topic, the empirical results showed that the foreign exchange risk is not priced in the Taiwan stock market. Thus, the issuers of Euroconvertibles need not to hedge against their foreign exchange risk under the considerations of lowering their cost of capital.