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題名 自訊號發射理論觀點探討我國可轉換公司債發行條款
作者 曾盛杰
ZENG, SHENG-JIE
貢獻者 劉維琪<br>楊子江
曾盛杰
ZENG, SHENG-JIE
日期 1992
1991
上傳時間 2-May-2016 15:13:55 (UTC+8)
摘要 財務理論雖已發展多年，但學者之間仍無法在對於發行公司如何選擇其債券條款的解釋上獲得共識。本文對債券條款理論作廣泛的搜尋與探討，得知歷來的解釋共有代理成本、避險操作(Immunization)、發射訊號(Signalling) 、損失圍堵(Darnage Containrnent) 、及稅負考慮等五種觀點。
參考文獻 中文部份：
1.王元章，「轉換公司債角色的探討」，證券市場發展季刊，13期，81年1月。
2. 王啟明，「轉換公司債投資策略」，華泰書局，80年9月。
3. 史綱，「認識歐洲債券市場」，證券市場發展季刊，9期，80年4月。
4. 余雪明，「我國債券市場的發展策略」，證券市場發展季刊，9期，80年4月。
5. 李存修，「可轉換公司債問題之評價─兼談永豐餘造紙公司實例」，證券管理，第7 卷，7 至8期，78年7 、8月。
6. 李存修，「認股權證之性質，評價模式與發行計劃」，證券管理，第7卷，11期，78年11月。
7. 李存修，「選擇權之投資策略、評價理論、與其在財務管理上之應用」，證券市場發展季刊，14期，81年4月。
8. 柯受恩，「由美國經驗看我國債券市場」，證券市場發展季刊，9期，80年4月。
9. 姜堯民，「不對稱資訊下銀行放款契約訂定之研究」，政治大學企業管理研究所未出版碩士論文，79年6月。
10. 徐燕山，「美國可轉換公司債之研究」，證券市場發展季刊，13期，81年1月。
11. 陳春山，「證券交易法論」，五南圖書出版公司，80年11月。
12. 陳得源，「我國債券市場之檢討與改進」，中央銀行季刊，12卷2期，79年6月。
13. 陳建志，「上市公司發行可轉換公司債之研究」，政治大學企業管理研究所未出版碩士論文，80年6月。
14. 陳舜萍，「我國債券市場之現況與檢討」，證券市場發展季刊，9期，80年4月。
15. 許誠洲，「台灣債券市場開發新型金融商品優先順序之研究」，中山大學企業管理研究所未出版碩士論文，80年6月。
16. 溫芳郁，「多元資本市場更富籌資空間- -企業長期資金籌措之道」，會計研究月刊，54期，79年3月。
17. 楊太平，「日本債券市場及其發展」，證券市場發展季刊，9期，80年4月。
18. 劉佩玲，「轉換公司債問題之探討」，產業經濟，112期，79年11月。
19. 各可轉換公司債發行公開說明書。

英文部份：
1. A vharya, S., "A Generalized Econometric Model and Tests of A Signalling Hypothesis With Two Discrete Signals", Journal of Finance, 43(2), 1988, pp413-429.
2. Banks,J.S. and J.Sobel, "Equilibrium Selection In Signalling Games", Econometrica,55(3), 1987, pp647-661.
3. Barnea,A. and Haugen,R.A. and L.W.Senbet, "A Rationale For Debt Maturity Structure and Call Provisions in the Agency Theoretic Framework", Journal of Finance, 35(5), 1980,ppI223-1234.
4. Barnea,A. and Haugen,R.A. and L.W.Senbet, "Market Imper- fections, Agency Problems, and Capital Structure: A Review" , Financial Management, Summer 1981, pp7- 22.
5. Boyce, W.M. and A.J.Kalotay, "Tax Differentials and Callable Bonds" , Journal of Finance, 34(4), 1979, 825- 838.
6. Brennan, M. J. and E. S. Schwartz, "Analyzing Convertible Bonds", Journal of Financial and Quantitative Analysis, 15(4), 1980, 907-929.
7. Brick,I.E. and S.A.Ravid, "On the Relevance of Debt Maturity Structure", Journal of Finance, 40(5), 1985, 1423-1437.
8. Brick,I.E. and B.A. Wallingford, "The Relative Tax Benefits of Alternative Call Features In Corporate Debt", Journal of Financial and Quantitative Analysis, 20(1), 1985, 95-105.
9. Carr, P., "The Valuation of Sequential Exchange Opportunities", Journal of Finance, 43(5), 1988, 1235-1256.
10. Chang,C., "The Dynamic Structure of Optimal Debt Contracts", ... ,68- 86.
11. Chen,A.H. and J.W.Kensinger, "Puttable Stock: A New Innovation in Equity Financing", Financial Management, Spring 1988, 27- 37.
12. Dunn,K.B. and C.S.Spatt, "A Strategic Analysis of Sinking Fund Bonds", Journal of Financial Economics, 13, 1984, 399-423.
13. Fisher, L. and R. L. Weil, "Copying with the Risk of Interest Rate Fluctuations: Return to Bondholders from Naive and Optimal Strategies" , Journal of Business, 44, 1976, pp408- 431.
14. Flannery, M.J., "Asymmetric Information and Risky Debt Maturity Choice" , Journal of Finance, 41, 1986, 18- 38.
15. Gertner,R. and R.Gibbons and D.Scharfstein, "Simultaneous Signalling to the Capial and Product Markets", Rand Journal of Economics, 19(2), 1988, 173-191.
16. Glazer,J. and R.Israle, "Managerial Incentives and Financial Signalling in Product Market Competition", International Journal of Industrial Organization, 8, 1990, 271- 280.
17. Han,L,M., "EquIlibrium In Debt Maturity Choices Under Asymmetric Information", Three Essays on Financial Contracts, The University of Texas at Austin, 1987, ppl-67.
18. Harris, M. and A.Raviv, "A Sequential Signalling Model of Convertible ? De bt Call Po licy" , Journal 0 f Finance, 40(5), 1985, 1263- 128l.
19. Ho, T. and R.F.Singer, "The Value of Corporate Debt with a Sinking Fund Provision", Journal of Business, 57, 1984, 315-336.
20. J anjigian, V., "The Leverage Changing Consequences of Convertible Debt Financing", Financial Management, Autumn 1987, 15-21.
21. Kalay, A., "Stockholder- Bondholder Conflict and Dividend Constraints", Journal of Financial Economics, 10, 1982, 211- 233.
22. Kale,J.R. and T.H.Noe, "Risky Debt Maturity Choice In a Sequential Game Equilibrim", Journal of Financial Research, 13 (2), 1990, 155-165.
23. Kalotay,A.J. "Sinking Funds and the Realized Cost of Debt", Financial Management, Spring 1982, 43- 54.
24. Kim, Y.O., "Informative Conversion Ratios: A Signalling Approach", Journal of Financial and Quantitative Analysis, 25(2), 1990; 229-243.
25. Kraus,A., "The Bond Refunding Decision In an Efficient Market", Journal of Financial and Quantitative Analysis, 8, 1973, pp 793- 806.
26. Kreps,D.M., "Solution Concepts for Noncooperative Games", A Course in Microeconomics Theory ,Harvester Wheatsheaf , N. Y.,1990.
27. Leland, B. and D.Pyle, "Informational Asymmetries, Financial Structure, and Financial Intermediation", Journal of Finance(May 1977), pp371- 387.
28. Livingston,M. and S.Jain, "Flattening of Bond Yield Curves For Long Maturities", Journal of Finance, 37(1), 1982, 157-167.
29. Malitz, I. , "On Financial Contracting: The Determinants of Bond Covenants", Financial Management, Summer 1986, 18-26.
30. Marr,M. W. and J.P.Ogden, "Market Imperfections and the Choices of Maturity and Call Provisions in Corporate Debt", Journal of Business Research, 19, 1988, 17-31.
31. Mitchell, K., "The Call, Sinking Fund, and Term- To-Maturity Features of Corporate Bonds : An Empirical Investigation", Journal of Financial and Quantitative Analysis, 26(2), 1991, 201- 222.
32. Modigliani, F. and M.H.Miller, "The Cost of Capital, Corporation Finance and the Theory of Investment", American Economic Review (June 1958), pp261-297.
33. Myers, S. C., "Determanants of Corporate Borrowing", Journal of Financial Economics, 5, 1977, 147-175.
34. Myers, S. C., and N. S.Majluf, "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have", Journal of Financial Economics, 13, 1984, pp187-221.
35. Ofer, A.R. and A. Natarajan, "Convertible Call Policies- - An Empirical Analysis of an Information- Signalling Hypothesis" , Journal of Financial Economics, 19, 1987, 91-108.
36. Ogden, J.P., "Determinants of the Relative Interest Rate Sensitivities of Corporate Bonds", Financial Management, Spring 1987, 22- 30.
37. 0gden,J.P., "A Rationale For the Sinking-Fund Provision in a Quasicompetitive Corporate-Bond Market", Journal of Business Reserch, 16, 1988, 197-208.
38. Robbins,E.H. and J.D.Schatzberg, "Callable Bonds: A Risk-Reducing Signalling Mechanism ", Journal of Finance, 41(4), 1986, 935- 949.
39. Roberts, J., "A Signalling Model of Predatory Pricing", ... , 75-93.
40. Rodriguez, R.J., "Default Risk, Yield Spreads, and Time To Maturity ", Journal of Financial and Quantitative Analysis, 23(1), 1988, 111-117.
41. Ross,S.A., R.W.Westerfield and J.F.Faffe, Corporate Finance,2nd.,華泰書局, 1990.
42. Scholes,M., "Taxes and the Pricing of Options", Journal of Finance, 32, 1976.
43. Smith, C. W. and J.B. Warner, "On Financial Contracting : An Analysis of Bond Covenants", Journal of Financial Economics, 1979, 7, pp 117-161.
44. Stiglitz, J., "On the Irrelevance of Corporate Financial Policy", American Economic Review (December 1974), pp851- 866.
45. Thakor, A. V., "Game Theory in Finance", Financial Management, Spring 1991, 71-94.
46. Thatcher, J. S., "The Choice of Call Provision Terms: Evidence of the Existence Agency Costs of Debt", Journal of Finance, 40(2), 1985, 549- 561.
47. Van Horne,J.C., Financial Market Rates & Flows, 3rd., Prentice-Hall, New Jersey,1990.
48. Wall, L. D., "Callable Bonds: A Risk- Reducing Signalling Mechanism--A Comment", Journal of Finance, 43(4), 1988, 1057-1065.
49. Wernerfelt,B., "Umbrella Branding As a Signal of New Product Quality: An Example of Signalling by Posting a Bond", Rand Journal of Economics, 19(3), 1988, 458-466.
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004492
資料類型 thesis
dc.contributor.advisor 劉維琪<br>楊子江zh_TW
dc.contributor.author (Authors) 曾盛杰zh_TW
dc.contributor.author (Authors) ZENG, SHENG-JIEen_US
dc.creator (作者) 曾盛杰zh_TW
dc.creator (作者) ZENG, SHENG-JIEen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-May-2016 15:13:55 (UTC+8)-
dc.date.available 2-May-2016 15:13:55 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:13:55 (UTC+8)-
dc.identifier (Other Identifiers) B2002004492en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89151-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (摘要) 財務理論雖已發展多年，但學者之間仍無法在對於發行公司如何選擇其債券條款的解釋上獲得共識。本文對債券條款理論作廣泛的搜尋與探討，得知歷來的解釋共有代理成本、避險操作(Immunization)、發射訊號(Signalling) 、損失圍堵(Darnage Containrnent) 、及稅負考慮等五種觀點。zh_TW
dc.description.tableofcontents 第一章 緒論.................... 1
1. 1 研究動機....................1
1. 2 研究目的.................... 4
1. 3 研究方向與分析工具.................... 4
1. 4 本文架構.................... 7
第二章 文獻回顧.................... 9
2.1 債券條款....................9
2.2 債券條款選擇的影響因素....................11
2.2.1 總論....................11
2.2.2 代理成本觀點.................... 16
2.2.3 避險操作觀點.................... 18
2.2.4 資訊不對稱──訊號觀點....................19
2.2.4.1 資訊不對稱.................... 19
2.2.4.2 訊號觀點.................... 20
2.2.5 資訊不對稱一一損失圍堵觀點.................... 22
2.2.6 稅負觀點....................23
2.2.7 本文的研究角度.................... 24
2.3 可轉換公司債的發行條款.................... 25
2.3.1 可轉換公司債.................... 25
2.3.2 賣回權.................... 30
2 .4 債券條款的訊號發射模型.................... 32
第三章 我國可轉換公司債發行條款的訊號發射模型.................... 39
3.1 可行的訊號.................... 39
3.2 賽局的描述....................43
3.3 訊號發射模型的構建.................... 44
3.4 求取均衡的過程.................... 48
3.4.1 資訊對稱下投資人的評價.................... 48
3.4.2 資訊不對稱下投資人的評價.................... 50
3.4.3 均衡分析....................52
3.5 Separating 均衡成立的情況....................65
第四章 可轉換公司債發行辦法之探討.................... 77
4.1 我國的可轉換公司債條款....................77
4.2 債券條款的選擇.................... 82
第五章 建議與結論.................... 88
5.1 結論.................... 88
5.2 建議....................89
參考文獻.................... 90
中文部份.................... 90
英文部份.................... 91		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004492en_US
dc.title (題名) 自訊號發射理論觀點探討我國可轉換公司債發行條款zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部份：
1.王元章，「轉換公司債角色的探討」，證券市場發展季刊，13期，81年1月。
2. 王啟明，「轉換公司債投資策略」，華泰書局，80年9月。
3. 史綱，「認識歐洲債券市場」，證券市場發展季刊，9期，80年4月。
4. 余雪明，「我國債券市場的發展策略」，證券市場發展季刊，9期，80年4月。
5. 李存修，「可轉換公司債問題之評價─兼談永豐餘造紙公司實例」，證券管理，第7 卷，7 至8期，78年7 、8月。
6. 李存修，「認股權證之性質，評價模式與發行計劃」，證券管理，第7卷，11期，78年11月。
7. 李存修，「選擇權之投資策略、評價理論、與其在財務管理上之應用」，證券市場發展季刊，14期，81年4月。
8. 柯受恩，「由美國經驗看我國債券市場」，證券市場發展季刊，9期，80年4月。
9. 姜堯民，「不對稱資訊下銀行放款契約訂定之研究」，政治大學企業管理研究所未出版碩士論文，79年6月。
10. 徐燕山，「美國可轉換公司債之研究」，證券市場發展季刊，13期，81年1月。
11. 陳春山，「證券交易法論」，五南圖書出版公司，80年11月。
12. 陳得源，「我國債券市場之檢討與改進」，中央銀行季刊，12卷2期，79年6月。
13. 陳建志，「上市公司發行可轉換公司債之研究」，政治大學企業管理研究所未出版碩士論文，80年6月。
14. 陳舜萍，「我國債券市場之現況與檢討」，證券市場發展季刊，9期，80年4月。
15. 許誠洲，「台灣債券市場開發新型金融商品優先順序之研究」，中山大學企業管理研究所未出版碩士論文，80年6月。
16. 溫芳郁，「多元資本市場更富籌資空間- -企業長期資金籌措之道」，會計研究月刊，54期，79年3月。
17. 楊太平，「日本債券市場及其發展」，證券市場發展季刊，9期，80年4月。
18. 劉佩玲，「轉換公司債問題之探討」，產業經濟，112期，79年11月。
19. 各可轉換公司債發行公開說明書。

英文部份：
1. A vharya, S., "A Generalized Econometric Model and Tests of A Signalling Hypothesis With Two Discrete Signals", Journal of Finance, 43(2), 1988, pp413-429.
2. Banks,J.S. and J.Sobel, "Equilibrium Selection In Signalling Games", Econometrica,55(3), 1987, pp647-661.
3. Barnea,A. and Haugen,R.A. and L.W.Senbet, "A Rationale For Debt Maturity Structure and Call Provisions in the Agency Theoretic Framework", Journal of Finance, 35(5), 1980,ppI223-1234.
4. Barnea,A. and Haugen,R.A. and L.W.Senbet, "Market Imper- fections, Agency Problems, and Capital Structure: A Review" , Financial Management, Summer 1981, pp7- 22.
5. Boyce, W.M. and A.J.Kalotay, "Tax Differentials and Callable Bonds" , Journal of Finance, 34(4), 1979, 825- 838.
6. Brennan, M. J. and E. S. Schwartz, "Analyzing Convertible Bonds", Journal of Financial and Quantitative Analysis, 15(4), 1980, 907-929.
7. Brick,I.E. and S.A.Ravid, "On the Relevance of Debt Maturity Structure", Journal of Finance, 40(5), 1985, 1423-1437.
8. Brick,I.E. and B.A. Wallingford, "The Relative Tax Benefits of Alternative Call Features In Corporate Debt", Journal of Financial and Quantitative Analysis, 20(1), 1985, 95-105.
9. Carr, P., "The Valuation of Sequential Exchange Opportunities", Journal of Finance, 43(5), 1988, 1235-1256.
10. Chang,C., "The Dynamic Structure of Optimal Debt Contracts", ... ,68- 86.
11. Chen,A.H. and J.W.Kensinger, "Puttable Stock: A New Innovation in Equity Financing", Financial Management, Spring 1988, 27- 37.
12. Dunn,K.B. and C.S.Spatt, "A Strategic Analysis of Sinking Fund Bonds", Journal of Financial Economics, 13, 1984, 399-423.
13. Fisher, L. and R. L. Weil, "Copying with the Risk of Interest Rate Fluctuations: Return to Bondholders from Naive and Optimal Strategies" , Journal of Business, 44, 1976, pp408- 431.
14. Flannery, M.J., "Asymmetric Information and Risky Debt Maturity Choice" , Journal of Finance, 41, 1986, 18- 38.
15. Gertner,R. and R.Gibbons and D.Scharfstein, "Simultaneous Signalling to the Capial and Product Markets", Rand Journal of Economics, 19(2), 1988, 173-191.
16. Glazer,J. and R.Israle, "Managerial Incentives and Financial Signalling in Product Market Competition", International Journal of Industrial Organization, 8, 1990, 271- 280.
17. Han,L,M., "EquIlibrium In Debt Maturity Choices Under Asymmetric Information", Three Essays on Financial Contracts, The University of Texas at Austin, 1987, ppl-67.
18. Harris, M. and A.Raviv, "A Sequential Signalling Model of Convertible ? De bt Call Po licy" , Journal 0 f Finance, 40(5), 1985, 1263- 128l.
19. Ho, T. and R.F.Singer, "The Value of Corporate Debt with a Sinking Fund Provision", Journal of Business, 57, 1984, 315-336.
20. J anjigian, V., "The Leverage Changing Consequences of Convertible Debt Financing", Financial Management, Autumn 1987, 15-21.
21. Kalay, A., "Stockholder- Bondholder Conflict and Dividend Constraints", Journal of Financial Economics, 10, 1982, 211- 233.
22. Kale,J.R. and T.H.Noe, "Risky Debt Maturity Choice In a Sequential Game Equilibrim", Journal of Financial Research, 13 (2), 1990, 155-165.
23. Kalotay,A.J. "Sinking Funds and the Realized Cost of Debt", Financial Management, Spring 1982, 43- 54.
24. Kim, Y.O., "Informative Conversion Ratios: A Signalling Approach", Journal of Financial and Quantitative Analysis, 25(2), 1990; 229-243.
25. Kraus,A., "The Bond Refunding Decision In an Efficient Market", Journal of Financial and Quantitative Analysis, 8, 1973, pp 793- 806.
26. Kreps,D.M., "Solution Concepts for Noncooperative Games", A Course in Microeconomics Theory ,Harvester Wheatsheaf , N. Y.,1990.
27. Leland, B. and D.Pyle, "Informational Asymmetries, Financial Structure, and Financial Intermediation", Journal of Finance(May 1977), pp371- 387.
28. Livingston,M. and S.Jain, "Flattening of Bond Yield Curves For Long Maturities", Journal of Finance, 37(1), 1982, 157-167.
29. Malitz, I. , "On Financial Contracting: The Determinants of Bond Covenants", Financial Management, Summer 1986, 18-26.
30. Marr,M. W. and J.P.Ogden, "Market Imperfections and the Choices of Maturity and Call Provisions in Corporate Debt", Journal of Business Research, 19, 1988, 17-31.
31. Mitchell, K., "The Call, Sinking Fund, and Term- To-Maturity Features of Corporate Bonds : An Empirical Investigation", Journal of Financial and Quantitative Analysis, 26(2), 1991, 201- 222.
32. Modigliani, F. and M.H.Miller, "The Cost of Capital, Corporation Finance and the Theory of Investment", American Economic Review (June 1958), pp261-297.
33. Myers, S. C., "Determanants of Corporate Borrowing", Journal of Financial Economics, 5, 1977, 147-175.
34. Myers, S. C., and N. S.Majluf, "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have", Journal of Financial Economics, 13, 1984, pp187-221.
35. Ofer, A.R. and A. Natarajan, "Convertible Call Policies- - An Empirical Analysis of an Information- Signalling Hypothesis" , Journal of Financial Economics, 19, 1987, 91-108.
36. Ogden, J.P., "Determinants of the Relative Interest Rate Sensitivities of Corporate Bonds", Financial Management, Spring 1987, 22- 30.
37. 0gden,J.P., "A Rationale For the Sinking-Fund Provision in a Quasicompetitive Corporate-Bond Market", Journal of Business Reserch, 16, 1988, 197-208.
38. Robbins,E.H. and J.D.Schatzberg, "Callable Bonds: A Risk-Reducing Signalling Mechanism ", Journal of Finance, 41(4), 1986, 935- 949.
39. Roberts, J., "A Signalling Model of Predatory Pricing", ... , 75-93.
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