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題名 投資者需求對可轉債證券設計及財富效果之影響
無作者 高政修
Gao, Jheng-Siou貢獻者 岳夢蘭
Yueh, Meng-Lan
高政修
Gao, Jheng-Siou關鍵詞 投資者需求
可轉債
異常報酬
Investor demand
Convertible bond
Delta
Abnormal return日期 2019 上傳時間 3-Oct-2019 17:16:48 (UTC+8) 摘要 本研究以選擇權需求、融券餘額變化及共同基金流量作為可轉換公司債之投資者需求，研究其對可轉債證券設計及股東財富效果之影響。關於證券設計，實證結果顯示選擇權需求、融券餘額變化較高時，可轉債之權益比重(delta)較高，而共同基金流量較高時，可轉債之權益比重較低，此外，本研究亦發現融券餘額變化對delta之影響，在海嘯前後顯著程度差異大。而關於股東財富效果，本研究之實證結果發現融券餘額變化較高時，可轉債發行發行公司之累計異常報酬率較低，且在高低delta兩組樣本之迴歸中皆顯著。
The study uses option demand, short interest change and mutual fund flows as proxies to examine the influence of investor demand on convertible bond security design and shareholder wealth effects. With regard to security design, the empirical results show that equity proportion of convertible bond (delta) is larger when option demand and short interest change are higher. Besides, the higher the mutual fund flows is, the smaller the delta is. Furthermore, influence of short interest change on delta is more significant after financial crisis. As for the shareholder wealth effect, the empirical results indicate that the cumulative abnormal return of convertible bond issuing firm is more negative when short interest change is higher. The coefficients of short interest change are also significant in both high and low delta samples.參考文獻 Baker, M. (2009). Capital market-driven corporate finance.Annu. Rev. Financ. Econ., 1(1), 181-205.Brown, S. J., Grundy, B. D., Lewis, C. M., & Verwijmeren,P. (2012). Convertibles and hedge funds as distributorsof equity exposure. The Review of Financial Studies,25(10), 3077-3112.Burlacu, R. (2000). New evidence on the pecking orderhypothesis: the case of French convertible bonds.Journal of Multinational Financial Management, 10(3-4),439-459.Choi, D., Getmansky, M., & Tookes, H. (2009). Convertiblebond arbitrage, liquidity externalities, and stockprices. Journal of Financial Economics, 91(2), 227-251.De Jong, A., Dutordoir, M., & Verwijmeren, P. (2011). Whydo convertible issuers simultaneously repurchase stock?An arbitrage-based explanation. Journal of FinancialEconomics, 100(1), 113-129.De Jong, A., Dutordoir, M., Van Genuchten, N., &Verwijmeren, P. (2012). Convertible arbitrage pricepressure and short-sale constraints. Financial AnalystsJournal, 68(5), 70-88.De Jong, A., Duca, E., & Dutordoir, M. (2013). Doconvertible bond issuers cater to investor demand?.Financial Management, 42(1), 41-78.Dong, M., Dutordoir, M., & Veld, C. (2011). Why do firmsissue convertible bonds? Evidence from the field.Evidence from the Field (May 2, 2011).Duca, E., Dutordoir, M., Veld, C., & Verwijmeren, P.(2012). Why are convertible bond announcementsassociated with increasingly negative issuer stockreturns? An arbitrage-based explanation. Journal ofBanking & Finance, 36(11), 2884-2899.Dutordoir, M., Lewis, C., Seward, J., & Veld, C. (2014).What we do and do not know about convertible bondfinancing. Journal of Corporate Finance, 24, 3-20.Lewis, C. M., & Verwijmeren, P. (2011). Convertiblesecurity design and contract innovation. Journal ofCorporate Finance, 17(4), 809-831.Lewis, C. M., Rogalski, R. J., & Seward, J. K. (1999). Isconvertible debt a substitute for straight debt or forcommon equity?. Financial management, 5-27.Loncarski, I., Ter Horst, J., & Veld, C. (2009). The riseand demise of the convertible arbitrage strategy.Financial Analysts Journal, 65(5), 35-50. 描述 碩士
國立政治大學
財務管理學系
1063570161資料來源 http://thesis.lib.nccu.edu.tw/record/#G1063570161 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh, Meng-Lan en_US dc.contributor.author (Authors) 高政修 zh_TW dc.contributor.author (Authors) Gao, Jheng-Siou en_US dc.creator (作者) 高政修 zh_TW dc.creator (作者) Gao, Jheng-Siou en_US dc.date (日期) 2019 en_US dc.date.accessioned 3-Oct-2019 17:16:48 (UTC+8) - dc.date.available 3-Oct-2019 17:16:48 (UTC+8) - dc.date.issued (上傳時間) 3-Oct-2019 17:16:48 (UTC+8) - dc.identifier (Other Identifiers) G1063570161 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/126575 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 1063570161 zh_TW dc.description.abstract (摘要) 本研究以選擇權需求、融券餘額變化及共同基金流量作為可轉換公司債之投資者需求，研究其對可轉債證券設計及股東財富效果之影響。關於證券設計，實證結果顯示選擇權需求、融券餘額變化較高時，可轉債之權益比重(delta)較高，而共同基金流量較高時，可轉債之權益比重較低，此外，本研究亦發現融券餘額變化對delta之影響，在海嘯前後顯著程度差異大。而關於股東財富效果，本研究之實證結果發現融券餘額變化較高時，可轉債發行發行公司之累計異常報酬率較低，且在高低delta兩組樣本之迴歸中皆顯著。 zh_TW dc.description.abstract (摘要) The study uses option demand, short interest change and mutual fund flows as proxies to examine the influence of investor demand on convertible bond security design and shareholder wealth effects. With regard to security design, the empirical results show that equity proportion of convertible bond (delta) is larger when option demand and short interest change are higher. Besides, the higher the mutual fund flows is, the smaller the delta is. Furthermore, influence of short interest change on delta is more significant after financial crisis. As for the shareholder wealth effect, the empirical results indicate that the cumulative abnormal return of convertible bond issuing firm is more negative when short interest change is higher. The coefficients of short interest change are also significant in both high and low delta samples. en_US dc.description.tableofcontents 表次 iv圖次 v第一章 緒論 1第二章 文獻回顧 3第一節 證券設計 3第二節 股東財富效果 4第三章 研究方法 6第一節 研究模型 6第二節 變數定義 7第三節 研究假說 10第四節 資料來源 11第四章 實證結果 12第一節 敘述統計 12第二節 證券設計 15第三節 股東財富效果 22第五章 結論與後續研究 26第一節 結論 26第二節 研究限制與後續研究建議 26參考文獻 28附錄一 30 zh_TW dc.format.extent 1396933 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1063570161 en_US dc.subject (關鍵詞) 投資者需求 zh_TW dc.subject (關鍵詞) 可轉債 zh_TW dc.subject (關鍵詞) 異常報酬 zh_TW dc.subject (關鍵詞) Investor demand en_US dc.subject (關鍵詞) Convertible bond en_US dc.subject (關鍵詞) Delta en_US dc.subject (關鍵詞) Abnormal return en_US dc.title (題名) 投資者需求對可轉債證券設計及財富效果之影響 zh_TW dc.title (題名) 無 en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Baker, M. (2009). Capital market-driven corporate finance.Annu. Rev. Financ. Econ., 1(1), 181-205.Brown, S. J., Grundy, B. D., Lewis, C. M., & Verwijmeren,P. (2012). Convertibles and hedge funds as distributorsof equity exposure. The Review of Financial Studies,25(10), 3077-3112.Burlacu, R. (2000). New evidence on the pecking orderhypothesis: the case of French convertible bonds.Journal of Multinational Financial Management, 10(3-4),439-459.Choi, D., Getmansky, M., & Tookes, H. (2009). Convertiblebond arbitrage, liquidity externalities, and stockprices. Journal of Financial Economics, 91(2), 227-251.De Jong, A., Dutordoir, M., & Verwijmeren, P. (2011). Whydo convertible issuers simultaneously repurchase stock?An arbitrage-based explanation. Journal of FinancialEconomics, 100(1), 113-129.De Jong, A., Dutordoir, M., Van Genuchten, N., &Verwijmeren, P. (2012). Convertible arbitrage pricepressure and short-sale constraints. Financial AnalystsJournal, 68(5), 70-88.De Jong, A., Duca, E., & Dutordoir, M. (2013). Doconvertible bond issuers cater to investor demand?.Financial Management, 42(1), 41-78.Dong, M., Dutordoir, M., & Veld, C. (2011). Why do firmsissue convertible bonds? Evidence from the field.Evidence from the Field (May 2, 2011).Duca, E., Dutordoir, M., Veld, C., & Verwijmeren, P.(2012). Why are convertible bond announcementsassociated with increasingly negative issuer stockreturns? An arbitrage-based explanation. Journal ofBanking & Finance, 36(11), 2884-2899.Dutordoir, M., Lewis, C., Seward, J., & Veld, C. (2014).What we do and do not know about convertible bondfinancing. Journal of Corporate Finance, 24, 3-20.Lewis, C. M., & Verwijmeren, P. (2011). Convertiblesecurity design and contract innovation. Journal ofCorporate Finance, 17(4), 809-831.Lewis, C. M., Rogalski, R. J., & Seward, J. K. (1999). Isconvertible debt a substitute for straight debt or forcommon equity?. Financial management, 5-27.Loncarski, I., Ter Horst, J., & Veld, C. (2009). The riseand demise of the convertible arbitrage strategy.Financial Analysts Journal, 65(5), 35-50. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201901192 en_US
