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題名 可轉債和ETFs投資組合績效比較
Comparison of Performance Between Convertible Bonds and ETFs in Investment Portfolio
作者 曾衍峯
Tsang, Hin-Fung
貢獻者 王國樑<br>余威廷
Wang, Kuo-Laing<br>Yu, Wei-Ting
曾衍峯
Tsang, Hin-Fung
關鍵詞 可轉換公司債
資本資產定價模型
異常報酬
Convertible Bonds
Capital Asset Pricing Model
Abnormal Returns
日期 2024
上傳時間 5-Aug-2024 13:38:42 (UTC+8)
摘要 台灣可轉換公司債自1985年引入以來，有越來越多人投資的趨勢。國內可轉債的論文大部分都是研究公司發行可轉債具有那些優點，而在投資人角度研究可轉債的論文比較少。本研究針對投資可轉換公司債進行研究，設計可轉債的投資組合，並使用買入持有策略（buy-and-hold）建構可轉債投資的實證模型。此外，為探討可轉換公司債和市場不同類型的ETF 的投資績效差異，本文利用資本資產定價模型（CAPM）來評估可轉債、0050、0056、00919和00733的績效，以上幾種的ETF代表市場上熱門的市值型和股息型的ETF。實證結果顯示，可轉債投資組合的風險是比0050低接近三倍，可轉債和0050同樣存在超額報酬。此外，0056存在超額報酬，但是0056系統性風險比可轉債高3倍，證明0056有更強的波動。在比較可轉債投資組合和00733，發現00733的超額報酬不顯著，系統性風險比可轉債投資組合更高，所以本文認為可轉債投資組合比00733績效更好。此外，比較特別的是，研究發現溢價可轉債的投資組合的系統性風險更高，補充過往只研究折價可轉債。
Since the introduction of convertible bonds in Taiwan in 1985, there has been an increasing trend of investment in them. Most of the domestic research on convertible bonds focuses on the advantages of issuing convertible bonds from the company's perspective, while there is relatively less research from the investor's perspective. This study investigates the investment in convertible bonds, designs a convertible bond portfolio, and uses a buy-and-hold strategy to construct an empirical model for convertible bond investment. Additionally, to explore the performance differences between convertible bonds and various types of ETFs in the market, this study uses the Capital Asset Pricing Model (CAPM) to evaluate the performance of convertible bonds, and the ETFs 0050, 0056, 00919, and 00733, which represent popular market value and dividend ETFs. The empirical results show that the risk of the convertible bond portfolio is nearly three times lower than that of 0050, and both convertible bonds and 0050 have excess returns. Additionally, 0056 has excess returns but its systematic risk is three times higher than that of convertible bonds, proving that 0056 has stronger volatility. Comparing the convertible bond portfolio with 00733, it is found that the excess return of 00733 is not significant, and its systematic risk is higher than that of the convertible bond portfolio. Therefore, this study considers that the performance of the convertible bond portfolio is better than that of 00733. Furthermore, the study finds that the systematic risk of premium convertible bond portfolios is higher, which complements previous research that only studied discount convertible bonds.
參考文獻 楊朝成、陳宏銓和劉任昌（民95），「臺灣可轉換公司債市場異常報酬之研究」朝陽商管評論，第五卷，第二期，1-20。 Campbell, J. Y., Lo, A. W., MacKinlay, A. C., & Whitelaw, R. F. (1998). The econometrics of financial markets. Macroeconomic Dynamics, 2(4), 559-562. Del Viva, L., & El Hefnawy, M. (2020). Financing decisions: The case of convertible bonds. International Review of Financial Analysis, 67, 101393. Easley, D., Michayluk, D., O’Hara, M., & Putniņš, T. J. (2021). The active world of passive investing. Review of Finance, 25(5), 1433-1471. Elton, E. J., Gruber, M. J., & De Souza, A. (2019). Passive mutual funds and ETFs: Performance and comparison. Journal of banking & finance, 106, 265-275. Fama, E. F., & French, K. R. (1992). The Cross Section of Expected Stock Returns, Journal of Finance, 47 (2), 427d465.(1996): Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51. Jo, K., Choi, G., Jeong, J., & Ahn, K. (2023). Information flow among stocks, bonds, and convertible bonds. Plos one, 18(3), e0282964. Kim, H. J., & Han, S. H. (2019). Convertible bond announcement returns, capital expenditures, and investment opportunities: Evidence from Korea. Pacific-Basin Finance Journal, 53, 331-348.   Li, H., Ma, Q., & Sun, H. (2023, May). Portfolio Selection Effectiveness Based on Absolute Parity Premium: Evidence from Convertible Bond Factor. In 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023) Atlantis Press ,(24-38). Liao, Y., Huang, P., & Ni, Y. (2022). Convertible bond issuance volume, capital structure, and firm value. The North American Journal of Economics and Finance, 60, 101673. Shengji, D. (2023). The effect of convertible bonds on bond portfolio optimization. 2023 11th International Education, Economics, Social Science, Arts, Sports and Management Engineering Conference.
描述 碩士
國立政治大學
經濟學系
111258045
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111258045
資料類型 thesis
dc.contributor.advisor 王國樑<br>余威廷zh_TW
dc.contributor.advisor Wang, Kuo-Laing<br>Yu, Wei-Tingen_US
dc.contributor.author (Authors) 曾衍峯zh_TW
dc.contributor.author (Authors) Tsang, Hin-Fungen_US
dc.creator (作者) 曾衍峯zh_TW
dc.creator (作者) Tsang, Hin-Fungen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:38:42 (UTC+8)-
dc.date.available 5-Aug-2024 13:38:42 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:38:42 (UTC+8)-
dc.identifier (Other Identifiers) G0111258045en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152710-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 111258045zh_TW
dc.description.abstract (摘要) 台灣可轉換公司債自1985年引入以來，有越來越多人投資的趨勢。國內可轉債的論文大部分都是研究公司發行可轉債具有那些優點，而在投資人角度研究可轉債的論文比較少。本研究針對投資可轉換公司債進行研究，設計可轉債的投資組合，並使用買入持有策略（buy-and-hold）建構可轉債投資的實證模型。此外，為探討可轉換公司債和市場不同類型的ETF 的投資績效差異，本文利用資本資產定價模型（CAPM）來評估可轉債、0050、0056、00919和00733的績效，以上幾種的ETF代表市場上熱門的市值型和股息型的ETF。實證結果顯示，可轉債投資組合的風險是比0050低接近三倍，可轉債和0050同樣存在超額報酬。此外，0056存在超額報酬，但是0056系統性風險比可轉債高3倍，證明0056有更強的波動。在比較可轉債投資組合和00733，發現00733的超額報酬不顯著，系統性風險比可轉債投資組合更高，所以本文認為可轉債投資組合比00733績效更好。此外，比較特別的是，研究發現溢價可轉債的投資組合的系統性風險更高，補充過往只研究折價可轉債。zh_TW
dc.description.abstract (摘要) Since the introduction of convertible bonds in Taiwan in 1985, there has been an increasing trend of investment in them. Most of the domestic research on convertible bonds focuses on the advantages of issuing convertible bonds from the company's perspective, while there is relatively less research from the investor's perspective. This study investigates the investment in convertible bonds, designs a convertible bond portfolio, and uses a buy-and-hold strategy to construct an empirical model for convertible bond investment. Additionally, to explore the performance differences between convertible bonds and various types of ETFs in the market, this study uses the Capital Asset Pricing Model (CAPM) to evaluate the performance of convertible bonds, and the ETFs 0050, 0056, 00919, and 00733, which represent popular market value and dividend ETFs. The empirical results show that the risk of the convertible bond portfolio is nearly three times lower than that of 0050, and both convertible bonds and 0050 have excess returns. Additionally, 0056 has excess returns but its systematic risk is three times higher than that of convertible bonds, proving that 0056 has stronger volatility. Comparing the convertible bond portfolio with 00733, it is found that the excess return of 00733 is not significant, and its systematic risk is higher than that of the convertible bond portfolio. Therefore, this study considers that the performance of the convertible bond portfolio is better than that of 00733. Furthermore, the study finds that the systematic risk of premium convertible bond portfolios is higher, which complements previous research that only studied discount convertible bonds.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的與範圍 9 第三節 研究架構與流程 10 第二章 文獻回顧 12 第一節 公司可轉債文獻 12 第二節 投資ETF相關文獻 15 第三章 實證模型建立 16 第一節 實證模型 16 第二節 變數方向預測 17 第四章 資料說明與實證結果 20 第一節 資料說明 20 第二節 實證結果 22 第五章 結論與建議 29 參考文獻 31zh_TW
dc.format.extent 1505001 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111258045en_US
dc.subject (關鍵詞) 可轉換公司債zh_TW
dc.subject (關鍵詞) 資本資產定價模型zh_TW
dc.subject (關鍵詞) 異常報酬zh_TW
dc.subject (關鍵詞) Convertible Bondsen_US
dc.subject (關鍵詞) Capital Asset Pricing Modelen_US
dc.subject (關鍵詞) Abnormal Returnsen_US
dc.title (題名) 可轉債和ETFs投資組合績效比較zh_TW
dc.title (題名) Comparison of Performance Between Convertible Bonds and ETFs in Investment Portfolioen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 楊朝成、陳宏銓和劉任昌（民95），「臺灣可轉換公司債市場異常報酬之研究」朝陽商管評論，第五卷，第二期，1-20。 Campbell, J. Y., Lo, A. W., MacKinlay, A. C., & Whitelaw, R. F. (1998). The econometrics of financial markets. Macroeconomic Dynamics, 2(4), 559-562. Del Viva, L., & El Hefnawy, M. (2020). Financing decisions: The case of convertible bonds. International Review of Financial Analysis, 67, 101393. Easley, D., Michayluk, D., O’Hara, M., & Putniņš, T. J. (2021). The active world of passive investing. Review of Finance, 25(5), 1433-1471. Elton, E. J., Gruber, M. J., & De Souza, A. (2019). Passive mutual funds and ETFs: Performance and comparison. Journal of banking & finance, 106, 265-275. Fama, E. F., & French, K. R. (1992). The Cross Section of Expected Stock Returns, Journal of Finance, 47 (2), 427d465.(1996): Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51. Jo, K., Choi, G., Jeong, J., & Ahn, K. (2023). Information flow among stocks, bonds, and convertible bonds. Plos one, 18(3), e0282964. Kim, H. J., & Han, S. H. (2019). Convertible bond announcement returns, capital expenditures, and investment opportunities: Evidence from Korea. Pacific-Basin Finance Journal, 53, 331-348.   Li, H., Ma, Q., & Sun, H. (2023, May). Portfolio Selection Effectiveness Based on Absolute Parity Premium: Evidence from Convertible Bond Factor. In 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023) Atlantis Press ,(24-38). Liao, Y., Huang, P., & Ni, Y. (2022). Convertible bond issuance volume, capital structure, and firm value. The North American Journal of Economics and Finance, 60, 101673. Shengji, D. (2023). The effect of convertible bonds on bond portfolio optimization. 2023 11th International Education, Economics, Social Science, Arts, Sports and Management Engineering Conference.zh_TW