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題名 信用風險下可轉換公司債之評價
Pricing Convertible Bonds with Credit Risk作者 紀景耀
Chi, Ching-Yao貢獻者 廖四郎
Liao, Szu-Lang
紀景耀
Chi, Ching-Yao關鍵詞 可轉換公司債
信用風險
Convertible Bonds
Credit Risk日期 2000 上傳時間 31-Mar-2016 16:36:21 (UTC+8) 摘要 本研究主要著重信用風險對於可轉換公司債評價之影響。因可轉換公司債兼具股權與債權之特性，使得它在某些時候亦與一般債權一樣面臨公司無法完全清償的風險。本文的研究架構主要分為兩項：以公司資產價值及以普通股股價為可轉換公司債之標的資產，並將信用風險的設定融入模型之中。在實證部份，則以茂矽二與新纖二這兩檔可轉換公司債為樣本。當以公司價值做為標的時，可再區分為Merton模型的設定或是首次通過時間模型(First Passage Time Model)的設定，此二者並無明顯的差異，主要原因來自於可轉換公司債同時具有債券及股票的性質，公司提前破產與否對可轉換公司債的影響並不大。此外，當以公司普通股股價做為標的時，可再分為以信用價差(credit spread)與Jarrow and Turnbull (1995)來評價其價值，此時，需將不同的信用品質分離出來，給予不同的折現率，當股價處於深度價外時，可轉換公司債對信用風險的敏感度較高。若再以理論價值與市價做比較，則可發現無論是茂矽二或新纖二的理論價值皆高於市價，其中一部份來自於模型設定已將部份發行條款予以簡化所造成的誤差，更重要的原因乃是可轉換公司債的市場流動性不足，造成效率性低落所導致。 參考文獻 [1]. Asquith, P. and D. W. Mullins, 1991, Convertible debt: Corporate call policy and voluntary conversion, Journal of Finance 46, 1273-1289. [2]. Black, F. and J.C. Cox, 1976, Valuing corporate securities: Some effects of bond indenture provisions, Journal of Finance 31, 351-367. [3]. Brennan, M. J., and E. S. Schwartz, 1977, Convertible bonds: Valuation and optimal strategies for call and conversion, Journal of Finance 32, 1699-1715. [4]. Brennan, M.J., and E.S. Schwartz, 1980, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis 15, 907-929. [5]. Brennan, M.J., and E.S. Schwartz, 1988, The case for convertibles, Journal of Applied Corporate Finance, 55-64. [6]. Carayannopoulos, P. 1996, Valuing convertible bonds under the assumption of stochastic interest rates, Quarterly Journal of Business and Economics 35, 17-31. [7]. Constantinides, G.M., and B.D. Grundy, Optimal investment with stock repurchase and financing as signals, Review of Financial Studies 2, 445-465. [8]. Davidson, W.N., J.L. Glascock, and T.V. Schwarz, 1995, Signaling with convertible debt, Journal of Financial and Quantitative Analysis 30, 425-440. [9]. Essig, S., 1991, Convertible securities and capital structure determinants, Ph.D. Dissertation, Graduate School of Business, University of Chicago, Chicago, IL. [10]. Garman, M. and M. Klass, 1980, On the estimation of security price volatilities from historical data, Journal of Business 53, 67-78. [11]. Green, R.C., 1984, Investment incentives, debt, and warrants, Journal of Financial Economics 13, 115-136. [12]. Harris, M., and A. Raviv, 1985, A sequential signaliing model of convertible debt call policy, Journal of Finance 40, 1263-1281. [13]. Hilliard, J. E., Schwartz, A. L., and Tucker, A. L., 1996, Bivariate binomial options pricing with generalized interest rate processes, Journal of Financial Research 19, 585-602. [14]. Ho, T. S. Y., and D. M. Pfeffer, 1996, Convertible bonds: models, value attribution, and analytics, Financial Analysts Journal 52, 35-44. [15]. Ingersoll, J. E., 1977a, A contingent-claims valuation of convertible bonds, Journal of Financial Economics 4, 289-322. [16]. Ingersoll, J. E., 1977b, An examination of corporate call policies on convertible securities, Journal of Finance 32, 463-478. [17]. Jaffee, D., and A. Shleifer, 1990, Costs of financial distress, delayed calls of convertible bonds, and the role of investment banks, Journal of Business 63, S107-S123. [18]. Jarrow, R.A., D. Lando, and S.M. Turnbull, 1997, A Markov model for the term structure of credit risk spreads, Review of Financial Studies 10, 481-523. [19]. Jarrow, R.A., S.M. Turnbull, 1995, Pricing derivatives on financial securities subject to credit risk, Journal of Finance 50, 53-85. [20]. Jensen, M.C., and W.H. Meckling, 1976, Theory of the firm: Managerial behavior, agency costs and ownership structure, Journal of Financial Economics 3, 305-360. [21]. Jensen, M.C., The agency costs of free cash flow, corporate finance and takeovers. American Economic Review 76, 323-329. [22]. Kim, Y.O., 1990, Informative conversion ratios: A signaling approach, Journal of Financial and Quantitative Analysis 25, 229-243. [23]. King, R., 1986, Convertible bond valuation: An empirical test, Journal of Financial Research 9, 53-69. [24]. Lewis, C.M., R.J. Rogalski, and J.K. Seward, 1998, Agency problems, information asymmetries, and convertible debt security design, Journal of Financial Intermediation 7, 32-59. [25]. Mayers, D., 1998, Why firms issue convertible bonds: The matching of financial and real investment options, Journal of Financial Economics 47, 83-102. [26]. McConnell, J. J., and E. S. Schwartz, 1986, LYON Taming, Journal of Finance 41, 561-577. [27]. Merton, R. C., 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science 4, 141-183. [28]. Merton, R. C., 1974, On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449-470. [29]. Miller, M.H., and K. Rock, 1985, Dividend policy under asymmetric information, Journal of Finance 40, 1031-1051. [30]. Myers, S.C., and N.S. Majluf, 1984, Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics 13, 187-221. [31]. Nyborg, K. G., 1996, The use and pricing of convertible bonds, Applied Mathematical Finance 3, 167-190. [32]. Ofer, A., and A. Natarajan, 1987, Convertible call policies: An empirical analysis of an information-signalling hypothesis, Journal of Financial Economics, 187-221. [33]. Stein, J.C., 1992, Convertible bonds as backdoor equity financing, Journal of Financial Economics 32, 3-21. [34]. Tsiveriotis, K., and C. Fernandes, 1998, Valuing convertible bonds with credit risk, Journal of Fixed Income 8, 95-102. 描述 碩士
國立政治大學
金融研究所資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002083 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu-Lang en_US dc.contributor.author (Authors) 紀景耀 zh_TW dc.contributor.author (Authors) Chi, Ching-Yao en_US dc.creator (作者) 紀景耀 zh_TW dc.creator (作者) Chi, Ching-Yao en_US dc.date (日期) 2000 en_US dc.date.accessioned 31-Mar-2016 16:36:21 (UTC+8) - dc.date.available 31-Mar-2016 16:36:21 (UTC+8) - dc.date.issued (上傳時間) 31-Mar-2016 16:36:21 (UTC+8) - dc.identifier (Other Identifiers) A2002002083 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83335 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description.abstract (摘要) 本研究主要著重信用風險對於可轉換公司債評價之影響。因可轉換公司債兼具股權與債權之特性，使得它在某些時候亦與一般債權一樣面臨公司無法完全清償的風險。本文的研究架構主要分為兩項：以公司資產價值及以普通股股價為可轉換公司債之標的資產，並將信用風險的設定融入模型之中。在實證部份，則以茂矽二與新纖二這兩檔可轉換公司債為樣本。當以公司價值做為標的時，可再區分為Merton模型的設定或是首次通過時間模型(First Passage Time Model)的設定，此二者並無明顯的差異，主要原因來自於可轉換公司債同時具有債券及股票的性質，公司提前破產與否對可轉換公司債的影響並不大。此外，當以公司普通股股價做為標的時，可再分為以信用價差(credit spread)與Jarrow and Turnbull (1995)來評價其價值，此時，需將不同的信用品質分離出來，給予不同的折現率，當股價處於深度價外時，可轉換公司債對信用風險的敏感度較高。若再以理論價值與市價做比較，則可發現無論是茂矽二或新纖二的理論價值皆高於市價，其中一部份來自於模型設定已將部份發行條款予以簡化所造成的誤差，更重要的原因乃是可轉換公司債的市場流動性不足，造成效率性低落所導致。 zh_TW dc.description.tableofcontents 封面頁 證明書 致謝詞 論文摘要 目錄 表目錄 圖目錄 第一章 緒論 第一節 研究動機與目的 第二節 研究架構 第二章 文獻探討 第一節 可轉換公司債的發行動機 第二節 可轉換公司債的贖回政策 第三節 具信用風險之債券評價模型 (一) 公司價值模型(Firm Value Model) (二) 違約強度模型(Intensity Model) 第四節 可轉換公司債之評價模型 第三章 評價模型之設定 第一節 以公司價值為可轉換公司債之標的資產 (一) 利用Merton (1974)模型之信用風險設定 (二) 利用首次通過時間模型之信用風險設定 第二節 以普通股股價為標的資產 (一) 以信用價差評價信用風險 (二) 以Jarrow and Turnbull (1995)模型評價信用風險 第四章 實證結果與分析 第一節 研究標的之發行條件 第二節 以公司價值為可轉換公司債之標的資產 第三節 以普通股股價為可轉換公司債之標的資產 第五章 結論與建議 第一節 研究結論 第二節 後續研究建議 附錄 附錄一 隨機利率模型之應用 附錄二 在不同模型下可轉換公司債價值列表 參考文獻 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002083 en_US dc.subject (關鍵詞) 可轉換公司債 zh_TW dc.subject (關鍵詞) 信用風險 zh_TW dc.subject (關鍵詞) Convertible Bonds en_US dc.subject (關鍵詞) Credit Risk en_US dc.title (題名) 信用風險下可轉換公司債之評價 zh_TW dc.title (題名) Pricing Convertible Bonds with Credit Risk en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1]. Asquith, P. and D. W. Mullins, 1991, Convertible debt: Corporate call policy and voluntary conversion, Journal of Finance 46, 1273-1289. [2]. Black, F. and J.C. Cox, 1976, Valuing corporate securities: Some effects of bond indenture provisions, Journal of Finance 31, 351-367. [3]. Brennan, M. J., and E. S. Schwartz, 1977, Convertible bonds: Valuation and optimal strategies for call and conversion, Journal of Finance 32, 1699-1715. [4]. Brennan, M.J., and E.S. Schwartz, 1980, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis 15, 907-929. [5]. Brennan, M.J., and E.S. Schwartz, 1988, The case for convertibles, Journal of Applied Corporate Finance, 55-64. [6]. Carayannopoulos, P. 1996, Valuing convertible bonds under the assumption of stochastic interest rates, Quarterly Journal of Business and Economics 35, 17-31. [7]. Constantinides, G.M., and B.D. Grundy, Optimal investment with stock repurchase and financing as signals, Review of Financial Studies 2, 445-465. [8]. Davidson, W.N., J.L. Glascock, and T.V. Schwarz, 1995, Signaling with convertible debt, Journal of Financial and Quantitative Analysis 30, 425-440. [9]. Essig, S., 1991, Convertible securities and capital structure determinants, Ph.D. Dissertation, Graduate School of Business, University of Chicago, Chicago, IL. [10]. Garman, M. and M. Klass, 1980, On the estimation of security price volatilities from historical data, Journal of Business 53, 67-78. [11]. Green, R.C., 1984, Investment incentives, debt, and warrants, Journal of Financial Economics 13, 115-136. [12]. Harris, M., and A. Raviv, 1985, A sequential signaliing model of convertible debt call policy, Journal of Finance 40, 1263-1281. [13]. Hilliard, J. E., Schwartz, A. L., and Tucker, A. L., 1996, Bivariate binomial options pricing with generalized interest rate processes, Journal of Financial Research 19, 585-602. [14]. Ho, T. S. Y., and D. M. Pfeffer, 1996, Convertible bonds: models, value attribution, and analytics, Financial Analysts Journal 52, 35-44. [15]. Ingersoll, J. E., 1977a, A contingent-claims valuation of convertible bonds, Journal of Financial Economics 4, 289-322. [16]. Ingersoll, J. E., 1977b, An examination of corporate call policies on convertible securities, Journal of Finance 32, 463-478. [17]. Jaffee, D., and A. Shleifer, 1990, Costs of financial distress, delayed calls of convertible bonds, and the role of investment banks, Journal of Business 63, S107-S123. [18]. Jarrow, R.A., D. Lando, and S.M. Turnbull, 1997, A Markov model for the term structure of credit risk spreads, Review of Financial Studies 10, 481-523. [19]. Jarrow, R.A., S.M. Turnbull, 1995, Pricing derivatives on financial securities subject to credit risk, Journal of Finance 50, 53-85. [20]. Jensen, M.C., and W.H. Meckling, 1976, Theory of the firm: Managerial behavior, agency costs and ownership structure, Journal of Financial Economics 3, 305-360. [21]. Jensen, M.C., The agency costs of free cash flow, corporate finance and takeovers. American Economic Review 76, 323-329. [22]. Kim, Y.O., 1990, Informative conversion ratios: A signaling approach, Journal of Financial and Quantitative Analysis 25, 229-243. [23]. King, R., 1986, Convertible bond valuation: An empirical test, Journal of Financial Research 9, 53-69. [24]. Lewis, C.M., R.J. Rogalski, and J.K. Seward, 1998, Agency problems, information asymmetries, and convertible debt security design, Journal of Financial Intermediation 7, 32-59. [25]. Mayers, D., 1998, Why firms issue convertible bonds: The matching of financial and real investment options, Journal of Financial Economics 47, 83-102. [26]. McConnell, J. J., and E. S. Schwartz, 1986, LYON Taming, Journal of Finance 41, 561-577. [27]. Merton, R. C., 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science 4, 141-183. [28]. Merton, R. C., 1974, On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449-470. [29]. Miller, M.H., and K. Rock, 1985, Dividend policy under asymmetric information, Journal of Finance 40, 1031-1051. [30]. Myers, S.C., and N.S. Majluf, 1984, Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics 13, 187-221. [31]. Nyborg, K. G., 1996, The use and pricing of convertible bonds, Applied Mathematical Finance 3, 167-190. [32]. Ofer, A., and A. Natarajan, 1987, Convertible call policies: An empirical analysis of an information-signalling hypothesis, Journal of Financial Economics, 187-221. [33]. Stein, J.C., 1992, Convertible bonds as backdoor equity financing, Journal of Financial Economics 32, 3-21. [34]. Tsiveriotis, K., and C. Fernandes, 1998, Valuing convertible bonds with credit risk, Journal of Fixed Income 8, 95-102. zh_TW
