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題名 論臺灣海外可轉換公債之設計與外匯避險問題
On the designing and foreign exchange hedging issues of Taiwanese euroconvertibles
作者 程裕城
Cheng, Yu-Cheng
貢獻者 吳啟銘
Wu, Qi-Ming
程裕城
Cheng, Yu-Cheng
關鍵詞 海外可轉換公司債
證券設計
發行動機
外匯避險
財務工程
二因子模式
Euroconvertibles
security designa
rationale
foreign exchange hedging
financial engineering
two-factor model
日期 1995
上傳時間 28-Apr-2016 15:07:17 (UTC+8)
摘要 本文首先利用證券設計的原理來探索臺灣發行海外可轉換公司債的動機同時也探討這些發行公司究竟該不該積極地管理其債券風險
The thesis first examines the rationales of Taiwanese Euroconvertibles.Then, the foreign exchange hedging issue is explored for the issuers.
參考文獻 AdJer, M. and B. Dumas, 1984, "Exposure to Currency Risk," Financial Management 13, pp.41-50.
Brennan, M. and E. Schwartz, 1977, "Conveltible Bond: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance (December), pp. 1699-1715.
Brennan, M. and E. Schwaltz, 1982, "The Case for Conveltibles," Chase Financial Qualterly 1, pp. 27-46.
Brennan, M. and A. Kraus, 1987, "Efficient Financing under Asymmetric Information," Journal of Finance 42, pp. 1225-44.
Chen, Mu-Tsai, 1992, "The Financial System and Financial Policies of the Republic of China on Taiwan," Financial Reference Series 17 (March), (MiniStlY of Finance, Taiwan,
RO.C.).
Chen, Po-Chao, 1995, "Euroconvertibles: Sweetner or Toxi.n," (in Chinese) Taiwan Stock Outlook-1995 (May), pp. 20-22.
Chew, Jr. D.H., 1993, The New Corporate Finance Where Theory Meets Practice, (McGrawHill,Inc.)
Copeland, T.E. and J.F. Weston, 1992, Financial Theory and Corporate Policy, 3rd ed., (Addison-Wesley Publishing Company, Inc.)
Dufey, G. and S. Srinivasulu, 1983, "The Case for Corporate Management of Foreign Exchange Risk," Financial Management, Vol. 12, No.4, pp. 54-62.
Eckbo, E., 1986, "The Valuation Effect of Corporate Debt Offerings," Journal of Financial Economics 15, pp. 119-151.
Fabozzi, F.J. and T.D. Fabozzi, 1995, The Handbook of Fixed Income Securities, 4th ed. , (Irwin).
Finnerty, ID., 1993, "Interpreting SIGNs," Financial Management, Vol. 22. No.2, pp. 35-47.
Francis, IC., W.W. Toy and IG. Whittaker, 1995, The Handbook of Equity Derivatives, (Irwin).
Galitz, L.,1994, Financial Engineering, (Pitman Publishing, London).
Gibbons, M., 1982, "Multivariate Tests of Financial Models: A New Approach," Journal of Financial Economics 10 (January), pp. 3-27.
Hsiao, Teng-Yao, 1994, " Overview to the issuance of the Euroconveliible of Stock-Listed Finn," (in Chinese) Security Management (July), pp. 42-57.
Hlmg, Mao-Wei, 1995, "Insights into Corporate Finance: Hedging First," (in Chinese) Wealth Magazine157 (April), pp. 288-29l.
Jensen, M.C. and W. Meckling 1976, "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," Journal of Financial Economics 3, pp. 306-360.
Jorion, P. 1991, "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis 26, 3 (September), pp. 363-376.
Kaufold, ll. and Smirlock, M., 1986, "Managing Corporate Exchange and Interest Rate Exposure," Financial Management 15,3, pp. 64-72.
Kerkvliet, J. and M.ll. Moffett, 1991, "The Hedging of an Uncetiain Future Foreign Currency Cash Flow," Journal of Financial and Quantitative Analysis 26, 4 (December), pp. 565-579.
Kmenta, J. , 1990, Elements of Econometrics, 2nd ed., (Macmillan Publishing Company, NewYork).
Lee, Tsun-Siou, and Shu-Wan Chang, 1994, " The Issuance of convertibles: Factors Considered and its Relation to the Finn`s Value," (in Chinese) Security Market Development Quatierly 22 (March). pp. 279-305.
Lin, Chiang-Liang, 1995, "On the Financial Quality of the Companies Issuing Convertible Bonds," (in Chinese) Master Thesis, National Chengchi University.
Lin, Ching-Hua, 1995, "Something beyond the Opening to Foreign Investors: A Note on the Influence of Euroconvertibles on the Domestic Stock Market," (in Chinese) Capital Securities Journal Weekly, Issue 241 (March).
Marshall, J.F. and VK Bansal 1992, Financial Engineering, (New York Institute of Finance, New York, New York) .
. Mishra, B and M.P. Narayanan, 1991, "On the Design of Convertible Bond," Working Paper, The University of Michigan.
Ross, S.A., R.W. Westerfield, and I.F. Jaffe, 1993, Corporate Finance, 3rd ed . (Irwin, Homewood, Illinois).
Stulz, R.M., "Options on the Minimum and Maximum of Two Assets," Journal of Financial Economics 10, 1982, pp. 161-185.
描述 碩士
國立政治大學
財務管理研究所
83357006
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003000
資料類型 thesis
dc.contributor.advisor 吳啟銘zh_TW
dc.contributor.advisor Wu, Qi-Mingen_US
dc.contributor.author (Authors) 程裕城zh_TW
dc.contributor.author (Authors) Cheng, Yu-Chengen_US
dc.creator (作者) 程裕城zh_TW
dc.creator (作者) Cheng, Yu-Chengen_US
dc.date (日期) 1995en_US
dc.date.accessioned 28-Apr-2016 15:07:17 (UTC+8)-
dc.date.available 28-Apr-2016 15:07:17 (UTC+8)-
dc.date.issued (上傳時間) 28-Apr-2016 15:07:17 (UTC+8)-
dc.identifier (Other Identifiers) B2002003000en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87548-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 83357006zh_TW
dc.description.abstract (摘要) 本文首先利用證券設計的原理來探索臺灣發行海外可轉換公司債的動機同時也探討這些發行公司究竟該不該積極地管理其債券風險zh_TW
dc.description.abstract (摘要) The thesis first examines the rationales of Taiwanese Euroconvertibles.Then, the foreign exchange hedging issue is explored for the issuers.en_US
dc.description.tableofcontents Abstract 1
I.Introduction 3
II.Literature Review 4
1.On the Design of Convertible Bonds 4
2.Pricing the Exchange Rate Risk 9
III. On the Design of Taiwanese Euroconvertible 10
1.An Overview to the Taiwanese Euroconvertible Market 10
2.Market Background 13
3.Characteristics in Taiwan’s Euroconvertibles 16
4.More about the Engineering of the Euroconvertible 18
4.1Beliefs of academic researchers 18
4.2Beliefs of practitioners 19
4.2Synergy of the Euroconvertible 21
5.Methodology to Explore the Rationales 22
6.Data Sourees 26
7.Results 29
8.Conclusions 32
IV.Breakeven Analysis 33
1.Preliminaries 33
2.Cost of Capital from the Issuer’s Perspective 36
3.Break-even Scenarios 39
V.The Issues of Foreign Exchange Hedging 47
1.Two-factor Model 47
2.Methodology 48
3.Data Structure 51
4.Empirical Results 53
5.Conclusions 54
VI.Summary and Future Studies 55
References 56		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003000en_US
dc.subject (關鍵詞) 海外可轉換公司債zh_TW
dc.subject (關鍵詞) 證券設計zh_TW
dc.subject (關鍵詞) 發行動機zh_TW
dc.subject (關鍵詞) 外匯避險zh_TW
dc.subject (關鍵詞) 財務工程zh_TW
dc.subject (關鍵詞) 二因子模式zh_TW
dc.subject (關鍵詞) Euroconvertiblesen_US
dc.subject (關鍵詞) security designaen_US
dc.subject (關鍵詞) rationaleen_US
dc.subject (關鍵詞) foreign exchange hedgingen_US
dc.subject (關鍵詞) financial engineeringen_US
dc.subject (關鍵詞) two-factor modelen_US
dc.title (題名) 論臺灣海外可轉換公債之設計與外匯避險問題zh_TW
dc.title (題名) On the designing and foreign exchange hedging issues of Taiwanese euroconvertiblesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) AdJer, M. and B. Dumas, 1984, "Exposure to Currency Risk," Financial Management 13, pp.41-50.
Brennan, M. and E. Schwartz, 1977, "Conveltible Bond: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance (December), pp. 1699-1715.
Brennan, M. and E. Schwaltz, 1982, "The Case for Conveltibles," Chase Financial Qualterly 1, pp. 27-46.
Brennan, M. and A. Kraus, 1987, "Efficient Financing under Asymmetric Information," Journal of Finance 42, pp. 1225-44.
Chen, Mu-Tsai, 1992, "The Financial System and Financial Policies of the Republic of China on Taiwan," Financial Reference Series 17 (March), (MiniStlY of Finance, Taiwan,
RO.C.).
Chen, Po-Chao, 1995, "Euroconvertibles: Sweetner or Toxi.n," (in Chinese) Taiwan Stock Outlook-1995 (May), pp. 20-22.
Chew, Jr. D.H., 1993, The New Corporate Finance Where Theory Meets Practice, (McGrawHill,Inc.)
Copeland, T.E. and J.F. Weston, 1992, Financial Theory and Corporate Policy, 3rd ed., (Addison-Wesley Publishing Company, Inc.)
Dufey, G. and S. Srinivasulu, 1983, "The Case for Corporate Management of Foreign Exchange Risk," Financial Management, Vol. 12, No.4, pp. 54-62.
Eckbo, E., 1986, "The Valuation Effect of Corporate Debt Offerings," Journal of Financial Economics 15, pp. 119-151.
Fabozzi, F.J. and T.D. Fabozzi, 1995, The Handbook of Fixed Income Securities, 4th ed. , (Irwin).
Finnerty, ID., 1993, "Interpreting SIGNs," Financial Management, Vol. 22. No.2, pp. 35-47.
Francis, IC., W.W. Toy and IG. Whittaker, 1995, The Handbook of Equity Derivatives, (Irwin).
Galitz, L.,1994, Financial Engineering, (Pitman Publishing, London).
Gibbons, M., 1982, "Multivariate Tests of Financial Models: A New Approach," Journal of Financial Economics 10 (January), pp. 3-27.
Hsiao, Teng-Yao, 1994, " Overview to the issuance of the Euroconveliible of Stock-Listed Finn," (in Chinese) Security Management (July), pp. 42-57.
Hlmg, Mao-Wei, 1995, "Insights into Corporate Finance: Hedging First," (in Chinese) Wealth Magazine157 (April), pp. 288-29l.
Jensen, M.C. and W. Meckling 1976, "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," Journal of Financial Economics 3, pp. 306-360.
Jorion, P. 1991, "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis 26, 3 (September), pp. 363-376.
Kaufold, ll. and Smirlock, M., 1986, "Managing Corporate Exchange and Interest Rate Exposure," Financial Management 15,3, pp. 64-72.
Kerkvliet, J. and M.ll. Moffett, 1991, "The Hedging of an Uncetiain Future Foreign Currency Cash Flow," Journal of Financial and Quantitative Analysis 26, 4 (December), pp. 565-579.
Kmenta, J. , 1990, Elements of Econometrics, 2nd ed., (Macmillan Publishing Company, NewYork).
Lee, Tsun-Siou, and Shu-Wan Chang, 1994, " The Issuance of convertibles: Factors Considered and its Relation to the Finn`s Value," (in Chinese) Security Market Development Quatierly 22 (March). pp. 279-305.
Lin, Chiang-Liang, 1995, "On the Financial Quality of the Companies Issuing Convertible Bonds," (in Chinese) Master Thesis, National Chengchi University.
Lin, Ching-Hua, 1995, "Something beyond the Opening to Foreign Investors: A Note on the Influence of Euroconvertibles on the Domestic Stock Market," (in Chinese) Capital Securities Journal Weekly, Issue 241 (March).
Marshall, J.F. and VK Bansal 1992, Financial Engineering, (New York Institute of Finance, New York, New York) .
. Mishra, B and M.P. Narayanan, 1991, "On the Design of Convertible Bond," Working Paper, The University of Michigan.
Ross, S.A., R.W. Westerfield, and I.F. Jaffe, 1993, Corporate Finance, 3rd ed . (Irwin, Homewood, Illinois).
Stulz, R.M., "Options on the Minimum and Maximum of Two Assets," Journal of Financial Economics 10, 1982, pp. 161-185.		zh_TW