台灣可轉換公司債之發行、轉換與公司經營績效

The Conversion of Convertible Bonds and the Issuers' Performance-Evidence from TSE and OTC Firms in Taiwan

10.6985/TBFQ.201012.0105

孫梅瑞(Mei-Jui Sun)；陳珈淇(Jia-Chi Chen)

可轉換公司債 ； 事件研究法 ； 轉換執行率 ； 長期報酬 ； 經營績效 ； Convertible Bonds ； Event Study ； Conversion Rate ； Long-term Return ； Operating Performance

台灣金融財務季刊

11卷4期（2010 / 12 / 01）

105 - 132

繁體中文

本研究針對臺灣企業發行可轉換公司債（Convertible Bond, 以下簡稱CB）的融資活動，檢視自1997年至2005年九年間，其相關特性如預期轉換機率、轉換溢價率、發行規模及匯率變動率等因素與公司短期股價及長期股價間之關係，並檢驗於發行前後營運績效的差異。實證結果發現，樣本公司在發行宣告前後均有負的累積異常報酬，且可轉換公司債發行規模及計算出之預期轉換機率分別都對發行宣告前後累積異常報酬有正向顯著的影響；在長期價格效果方面，則發現具較高轉換溢價率的可轉換公司債，對普通股三年買進持有報酬有顯著正向影響；而在營運績效方面，企業獲利能力及企業經營能力都在可轉換公司債發行後一到三年有顯著變差的情況發生；於實際轉換執行率的部份，本研究比較預期轉換機率與實際轉換執行率間是否具有顯著相關，但實證結果顯示此兩者並無絕對相關之關係存在。而值得注意的是，普通股三年買進持有報酬與轉換執行率間的正向相關，的確可以代表投資人會藉由觀察普通股長期報酬的高低來決定該標的公司普通股是否值得其轉換投資。

This study investigates the impact on the performance of Taiwan's listed issuers and the factors affecting the performance of issuing Convertible Bonds. The influential factors are the expected conversion rate, the conversion premium, the issuing size, the change of exchange rates and etc... The results show that the issuing companies have negative cumulative abnormal return during the announcement periods. The issuing size of Convertible Bond and the expected conversion rate influence accumulative abnormal return CAR (-4, 0) and CAR (1, 5) respectively. As for long-term performance, we find that convertible bonds which have higher conversion premium will have positive impact with TRi (buy and hold return for 3 years). The return of asset , operating profit margin, return of equity and asset turnover of the issuers all become worse after the convertible bonds issued. Regarding the conversion of the convertible bonds, there’s no obvious relationship between the actual conversion rate and expected conversion rate. TRi is positively correlated with the actual conversion rate.

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