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| 研究生： |
高政修 Gao, Jheng-Siou |
|---|---|
| 論文名稱： |
投資者需求對可轉債證券設計及財富效果之影響 |
| 指導教授： |
岳夢蘭
Yueh, Meng-Lan |
| 口試委員: |
盧敬植
Lu, Ching-Chih 賴弘能 Lai, Hung-Neng |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2019 |
| 畢業學年度： | 108 |
| 語文別： | 中文 |
| 論文頁數： | 30 |
| 中文關鍵詞： | 投資者需求 、可轉債 、異常報酬 |
| 外文關鍵詞： | Investor demand |
| DOI URL： | http://doi.org/10.6814/NCCU201901192 |
| 相關次數： | 點閱：286 下載：6 |
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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.
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
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