Convertible Bonds is the most important way to collect capital for a corporate, however the design of Convertible Bonds issue condition is more complicate and the valuing is more difficult. Six models have been used for valuing Convertible Bonds: (1) Black-Scholes Model (2) founded on LYON Model, solved by Binomial Model (3) Numerical Method (4) One State Variable / Two State Variable Finite Difference Method; (5) Contingent Claim Analysis; (6) Artificial Neural Networks Method. The results of the empirical analysis present the theoretical price deviates form market price. In the dissertation, I codify convertible bonds valuing models for this research afterward. Traditional approach is on the assumption that investors have no preference and frictionless market, however, such as: risk-less interest rate¡Bcash dividend¡Bexercise price¡Bunderwriting asset and fluctuant of investment yield¡Bthe conversion strategy of investment¡Bput strategy¡Boptimal call strategy of bonded corporation will affect the valuing of derivative securities. In consequence the issue condition of convertible bonds is more complicate, we would like recommending the Longstaff & Schwartz model (1995) to derive the theoretical value of convertible bonds more effectively. Longstaff & Schwartz (1995) develop the simple method to value risky bonds, which model can value the convertible bonds consist of default risk and interest risk. This model can reflect the default risk, and show two equations for fixed interest and floating interest to value the convertible bonds in the other same conditions.

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Abstract This paper examined the discounting for initial public offering of convertible bonds. We got the samples in Taiwan since 1990 to 2002 and surveyed there was the existing of excess return or not. In addition, we also try to find some variables that are relative to the excess return. After testing and verifying the samples, we had some conclusion¡G 1.There is excess return for the initial public offering of convertible bonds. It means when companies issued the convertible bonds, they discounted the issuing price purposely by some conditions such like coupon rate or conversion price. 2.When we used multi-factors regression to verify which factors are relative to initial return, the factors ¡§the credit ranking of issuing company¡¨ and ¡§trade market¡¨ had powerful influence to the initial return. 3.When we used t-test to verify initial return, we found that if separating the samples with some factors like ¡§company ages¡¨¡B¡§trade market¡¨¡B¡§amount of assets¡¨¡B¡§issuing year¡¨, the initial return had much difference between them.

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The objects this thesis want to study can be separated into two parts. The first part is investigating why firms choose to issue convertible bond. We use the public financial information and macroeconomics factors to establish a security choice model. In this security choice model, we can understand the motivation of issuance and investors¡¦ expectation of security type (equity-like or debt-like) which will be issued. The second part of this thesis is about convertible bond issuance announcement effect. We want to know if the public information and the pre-issuance security type expectation would affect the announcement effect. Following is the conclusions: (1) We find that less information asymmetry, less agency cost, more operating risk will lead to higher probability of equity-like security issuance. (2) Most convertible bonds issued in Taiwan are more debt-like. (3) Equity-like convertible bonds issuances have negative announcement effect. The issuances different from expectation will lead to more negative price effect, especially those debt-like firm but issue equity-like security. (4) The variables that can explain security choice may not explain the announcement price effect.

Abstract Though there were many international paper on the European Convertible Bond¡]ECB¡^. Most of them focus on the electronic industry. Financial industry was excluded. A financial holding company made the good use of international source by issuing ECB overseas under the pressure of achieving internationalizes. The purpose of this study is to explore the distinctions of the financial holding companies who have announced issuing European Convertible Bond¡]ECB¡^during 2002 to 2003. To identify the financial character and evaluate the influence on the companies¡¦share price followed by the issuance of ECB from the statistic viewpoint of financial analysis and the dynamic viewpoint of the impacts on the company¡¦s value. There are two parts of the thesis. The first part is about the effect of the financial holding company¡¦s value for their issuing ECB by using the event study. Using probit and logic regression analysis to examine the effect of various financial factors in decision-making process of issuing ECB abroad did the second part. The financial character of financial holding companies with ECB issuance have significant differences in compared to those who have not yet issued ECB. Conclusion: 1.With¡¨Event study¡¨the results shown that there is no significant effect in the short term but cumulative average abnormal return is negative in the long term on the announcement data in exiting shareholders stake of issuing ECB. 2.At 5% significance level¡Aempirical results shown that listed financial holding companies with ECB issuance have significant differences in debt ratio, EPS and firm size compared to the companies who have not yet issued ECB.

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The Company often enlarge its scale to maintain its competitive advantage by investing. When company lacks of internal funds, it will raise funds from outside. The purpose of this study is to explore how company chooses financial instruments and influence of the announcement effect on stock price. This study analyzes Taiwan listed company by the the sample period from 1993 to 2005. There are two parts of the thesis. The first is the factor of choosing certain financial instrument. We use logistic regression model, both binary and multinomial, to figure it out. The second is the influence of the announcement effect has on the stock price. We use event study to find whether abnormal return exists. Conclusion: 1. If the company¡¦s size is larger, it will choose debt to raise funds. 2. If R&D expense relative to net sales, debt ratio, the proportion of intangible asset are higher, the company will be tend to raise funds by choosing convertible bond 3. If the stock price is overvalued, the company will choose stock. 4. Taiwan listed company will experience negative stock return whatever it chooses stock, debt, or convertible bond.