本論文以事件研究法之市場模式，實證研究公司內部關係人或大股東，在可轉換公司債掛牌前是否刻意壓低股價，而在可轉換公司掛牌後，是否有拉抬股價的行為，使特定人藉由認購可轉換公司債而獲得豐厚的報酬。依實證結果發展出投資策略，給予一般市場投資人或小股東，在無法透過詢圈制度取得可轉換公司債的認購機會下，能依投資策略進行股票投資，以獲得較佳的報酬。另外，本研究從現行會計報導對可轉換公司債資訊揭露提出建議，使投資人從財報中清楚了解發行公司的信用風險。
本研究的實證對象以民國92年向證期會送件申請，並在台灣證券交易所上市或證券櫃檯買賣中心上櫃之可轉換公司債的發行公司，共計77個樣本。實證結果得出，可轉換公司債發行後的第3日及第12日公司股票有顯著正的異常報酬，且累積異常報酬呈明顯的上升走勢，顯示公司股價於此段時間有被刻意拉抬的情況。在可轉換公司債發行前的15個交易日，並無顯著負的異常報酬，但亦無顯著正的異常報酬，因此不排除在轉換價格訂定期間，公司股價有被刻意壓抑的情況。公司內部關係人或大股東短期內確實可利用詢價圈購配售制度的優勢，藉認購可轉換公司債以獲得豐厚利潤。在投資策略的運用上，以可轉換公司債發行日前12、13、14、15個營業日平均買入股票，並在發行日後的第3個交易日賣出全部的股票，利用此交易策略獲得正向報酬的機率為63.64%。
依據研究的結果，本論文提出下列幾點建議：
1.建議可轉換公司債的配售方式應改提撥部分比例採公開承銷，代替目前完全詢價圈購方式。
2.財務報表的附註項目內，對於發行可轉換公司債之企業，應強制揭露公司對於借款資金的運用情形、目前及預計所產生的投資效益，以及可轉換公司債到期時，企業的還款來源等項目，並經由會計師查核其編製數據的合理性。 / This paper adopts event study method of market model to investigate whether the insiders or majority shareholders bid down the stock prices before issuing convertible bonds in order to make lower conversion prices and then bid up the stock prices after issuing as a strategy to make huge profit by subscribe convertible bonds. The result of this research found an investment strategy for normal investors or minority shareholders to make profit even without any opportunity to subscribe convertible bonds. Besides, this research suggests that the convertible bond information should be disclosed in financial report so that investors can get more information about the credit risk of issuers.
The research samples the stock prices of 77 listed companies that filed applications to SFC and listed convertible bonds in Taiwan stock exchange or OTC in 2003. The empirical results are found that there are positive abcdrmal returns of stock price performances for the third day and the Twelfth Day after convertible bonds issuing date. The cumulative abcdrmal returns (CAR) of the stock prices are also significantly positive. The results show that the stock prices are manipulated to bid up. The stock prices for 15 trading days prior to the issuing date is neither significantly negative nor significant positive. The result shows that there is a probability of the stock prices are manipulated to bid down. The insiders or majority shareholders indeed can take the advantage of the book-building system to subscribe convertible bonds and make huge profit. The result of this research also found that if the investors buy stocks from the twelfth to fifteenth trading day prior to the issuing date averagely and sell all stocks in the third day after issuing date, the probability to make positive returns is 63.64%.
According to the result of this research, this paper raises the following suggestions:
1. The existent convertible bonds allocation system is complete bookbuilding mechanism that should be plus some proportion of fixed-price mechanism.
2. The companies which issue convertible bonds should disclose the following items in financial report footnotes that should be reviewed by auditor:
(1) The purpose of the capital application plan and the projected possible effect thus created.
(2) The sources of payment when convertible bonds are due.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0091932303 |
| Creators | 張煥奇 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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