臺灣折價可轉換公司債的投資研究-以臺灣上市上櫃公司為例
Date Issued
2005
Date
2005
Author(s)
陳宏銓
DOI
zh-TW
Abstract
In the last decade convertible bonds issued domestically in Taiwan market has had considerable size in terms of quantity and amount. As a consequence, academic studies in this area have been booming and quite numbers of papers were published. In general, the studies on convertible bonds in Taiwan can be classified into two categories, one category on the causes of issuance of convertible bonds and the other category on the pricing and arbitrage on convertible bonds, the former approaches from capital structure point of view and the latter explores by means of financial engineering. There are very few studies on convertible bonds from the prospective of investment. The related study in US reveals that the earning of investment portfolio of discount convertible bonds is apparently higher than that of portfolios in marketplace. The thesis depicts the similar study on the convertible bonds issued in Taiwan market. The study has used two approaches by portfolios of convertible bonds, 1.) Buy-and-Sell: investment strategy of buying in and selling out after one year later 2.) Buy-and-Hold: investment strategy of buying in and holding on to the expiration of bonds. The following results are found from the study. When the earning of the portfolio of convertible bonds is derived by market modeling method, it apparently shows that the alpha value is larger than 0 and the beta value goes between 0.2 and 0.6.
Based on the result of the study, it is concluded that besides convertible bonds investment in Taiwan market consistent with that in US market, Taiwan market has better investment conditions for convertible bonds than US market.
Subjects
折價可轉換公司債
異常報酬
市場模式法
Discount Convertible Bonds
Abnormal Return
Market Modeling
Type
other