[[alternative]]Price behavior of stocks around pricing convertible bonds in Taiwan

碩士[[abstract]] 在資訊不對稱的狀況下，大股東及內部人藉由詢價圈購的特性，於轉換價格訂定期間操控股價，使得外部股東財富被移轉給大股東或特定人。有鑑於此，2004年主管機關修正轉換價格訂定規定，以杜絕特定人圖利情事。本研究以修正後之年度，2005至2013年上市(櫃)公司所發行之可轉債為研究對象，可轉債轉換價訂價基準日為事件日，分別觀察各事件期之平均異常報酬及累積異常報酬。 實證結果顯示：國內可轉換公司債，其於轉換價格訂定基準日前幾日即開始產生顯著正的平均異常報酬，並持續至基準日後2個交易日，顯示大股東及特定人在訂價期間無壓低股價之情事，反而拉高訂價。因此本研究認為在2004年修正轉換價格基準日設定後，使得過去大股東或內部人訂定較低轉換價格，於發行後立即得利狀況不復存在。即證明主管機關修改轉換價格基準日後，有效壓抑大股東或內部人於訂價前1、3、5個交易日壓低股價的意圖。而上述結論在控制上市(櫃)別、產業別、研究期間等因素下，仍持續存在。[[abstract]] In the presence of information asymmetry, blockholders and insiders may take advantage of the characteristics of bookbuilding to manipulate their stock price during conversion price setting, in an attempt to transfer the wealth of external shareholders to them or any specific people. To avoid this behavior, the authority concerned has amended regulations governing conversion price setting in 2004. Focusing on convertible bonds issued by publicly listed firms in Taiwan during 2005~2013, a period where the amended regulations have gone into effect, this study uses the record date for setting conversion price of convertible bonds as the event day to observe the average abnormal return (AAR) and cumulative abnormal return (CAR) for these firms in different event periods. Empirical results highlight a tendency among all the sample firms that a significantly positive AAR emerges several days before the record date for conversion price setting and persists until two trading days after the record date, suggesting that there is no underpricing of stock prices by blockholders or specific people and stock prices are raised during the conversion price setting period. It can be inferred that since the 2004 amendment of the regulations governing the record date for conversion price setting, the behavior of gaining an instant profit by setting a lower conversion price has been eliminated. In other words, this amendment has effectively inhibited blockholders’ and insiders’ intention to underprice their stocks one, three or five days preceding to the conversion price setting day. It should be noted that this finding persists even if the effects of market type, industry type or research period are controlled for.[[tableofcontents]] 目 錄 中文摘要............................................... I 英文摘要.............................................. II 目錄...................................................IV 表目錄..................................................V 圖目錄................................................ VI 第一章 緒論............................................1 第一節 研究動機與背景.................................1 第二節 研究目的......................................4 第三節 研究架構與流程.................................5 第二章 國內可轉換公司債市場介紹及文獻探討...................7 第一節 可轉換公司債之定義及特性....................... 7 第二節 可轉換公司債發行流程及重要發行條款說明........... 8 第三節 國內可轉換公司債之制度……………………………...…….........12 第四節 理論基礎與相關文獻探討…………………………............………14 第三章 研究方法.........................................21 第一節 事件研究......................................21 第二節 研究期間、樣本資料與來源........................22 第三節 研究方法及變數定義與說明……......................23 第四章 實證結果與分析....................................30 第一節 全體樣本之異常報酬檢定.........................30 第二節 時間序列與橫斷面異常報酬檢定分析................37 第五章 結論與建議........................................57 第一節 研究結論………………................................57 第二節 後續研究建議..................................58 參考文獻................................................60[[note]]學號: 702530352, 學年度: 10