The Characteristic of Convertible Bond in Reset Period

[[abstract]]本研究利用向量自我迴歸模型探討轉換價格重設時期與一般非重設時期可轉換公司債與股票間的價格連動關係，並導入羅吉斯迴歸模型進一步分析不同財務狀況與公司治理變數對連動關係之影響。實證發現，一般時期之結果與過去文獻皆指出可轉換公司債之市價落後於股票市場之價格波動，但在重設時期，可轉換公司債領先股票市場價格波動家數大幅增加。迴歸分析顯示，公司獲利與績效愈佳，成長潛力愈大，再加上此時重設時期可轉債轉換價格調降誘因，吸引投資人轉向至可轉債市場交易，形成重設時期流動性上升與資訊透明度增加而出現可轉債報酬率領先股票報酬率之反轉現象。[[abstract]]This study employs Vector Autoregressive Model (VAR) to examine the causality relationship between convertible bond and stocks in the periods of conversion-price reset and general non-reset Logistic regression was applied to analyze the effect of causality relationship for different financial situations and corporate governance variables Both the past literature and this study for the general non-reset period indicated that the price of convertible bond always fall behind the stock price of the issuing company However for the reset period the number of companies whose stock prices lead that of the convertible bond increased The regression analysis results showed that in the reset period the investors would like to trade the convertible bond as the company achieves higher profits better performance and growth potential and as the company reduces the conversion price That presents the reversal phenomenon that is the CB return leads the stock return based on the uprising liquidity and information transparenc