| Summary: | 碩士 === 大葉大學 === 國際企業管理學系碩士班 === 92 === Enterprises in Taiwan have taken Convertible Bonds as a way to collect money for over ten years. However, most of the investors in the stock market still have few understanding about the transaction and investment value of Convertible Bonds. Regarding there are plenty of financial commodities for investors to choose and it is an era of less rate of return on investment, the character which is the hybrid of equity and bond of Convertible Bonds will be a brand new alternative for investors to select but not stocks or bonds only.
In this paper I had researched and collected 298 listed and over the counter convertible bonds and then analyzed the static arbitrage frequency of convertible bond and the possibility and margin of making profits to see if it is worthy to involve in this market. This is the first empirical study in Taiwan that it was broadly and overall analyzed the arbitrage of convertible bonds and calculated the rate of return. I held on a serious attitude when researching and working step buy step.
First of all, I built up a static arbitrage model. Then I collected the data of arbitrage cost. Secondly, I surveyed and utilized the daily transaction data of convertible bonds of recent three years, in order to determine the possibility of static arbitrage by the arbitrage formula and figure out the related rate of return of arbitrage. Finally, I adopted the Judgment Sampling Approach to pick up the most remarkable case as the empirical example of static and dynamic arbitrage and interpret the implication of this case.
I had discovered 25 research results from the related literature reviewing, empirical analyzing and case studying. I summarized them in the following 7 conclusions and tried to recommend the government organization, investors and later researchers as below,
A.Conclusions
1.If we can take the advantage of the character of convertible bonds that possesses the quality of equity and bond and
control and manage the non-system risks seriously,
convertible bond market could be a risk-less arbitrage
paradise for investors.
2.There are high hedge, less information communication and low efficiency of the new China asset market. The convertible
bond arbitrage operation still has a lot of improving space
in China.
3.There are only 7% of the 298 convertible bonds in Taiwan
totally without any static arbitrage opportunity. Thus, the
existence of the arbitrage chance of convertible bond is for
sure. However, we can also understand that the market
efficiency of price linkage is inferior and the debt credit
problem will influence the investment evaluation about
convertible bonds.
4.There were plenty of arbitrage and respectful rate of return
of the static convertible bonds in Taiwan in the last four
years. Especially the frequency of the put arbitrage
opportunity and rate of return are high than conversion
arbitrage.
5.Concerning the control and management the shortselling risk,
the empirical arbitragers often avoid from the shareholder’s
regular meetings every March to May and before the ex-right
date every June to September. It makes that even though the
conversion arbitrage opportunity is a lot but it’s hard to
operate, however, put arbitrage doesn’t have this kind of
matter.
6.Despite the stock market is a bear market, then there are
still some suitable arbitrage opportunities. If we can
collocate with a bull market and ex-right with convertible
bonds, it’s even a perfect circumstance for operation.
7.If we can skillfully apply the variables of favorable
clauses and trading characters of the convertible bonds, the
waving stock prices and the short of stock market chances,
there will be some assorted and risk-less arbitrage methods
which are worthy for professional arbitragers to learn and
utilize.
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