A Study on the Conversion Price of the Convertible Bonds in Taiwan

• Main Authors: WANG,SIN-YI, 王心怡
• Other Authors: GUO,WEN-CHUNG
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/77507376521312466732

碩士 === 國立臺北大學 === 經濟學系 === 96 === This thesis attempts to discuss the essential factors of conversion premium in Taiwan convertible bond markets. It uses both the conversion premium on the issue day and those on the issue contract to analysis the determinant of conversion premium. I adopt the signaling theory of Kim (1900) and the back door hypothesis of Stein (1992) that the conversion price can see as the signals for future earnings and the company’s financing policy. This research chooses several variables to examine the conversion premium, including the relative size, debt ratio, market capitalization, issue amount, issue years and coupon rate. The issue years, coupon rate, and the put provision are the main factors influencing the conversion premium both of the issue day and the issue contract. The empirical results in this thesis suggests that the lower the coupon rate is or the longer the issue years is, the lower the premium is, and the convertible bonds is more equity-like. In addition, we distinguish the samples into several parts to discuss, the coupon rate and issue year are more obvious influence factors in early days. These may attribute to the trend of zero coupon rate and the short of issue years in recent years. Besides, debt ratio also affects the conversion premium subsamples on the issue contract before 2000. By considering the growth opportunity and the size effect, we separate convertible bonds into two groups of different market to book ratio, different market capitalization, and different industries to exam the conversion premium. Besides the three mainly important factors, relative size, market capitalization and issue amount variable partially explain the premium. The small the company size or the larger the issue amount, the less the conversion premium is, and the convertible bonds are more equity-like.