Do the Financial Characteristics Affect the Stock Price around the Expiration Date of Convertible Bond?

• Main Authors: Pei-ChunTu, 凃佩君
• Other Authors: Jeng-Fang Chen
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/09679014181145415865

碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 103 === This study investigates whether firms’ financial characteristics affect the stock price around the expiration date of convertible bond? By using the convertible bonds listed in Taiwan Stock Exchange in 2009, I find that, for full sample, the associations between most financial characteristics ratio and the cumulative abnormal returns of convertible bonds during the event periods of maturity, 30-day before maturity, and 30-day after maturity are significant. However, in the subsample of held-to-maturity convertible bonds, I find that only one financial characteristic, EPS, is significantly associated with the cumulative abnormal returns of convertible bonds during the event periods of maturity, 30-day before maturity, and 30-day after maturity. Finally, in the subsample of convertible bonds converted by investors before the maturity date, the associations between all financial characteristics and the cumulative abnormal returns of convertible bonds during the event periods of maturity, 30-day before maturity, and 30-day after maturity are all insignificant.