金融控股公司宣告发行可转换公司债对股票报酬影响与因素分析——以台湾地区为例

The Announcement Effect of Taiwan Financial Holding Company Issuing Convertible Bond on Stock Returns and Determinants

本文旨在探讨台湾金融控股公司宣告发行海内外可转换公司债对公司股票报酬的影响及其影响因素分析。蒐集2010年至2018年期间,曾发行海内外可转换公司债的金控公司样本,衡量公司股价是否会有显著异常报酬,并比较两种宣告效果是否存在市场区隔效果和公司财务特性差异。实证结果发现,金控公司宣告发行海内或海外可转换公司债皆对其公司股价有显著的正向异常报酬率反应,即是一项正向讯息;然而市场投资人对这两种类型的筹资宣告并未有明显的市场区隔反应。此外,经营规模较大、营业活动净现金流量占负债总额之比率较高、每股盈余较多的金融控股公司,会有较高机率藉由发行海外可转换公司债筹资。

This paper takes an empirical setting to explore the announcement effect of Taiwan financial holding company(FHC)issuing CB and ECB at home and abroad on company stock returns and determinants.We therefore examine the abnormal returns,market segmentation effects,and dif-ferences in company financial characteristics as the FHCs announce to issue CB and ECB over the 2010-2018 period.The empirical evidence indicates that there is a significantly positive abnormal return on the company that announces to issue CB or ECB,i.e.a positive news for the investor.However,there is no significant market segmentation between these two types of funding an-nouncements.Moreover,the results show that the FHC with larger size,higher ratio of net cash flows from operating activities to total liabilities,higher earnings per share will have a higher probability to raise funds by issuing ECB.