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  • 可轉換公司債
  • 股價


This paper adopts event study method of market model to investigate whether the insiders or majority shareholders bid down the stock prices before issuing convertible bonds in order to make lower conversion prices and then bid up the stock prices after issuing as a strategy to make huge profit by subscribe convertible bonds. The result of this research found an investment strategy for normal investors or minority shareholders to make profit even without any opportunity to subscribe convertible bonds. Besides, this research suggests that the convertible bond information should be disclosed in financial report so that investors can get more information about the credit risk of issuers. The research samples the stock prices of 77 listed companies that filed applications to SFC and listed convertible bonds in Taiwan stock exchange or OTC in 2003. The empirical results are found that there are positive abcdrmal returns of stock price performances for the third day and the Twelfth Day after convertible bonds issuing date. The cumulative abcdrmal returns (CAR) of the stock prices are also significantly positive. The results show that the stock prices are manipulated to bid up. The stock prices for 15 trading days prior to the issuing date is neither significantly negative nor significant positive. The result shows that there is a probability of the stock prices are manipulated to bid down. The insiders or majority shareholders indeed can take the advantage of the book-building system to subscribe convertible bonds and make huge profit. The result of this research also found that if the investors buy stocks from the twelfth to fifteenth trading day prior to the issuing date averagely and sell all stocks in the third day after issuing date, the probability to make positive returns is 63.64%. According to the result of this research, this paper raises the following suggestions: 1. The existent convertible bonds allocation system is complete bookbuilding mechanism that should be plus some proportion of fixed-price mechanism. 2. The companies which issue convertible bonds should disclose the following items in financial report footnotes that should be reviewed by auditor: (1) The purpose of the capital application plan and the projected possible effect thus created. (2) The sources of payment when convertible bonds are due.

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