| Summary: | 碩士 === 國立成功大學 === 企業管理學系專班 === 93 === The main purpose of the study is to reveal whether the domestic convertible corporate bonds are featured with the low risk and the relevant manipulating strategy with the relatively high profit in return.
By being referred the previous papers, the characteristics and manipulations of the domestic convertible corporate bonds are explicated, including the practice of various manipulations, risks, and the probability of success. Although the converted arbitrage prevailed in the domestic market corresponds to the demand of the study, “the convertibility and the restrictions of stock margin” that are deeply involved in the success of the converted arbitrage are not explored widely or completely in the previous papers. Moreover, in the empirical studies, most people think there is less influence on the factors and they ignore or remove partial samples or data arbitrarily. The results will be not only overestimated with the successful rate of the convertible arbitrage but also underestimated with the risk and the period of it.
At first, the study is intended to explore the impacts of the convertible bonds and stock margin restrictions on the converted arbitrage. It follows that the equation derives from the timing and restrictions of converted arbitrage. After the actual date data are processed in the model, the actual restrictions will be encountered by simulating the samples. Beside, the simulated results also contain the arbitrage period, the non-arbitrage period, the extensive arbitrage period, the rate of return and the impact of the restrictions on the converted arbitrage.
The empirical evidences result in the rate of that the converted arbitrage cannot be implemented: 76.73% in the old system, 16.94% in the new system, and 52.42% in the combined system due to the restrictions of stock margin and convertibility. It reveals that the convertible arbitrage has been influenced extremely hugely. When the investors engage in the arbitrage activity, they have to be aware of the risk. On the other hand, it should be more accurate to introduce the restriction factors into the convertible arbitrage model.
The average rate of return in the combined system of the convertible arbitrage is 14.59% (The average rate of return in the new system is 15.19%; the average of rate of return in the old one is 13.1%). In general, it is much higher than the interest rate of deposit in the banks. In words, if the investors can select the target convertible bonds carefully, to pay attentions to the various restrictions of converted factors, they can capture the better rate of return by risk managing.
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