The Study of Convertible Bond ratio on EPS：The Application of Panel Smooth Transition Regression Model

• Main Authors: I-Ching Chiang, 江怡憬
• Other Authors: Chieh-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/06970013583171368037

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === Using a CBs/TA ratio, derived from dividing the amount of domestic convertible bonds(CBs) issued by a certain company with its total book asset at the end period, this research analyses whether a company’s debt ratio(DEB), market-to-book ratio(MB) and dividend policy(DIV) exists nonlinear-regression relationships with its earnings per share(EPS) under different level of CBs/TA ratio. We adopt the Panel Smooth Transition Regression Model(PSTR) developed by Gonzalez, Terasvirta and Dijk(2004, 2005), and select the CBs/TA ratio as the transformation variable to ascertain whether the CBs/TA ratio has a smooth transition threshold effect on, ie. plays a key factor to cause the transformation of, the response variable, EPS. Our modeling samples contain 274 listed companies in Taiwan Stock Exchange or GreTai Securities Market with domestic convertible bonds issuing during 2004 to 2007, and financial ratios are calculated with calendar year-end data. Demonstrated by our empirical analysis, the CBs/TA ratio do possesses a smooth transition threshold effect on earnings per share, with a transformation threshold value at 37.5%. In more specific, when the CBs/TA ratio falls bellow the transformation threshold value, debt ratio is irrelevant to EPS, and both market-to-book value and dividend policy have positive correlation with EPS. Once the CBs/TA ratio exceeds 37.5%, both debt ratio and market-to-book value turn out to be negative correlative to EPS. Dividend policy, however, remains positive and suggests the higher the dividend payment the greater impact on earnings per share.