Implied Option value of Convertible Bond –A Study of Primary Market of Convertible Bondin Taiwan

• Main Authors: Wen-Long Hsieh, 謝文隆
• Other Authors: 林丙輝
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/88464129537880050591

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 98 === Convertible bonds (CB) is one of the great important tools when company raises its funds. Besides the corporation loan, CB supplemented a call Option .Transform unceasingly along with the capital market and the laws and regulations, CB becomes a popular security in Taiwan, but the pricing method of underwriting CB, still used the concept of bond to pricing, it may neglect the Option value. This research will discuss that if we use the pricing Option''s way to pricing CB, could make the price of CB more effective? The research demonstrated that the company which has smaller market value and the medium credit condition, its value priced by the asset swap through the Bond Floor and the implied Option value, exhibit that the value of CBs have been underpriced when underwriting. After the offering, there have a abnormal return relative to the issuing company stock return and a information asymmetrical in the underwriting procedure. Our research presents that it is suitable to discuss the procedure of underwriting CB and pricing CB in our country.