The Abnormal Returns Effect on Taiwan Listed Stocks before and afterConvertible Bond Maturity

• Main Authors: YUAN, CHIH-YU, 袁知鈺
• Other Authors: GU, YONG-JIA; HONG, SHEUE-CHING
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/zev6vg

碩士 === 國立臺北大學 === 企業管理學系 === 107 === In addition to fundraising, Taiwan listed companies issue convertible corporate bonds might imply many information. The main purpose of this study is to explore whether the stock price would exist significant abnormal returns before and after convertible bond maturity. Taiwan listed companies were selected. The convertible bonds expiration events, ranging from Jan. 2005 to Dec. 2016, were selected. A total of 336 samples (including repeated issuance of the same company) were obtained. By adopting the event study method. the SIMM (Single Index Market Model) is used to estimate. Parametric and non-parametric tests are verified. The conclusions are as follows: 1.The impact of significant abnormal returns on the 15th days before the maturity date of convertible bonds. There are 8 significant trading days in the general abnormal payment, with the highest returns is 0.29%. There are 7 significant trading days in the generalized cumulative abnormal returns, but the rate of return is negative. There are 8 trading days in the standardized abnormal returns, with the highest rate of return of 0.15%. There are 7 trading days in the standardized cumulative abnormal returns, with the highest rate of return being 0.01%. 2. The impact of significant abnormal returns on the 15th day after the maturity date of convertible bonds. There are 6 significant trading days in the general abnormal payment, with the highest returns is 0.33%. There are 8 significant trading days in the generalized cumulative abnormal returns, with the highest returns being 0.64%. There are 5 significant trading days in the standardized abnormal returns, with the highest returns of 0.18%. There are 8 significant trading days in the standardized cumulative abnormal returns, with the highest returns of 0.45%. 3. The impact of significant abnormal returns in the 12 months prior to the maturity date of convertible bonds. There are significant effects in the five months of generalized abnormal returns, with the highest positive returns of 0.32%. There are two significant months in the generalized cumulative abnormal return rate, with the highest positive return rate of 0.68%. Six months out of the standardized abnormal rate of return have a significant impact, with the highest positive rate of return of 0.19%. There are two significant months in the standardized cumulative abnormal return rate, with the highest positive returns of 0.34%. 4. 12 months after the maturity date of the convertible bonds, the impact on the stock price has significant abnormal returns. There are significant impacts on the generalized abnormal returns for six months, with the highest positive returns of 0.35%. In the generalized cumulative abnormal returns, 11 months have significant rewards, the highest returns is 1.57%. There are significant impacts in the standardized abnormal rate of return for six months, with the highest positive returns of 0.17%. In the standardized cumulative abnormal returns, there has been a significant positive return in the past months, with a maximum of 0.87%. Keywords: Convertible Corporate Bond; Event Study; Abnormal Return