不同信用評等之下可轉換公司債靜態套利實證分析

The Empirical Study on the Static Arbitrage Strategies of Convertible Bonds with Distinct Credit Ratings

運用台灣經濟新報資料庫TCRI（Taiwan Corporate Credit Rating Index；台灣企業信用風險指標指數）當作信用風險指標，本研究運用2006年到2011年發行227檔可轉換公司債資料，分別探討靜態套利的可套利次數、達到投資人要求報酬率之賣回套利最佳持有天數與不同信用評等下兩種套利模式報酬率分布情況。最後，本研究利用多元迴歸模型，探討賣回套利中達到特定報酬率的持有天數與相對應的大盤指數報酬率、TCRI及可轉換公司債平均成交量間關係。本文實證結果顯示，賣回套利多元迴歸結果發現持有特定報酬的最短天數與TCRI呈現顯著正相關，而與相對應的大盤報酬率呈現顯著負相關。因此，投資人在承作可轉換公司債之賣回權策略時，應先挑選TCRI信用評等級數較低（信用評等較佳）的發行公司或是在大盤指數偏低時，做為進場最佳時機。

Using the TCRI (Taiwan the Corporate Credit Rating Index) of the Taiwan Economic Journal database as the proxy of credit rating, this paper empirically studies the arbitrage opportunities of 227 convertible bonds (CBs) listed in Taiwan GreTai securities market. This paper investigates the trading frequency of static arbitrage (or called convertible arbitrage), the shortest holding trading period of put provision arbitrage, and the required rate of return of investors, respectively. In addition, we further discuss the return distributions of the two CB arbitrage strategies with different credit risk profiles. From the empirical results, we demonstrate that for the lower credit risk profile (TCRI=2, 3, and 4), the Microelectronics CB with TCRI equal to 3 has the best performance in convertible arbitrage, Globe Unionindustrial CB with TCRI equal to 4 has the best performance in put provision arbitrage. For the moderate credit risk profile (TCRI=5 and 6), the Zenitron CB with TCRI equal to 5 has the best performance in convertible arbitrage, Wholetech CB with TCRI equal to 6 has the best performance in put provision arbitrage. For the higher credit risk profile (TCRI=7, 8, and 9), the Arima Optoelectronicsent CB with TCRI equal to 9 has the best performance in convertible arbitrage, Ampire CB with TCRI equal to 7 has the best performance in put provision arbitrage. From the multiple linerar regression, we domestrate that shortest holding trading period of put provision arbitrage is positively related with TCRI but negatively related with the corresponding stock index return, which means that the investors should enter into the put provision arbitrage when both the TCRI of the underlying asset of CB and the corresponding stock index are lower.