股價、融券量與可轉換公司債轉換價格之兩種重設

Stock Price, Short Selling, and the Two Conversion Price Downward Resetting of Convertible Bonds

本文同時研究國內可轉換公司債（CB）與海外可轉換公司債（ECB）於轉換價格向下重設時期之股價與融券量變化之特性。實證結果發現，CB於實施一般重設時期，市場反應呈現正向累積異常報酬（CAR）；但於實施特別重設時期，則有負向累積異常報酬。ECB於上述兩種重設時期之市場宣告效果則與CB相反。再者，研究發現CB及ECB於動用重設條款之事件日附近，累積異常融券量（CAS）皆有上升之趨勢，但特別重設之CAS於事件日後4至7天驟減。ECB在一般重設時先融券後再回補可套利。在迴歸分析中發現，重設幅度對於CAR與CAS同具正向顯著影響，內部人持股率對CAS具負向顯著影響，而負債比率與CAR具負向關係但無顯著性。

We study convertible bonds (CB) and Euro-Convertible Bonds (ECB) in Taiwan and simultaneously examine the characteristics of the underlying stock price and short sale volume of CB and ECB during the conversion price downward resetting periods. The empirical results find that the market reaction presents a positive cumulative abnormal returns (CAR) during the CB using general reset clauses periods, on the contrary, the market experience a negative CAR response during the CB using special reset clauses periods. The announcement effects of ECB on market reaction during the two different reset periods are opposite to the results of CB’s. Moreover, around the resetting announcement date, the trend of cumulative abnormal short sales (CAS) is upward, either CB or ECB. However, the CAS during the special reset periods plummet in the fourth to seventh days after the reset announcement date. We find that there is an arbitrage opportunity to short sell stocks first and then to buy back the stocks during the ECB general reset periods. In regression analysis, resetting magnitude has positively influence on CAR and CAS, respectively. The holding of insiders has a negative impact on CAS. The debt ratio is negatively related to the CAR but statistically insignificant.