國立中山大學論文典藏.PDF

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2 (Exchangeable Bond) Dann and Mikkelson(1984) Green(1984) (straight debt) Stein(1992) 1

3 1.2 (partial anticipate) 1 ( ) 2 1 Chaplinsky & Hansen(1993) 2 Chaplinsky & Hansen(1993) Jung, Kim & Stulz(1996) 2

4 (333 ) (56 ) TEJ 3

7 (Pecking Order Theory) (external financing) (1) (2) 2.1 (agency conflict) 6

8 (agency cost of managerial discretion) Jensen and Meckling(1976) Jensen(1986) Stulz(1990) (risky debt) (residual claim) (NPV) 3 Green(1984) (straight debt) Jung, Kim, Stulz (1996) 3 (risk-shipping hyphthesis) (asset-substitution hypothesis) 7

9 (back-door equity) Stein(1992) (adverse selection) Myers Majluf (1984) Jung, Kim, Stulz (1996) (1) (2) Stein(1992) call provision Plicher(1955) 82% (debt-sweeteners) Billingsley and Smith(1996) ( ) Mann, Moore, and Ramanlal(1999) (cost of financial distress) Stein(1992) 8

10 Jensen, Meckling(1976) Bernnan and Schwartz(1988) Stein Myers(1997) (sequential-financing problem) ( ) 9

11 Mayers(1997) (call) ( Stein,1992 ) 2.2 Bayless and Chaplinsky(1991) Junh Kim Stulz(1996) logit Bayless and Chaplinsky(1991) Junh Kim Stulz(1996) Lewis, Rogalski, and Seward(1999) Green Stein Black-Scholes 10

12 (equity like) (debt like) 2.3 Jensen and Meckling (1976) Galai and Masulis (1976) (Leverage-related Information Hypothesis) Ross(1977) 11

13 Mikkleson and Partch(1986) 4 Myers and Majluf (1984) Kim(1990) Kim ( ) 12

14 13 (1997) (1996) (CAR) (1993) Echbo (1986) (1996) (1995)

15 2.4 Myers and Majluf(1984) Bayless and Chaplinsky(1991) ( ) 5 Chaplinsky and Hansen (1993) Chaplinsky and Hansen 5 Eckob(1986) James(1987) Hansen and Cruchley(1990) Bayless and Chaplinsky(1991) (cumulative announcement prediction error CAPE) 14

16 2.5 Lewis, Rogalski, and Seward(1999) (2001) Bayless and Chaplinsky(1991) Lewis, Rogalski, and Seward(1999) 6 (equity-like) (debt-like) 6 (1996) (1997) 15

17 3.1 Lewis, Rogalski & Seward(1999) ( ) Jung, Kim, Stulz (1996) 16

18 3.2.2 Stein(1992) (Backdoor- Equity Hypothesis) Jung, Kim & Stulz (1995) Bayless & Chaplinsky(1991) ( ) Chaplinsky & Hansen (1993) 17

19 ( 88 ) 835 TEJ CAR LEADINDX CUAR FCFR / ROA AMOUNT TA

20 (CV_E) (CV_CF) (DR) (LTDR) ( / CFR) (CR) TAX BTM RND / LEADINDX ( ) Myers & Majluf(1984) 19

21 7 7 20

22 3-3-1 DEBT CB EQUITY Variable Mean Std Mean Std Mean Std CAR LEADINDX CUAR ROA FCFR AMOUNT 17, , , TA 41,571, ,077, ,487, CV_E CV_CF DR LTDR CFR CR TAX BTM RND CAR LEADINDX CUAR ROA FCFR / AMOUNT TA CV_E CV_CF DR LTDR CFR ( / ) CR TAX BTM RND / LEADINDX 21

23 3-3-2 T DEBT VS EQUITY DEBT VS CB CB VS EQUITY CAR -4.55*** -4.55*** 1.67** LEADINDX CUAR -5.53*** -5.53*** 0.75 ROA -4.83*** -4.83*** 0.61 FCFR AMOUNT * 0.22 TA 8.18*** 8.18*** -4.69*** CV_E CV_CF *** 3.33*** 1.12 DR 2.81** 2.81*** LTDR 7.37*** 7.37*** -2.36** CFR CR 3.94** 1.69* 1.41 TAX -2.24** -2.24** 1.86* BTM -2.59** -2.59** RND *** 0.01 ** 0.05 *

24 Logistic (logistic regression model) logistic (logistic regression) logistic logistic Logistic (binary) (qualitative choice model) 23

25 Probit Logit ( 0 1 ) [0,1] Probit Logit Probit Logit Logistic Logit Logit (logistic probability function): Pi 1 1 = F( Zi ) = = Z ( ) 1 i α + βx + e 1 + e i P i Z i e = 1 Pi Zi = log( ) 1 P Pi log( 1 P I P I P ) = α + βx log [Pi / (1- Pi )] = Zi = b1? X1 + + bi Xi Pi = Prob(Zi =1) 1 - Pi = Prob(Zi =0) i i i i = 1 Zi = 0 Xi i i 24

26 pseudo-r 2 Wald 2 H0 Wald = (?ß 1 / S? ß ) 2 ß 1 = S? ß = Logit pseudo-r 2 Wald logistic [0,1] Lewis, Rogalski and Seward(1999) Black-Scholes N(d 2 ) [0,1] N(d2) 1 25

27 50% (equity-like) 50% (debt-like) d 2 d 2 = ln 2 S σ ( ) + ( r div ) X σ T 2 T s x r div / T ( ) S 1, S 2,,S 52 B-S R t R t =ln(s t /S t-1 ) 2 2 ˆσ 2 = 1 N 1 i= 1 N ( R i R) 2 B-S 2 (IID) pp

28 (1) (CAR) Lucas and McDonald (1990) Stein 27

29 (2) (LEADINDX) Choe, Masulis and Nanda(1993) (3) (SIZE) (4) (financial slack) (FCFR) Myers and Majluf(1984) (FCF) FCF ( / ) (5) (PROCEED) Krasker(1986), Richard, Rogalski and Seward(1999) / (1) (CV_E CV_CF) 9 9 Lewis, Rogalski and Seward(1998) Lewis, Rogalski and Seward Green Brennan and Schwartz 28

30 (2) (DR LTDR) ( / ) ( / ) (1) (TAX) / (1) (book to market ratio BTM) Myers(1977) ( )/ 10 (2) TobinsQ(TOBQ) Tobin s q / Chung and Pruitt(1994) q / 29

31 (1) (DEVDR) (static theory) (2) (IND) ( ) Mikkelson (1981) Chew (1983) f(type 11 )=(CAR, LEADINDX, SIZE, FCFR, PROCEED, CV_E, CV_CF, LTDR, DR, TAX, TOBQ, BTM, DEVDR, IND) 11 TYPE 30

32 4-2-1 logit 12 CAR LEADINDX Log( ) SIZE / FCFR / PROCEED CV_E CV_CF / DR / LTDR / TAX Tobin s q TOBQ / / BTM DEVDR IND + 12 logit

33 logistic (1) (2) (3) 1 ( 0.01 ) ( P 0.01)

34 33 Krasker(1986) Kraster TOBQ ( =0.01 ) (2) 1 0 ( P 0.024) (3) ( P 0.079) ( P 0.092)

35 ( ) % (2) (3) 85.3% 85.6% Wald ratio (3) (pseudo-r ) (3) 34

36 4-3-1 logistic Parameter sign 1 (2) 3 Estimate p-value Estimate p-value Estimate p-value Intercept *** < *** < *** <.0001 CAR LEADINDX ** ** *** FCFR PROCEED SIZE *** < *** < *** <.0001 DR ** ** *** 0.01 LTDR * CV_E CV_CF *** ** TAX TOBQ *** *** *** BTM IND ** ** DEVDR * Pseudo-R WALD *** *** *** 84.7% 85.3% 85.6% logistic 0 1 (Pseudo-R 2 ) Wald 2 2 *** 0.01 ** 0.05 *

37 logistic (I) 45 6(II) logistic Y=0 0.5 (equity-like) (debt-like) 36

38 4-4-2 DIFF=I N=35 DIFF=II N=6 Variable Mean STD Mean STD Variances t P-Value LEADINDX Equal CAR Equal LNTA Equal <.0001 FCFR Equal PROCEED Equal CV_CF Unequal DR Equal LTDR Unequal TAX Unequal TOBQ Equal BTM Equal IND Equal TYPE=I TYPE=II 2 Variances DIFF=I DIFF=II t DIFF=I DIFF=II 3 *** 0.01 ** 0.05 *

39 5.1 Event Study t t t t 38

40 (mean-adjusted method) CAPM CAPM Brown and Warner(1980) CAPM AR it = R it 1 T T t= 1 R it (CAR) CAR i = ARit H0 39

41 TYPE=0 TYPE=1 ERROR=0 ERROR=1 DIFF=0 DIFF=1 5.2 ( ) (-1,+1) (0,5) Window N CAR Std p-value (-1,+1) * (-5,0) (0,5) ** (-20,+20) ** * 0.1 **

42 (equity-like) (debt-like) (-1,+1) (-5,0) Kim(1990) Debt-like N=45 Equity-like=1 N=11 Variable Mean Std P-value Mean Std P-value Variances P-value (-1,+1) Unequal (-5,0) Unequal (0,5) * Equal (-20,+20) 1.110* Equal (ERROR=0) (ERROR=1) Miller and Rock (1985) John and Williams(1985) 41

43 5-2-3 ERROR=1 N=41 ERROR=0 N=15 Variable Mean Std P-value Mean Std P-value Variances P-value (-1,+1) Unequal (-5,0) Equal (0,5) Equal (-20,+20) Equal Bayless and Chaplinsky(1991) (DIFF=1) ( CAR=-1.587%) Bayless and Chaplinsky DIFF=0 N=35 DIFF=1 N=6 Variable Mean Std P-value Mean Std P-value Variances P-value (-1,+1) * ** Unequal (-5,0) Unequal (0,5) Equal (-20,+20) ** Equal

44 5.3 Jung, Kim and Stulz(1996) (3) CAR(-1, +1)= f (LEADINDX, CAR, FCFR, PROCEED, SIZE,, CV_E, DR, TAX, TOBQ, BTM, IND, TYPE,ERROR, DIFF) (-1,+1) 16 (4) (7) Tobin sq Lucas and McDonald (1990) Stein

45 (4) (6) (5) (7) Mayers and Majluf(1984) (5) 17 Bayless and Chaplinsky(1991) (41/56) (6) ERROR=0 ERROR=1 Bayless and Chaplinsky(1991) ( ) ( ) (R-square 27.35% 31.58%) (DIFF=0 DIFF1 ) (R-square 30.97%) 44

46 5-3-1 [CAR(-1.+1)] (4) (5) (6) (7) Variable Estimate P-Value Estimate P-Value Estimate P-Value Estimate P-Value Intercept ** * LEADINDX 0.357* * * * CAR 0.032* * * FCFR * * PROCEED SIZE CV_E -0.04** ** ** DR TAX TOBQ 1.493* *** * * BTM * * * IND TYPE ERROR * DIFF R-Square 27.34% 27.35% 31.58% 30.97% CAR LEADINDX FCFR / PROCEED / SIZE CV_E DR TAX BTM ; TOBQ Tobin sq IND IND=0 IND=1 LEADINDX TYPE TYPE=0 TYPE=1 ERROR ERROR=0 DIFF DIFF=0 45

47 ( ) (Tobq) ( ) ( ) ( ) 46

48 ( 47

49 ) TEJ

51 1. (1992 ) 2. (1993 ) 3. pp (1996 ) 5. (1993) 6. (1996) 7. (1994) 8. (1991) 9. (1997 ) (1995 ) 11. (1993) 12. (2001) -

52 (1997 ) SAS

53 1. Akhigbe, A. Easterwood, J. C. and Pettit, R. R., 1997, Wealth Effect of Corporate Debt Issue: The Impact of issuer Motivation, Financial Management, Vol.26, N0.2, pp Bayless, M. and Chaplinsky, S,1991, Expectations of Security Type and the Information Content of Debt and Equity Offers, Journal of Financial Intermediation,NO.1,pp Bayless, M. and Diltz, D. J., 1994, Securities Offerings and Capital Structure Theory, Journal of Business and Accounting, Vol.21, NO.1, pp Billingsley, R. S., Lamy, R. E. and Thompson, G. R.,1988, The Choice Among Debt, Equity, and Convertible Bonds, The journal of financial research, Vol.6, No.1, spring, pp Brennan, M. and E. Schwartz,1988, The Case for Convertibles, Journal of Applied Corporate Finance, Chaplinsky, S. and Hansen, R. S., 1993, Partial Anticipation, the Flow of Information and the Economic Impact of Corporate Debt Sales, The Review of Financial Studies, Vol.6, NO.3, pp Chung, K. H. and Pruitt, S.W., 1994, A Simple Approximation of Tobin s q, Financial Management,Vol.23, NO.3, pp Dann, L. Y. and Mikkelson, W. H.,1983, Convertible Debt Issuance, Capital Structure Change and Financing-Related Information, Journal of Financial Economics13, pp Eckbo, B., (1986), Valuation Effects of Corporate Debt Issuance, Capital Structure Change and Financing-Related Information, Journal of Financial

54 Economics, (January), pp Green, R., (1984), Investment Incentives, Debt, and Warrants, Journal of Financial and Economics (March), pp Jalan, P. and Barone-Adesi, G., Equity financing and corporate convertible bond policy, Journal of Banking & Finance, Vol.19, NO.2, pp Jensen, M. and Meckling M., (1976), Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics (October), pp Jung, K., Kim, Y. C. and Stulz, R. M., 1996, Timing, investment opportunities, managerial discretion and the security issue decision, Journal of Financial Economics, Vol.42, pp Kim, Y. O.,,1990, Informative Conversion Ratios : A Signaling Approach, Journal of Financial and Quantitative Analysis, Vol.25 NO.2, pp Lee, H. W. and Figlewicz, R. E., 1999, Characteristics of firms that issue convertible debt versus convertible preferred stock, The Quarterly Review of Economics and Finance, Vol.39, Issue 4, pp Lee, Y. W., 2000, A Sequential Signaling Model of Convertible Debt Issue and Call Policies, The journal of Financial Research, Vol.23, NO.1, pp Lewis, C. M., Rogalski, R. J. and Seward, J. K., 1997, Agency problems, Information asymmetries, and Convertible debt security design, Journal of Financial Intermediation, Vol.7, No.1, pp Lewis, C. M., Rogalski, R. J. and Seward, J. K., 1997, Industry Conditions, Growth Opportunities and Market Reactions to Convertible Debt Financing Decisions, Vanderbilt University, Dartmouth College and University of Wisconsin at Madison Date Posted : January Lucas, D. and R. McDonald, (1990), Equity Issues and Stock Price Dynamics,

55 Journal of Finance (September), pp Mann, S. V. ; Moore, W. T.; Ramanlal, P., 1999, Timing of Convertible Debt Issues, Journal of Business Research, Vol.45, NO.1, pp Mayers, D., 1997, Why firms issue convertible bonds: the matching of financial and real investment options, Journal of Financial Economics, Vol47, NO.1, pp Mayers. S. and Majluf. (1984), Corporate Financing and Investment Decisions when Firm Have Information that Investor Do Not Have, Journal of Financial Economics (June), pp Pilcher, C. (1955), Raising Capital with Convertible Securities, Michigan Business Study, Vol. 21, No Stein, J. (1992), Convertible Bonds as Backdoor Equity Financing,Journal of Financial Economics, Vol. 32, 3-21.

56 50

De Roon Veld (1998) 0116 %, %,,,, 180,,, Burlacu (2000) 141,,, Abhyankar Dunning (1999), %,, %, %, %, % (2

De Roon Veld (1998) 0116 %, %,,,, 180,,, Burlacu (2000) 141,,, Abhyankar Dunning (1999), %,, %, %, %, % (2 (, 510275) :, 2001 4 2003 12 88,,,, : ; ; :F830191 :A :1002-7246(2005) 07-0045 - 12,, ( ),, Asquith Mullins (1986) Masulis Korwar (1986) Mikkelson Partch(1986) - 3 %,Dann Mikkelson (1984) Eckbo (1986),Mikkelson