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1990 2002 IPO 1. 2. 3.t
Abstract This paper examined the discounting for initial public offering of convertible bonds. We got the samples in Taiwan since 1990 to 2002 and surveyed there was the existing of excess return or not. In addition, we also try to find some variables that are relative to the excess return. After testing and verifying the samples, we had some conclusion 1.There is excess return for the initial public offering of convertible bonds. It means when companies issued the convertible bonds, they discounted the issuing price purposely by some conditions such like coupon rate or conversion price. 2.When we used multi-factors regression to verify which factors are relative to initial return, the factors the credit ranking of issuing company and trade market had powerful influence to the initial return. 3.When we used t-test to verify initial return, we found that if separating the samples with some factors like company ages trade market amount of assets issuing year, the initial return had much difference between them.
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IR IR TD ( initial return) = TD( true discount) + MR( market reaction) ( P m P 0 ) P0 = ( P e P 0 ) P0 = 14
MR ( P m Pe ) P0 = P m P e P 15 e
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139 135 135 75 60 135 t 18
beta t test 3-1 t test t test IPO 19
1. IR = ( P 1 P0 ) P 0 IR P1 P0 2. 20
SYR = n 3 ( i= n 1 SR i MR i ) 3 n 1 SRi MRi 3 IPO IPO IPO IPO 21
YRS = YR p YR f YRS YR p YR f 4. default risk premium TCRI TCRI 1. (30%) (30%) (10%) (20%)2.TEJ APL AAsset Management P Profitability LLiquidity TCRI 1 9 10 TCRI TCRI 22
TCRI 84 135 TCRI 111 5. beta beta Beta beta beta beta market model beta 6. and r IPO signal 23
n UWR = log UW i i= 1 UWi UWR 7. 135 75 60 1 0 1 24
D = 1 if Tmarket D = 0 if Tmarket D Tmarket 8. SCALE = Log( Asset) 25
9. 86 35 86 87 29 28 86 86 86 86 86 1 0 D =1 86 yr D = 0 86 yr D yr beta 26
IR = α α UWR + α D 5 0 + α SYR + α YRS + α TCRI 1 6 2 + α SCALE + α + α Tmarket 7 8D yr 3 4 BETA + + ε α ( ± ) α ( + ) α ( ) α ( + ) α ( + ) 0 1 α ( ) α ( ) α ( ) α ( ) 5 6 2 7 8 3 4 27
1. 135 75 60 75 25 319 13 135 8 105 60 48 591.2 100 4-1 30 25 20 15 10 5 350 300 250 200 150 100 50 0 () 1 8 3 4 3 1 4 4 1 2 25 13 3 1 2 () 5 105 41 66 26 4 30 40 4 40 319 135 55 6 35 0 28
4-2 60 40 20 0 700 600 500 400 300 200 100 0 () 2 1 1 48 1 1 1 1 2 2 () 17 3 8 591.2 7 3 100 5 60 12.5 2. 175 82 86 90 4-3 35 30 25 20 15 10 5 0 79 80 81 82 83 84 85 86 87 88 89 90 91 () 2 6 12 0 1 1 5 22 21 9 19 31 6 () 25 30 91 0 15 5 59.5 339 273 79 329 423 40 450 400 350 300 250 200 150 100 50 0 29
3. 4-1 135 100 1000 135 0 7 88 3 10 5 78 7 34 12.657 100 1 0.148 7.878 135 49 1 86 1 4-1 135 99.995 0.051 99.400 100 135 1.241 2.059 0 7 135 6.21 1.831 3 10 135 12.657 14.252 1 100 135 1.299 0.843 0.148 7.878 30
1. t test 4-2 0.778 3.164-7 7 t value Pr > t 135 2.86 0.0049 56.39 1 4-2 0.778 135 76 56.39 t test 2. IR = α 0 + α 1SYR + ε 31
4-3 5.470 219.49 α 0 α 1 F value 0.773 0.08 Pr > F R Square Adj R Sq 0.774 0.0007-0.0073 4-3 3. 32
IR = α 0 + α1yrs + ε 4-4 19.577 43 α 0 α 1 F value 0.726 0.01 Pr > F R Square Adj R Sq 0.9258 0.0001-0.0075 4-4 20 t test 4-5 t value 20 78 0.9236 0.62 20 57 0.5798 3.5846 0.60 F Value Pr > F 18 0.3438 1.60 0.0556 10 4-5 20 33
4. TCRI 135 111 TCRI TCRI IR = α 0 + α1tcri + ε 4-6 TCRI 4.720 10 α 0 α 1 F value TCRI 1.932-0.193 2.11 Pr > F R Square Adj R Sq TCRI 0.1490 0.019 0.01 4-6 TCRI 34
TCRI TCRI 5. beta beta beta beta IR = α 0 + α1beta + ε 4-7 beta beta 0.316 0.207-0.237 0.877 α 0 α 1 F value beta 1.46985-2.181 2.77 Pr > F R Square Adj R Sq beta 0.0987 0.020 0.013 10 4-7 35
6. signal 135 135 31 IR = α 0 + α1uwr + ε 4-8 307.028 335.166 2.5 774 α 0 α 1 F value -3.411 0.416 1.16 Pr > F R Square Adj R Sq 0.2844 0.008 0.001 4-8 36
135 1708.7 45 774 33.33 45.29 7. 135 75 60 t test 4-9 t value 75 1.391-2.57 60 0.011 0.0467-2.88 F Value Pr > F 15 1.38 7921.35 <0.0001 1 4-9 37
8. IR = α 0 + α1scale + ε 4-10 38
104.970 143.894 10.133 768.736 α 0 α 1 F value -6.367 0.730 1.30 Pr > F R Square Adj R Sq 0.255 0.009 0.002 4-10 100 t test 4-11 t value 100 101 0.6339-0.91 100 34 1.2076 3.7727-0.81 F Value Pr > F 67-0.574 1.65 0.0617 10 4-11 39
9. 86 86 135 t test 4-12 t value 86 27-0.181-1.78 86 108 1.018 2.526-1.23 F Value Pr > F 81-1.199 3.78 <0.001 1 4-12 86 40
86 86 beta IR = α + α SYR + α YRS + α TCRI + α UWR + α D 5 0 1 6 2 + α + α SCALE + α Tmarket 7 8D yr 3 4 BETA + ε 4-13 F Value Pr > F R Square Adj R Sq 1 135 111 TCRI 111 4-13.1 F 3.17P 0.003 41
4-14 t value Pr > t 0.70 beta 4-13.2 beta beta TCRI P 42
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1. 135 0.778 2. 3. 20 t test 20 20 4. 44
5. beta beta 6. 7. 8. 45
100 135 9. 86 135 86 86 86 86 1. 2. 46
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48 2000 1997 1993 1996 1999 2001 IPOs 2001 1999 2000 -Two Dimensional Tree Model 2001 24 82 7 1999 1997 1994 1997 1999
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