Dissertations / Theses on the topic 'Convertible debt'

This dissertation examines two different topics related to the issuance of a convertible debt security. The first essay addresses the question of how managers set the equity value in a convertible debt issue. A convertible debt security has value derived from an equity component and a debt component. As a result, managers must decide how much of the convertible debt's value will be derived from equity at issuance. I examine three hypotheses in addressing this question. Empirical evidence is provided supporting the assertion that managers issue more equity-like debt when the firm will have lower future operating performance and a greater potential for underinvestment. Empirical support is not found for managers take into consideration asset substitution concerns when setting the equity value in a convertible debt issue. The second essay examines why are abnormal returns negative for the equity during the convertible debt's issuance period. This has been documented by Dann and Mikkelson (1984), Mikkelson and Partch (1986, 1988), and also by this dissertation. I furnish evidence that is consistent with a bid-ask spread bias not causing the negative equity abnormal returns during the issuance period of a convertible debt security. Tests are also performed that provide results that are consistent with the issue period returns being partially due to a resolution of uncertainty.<br>Ph. D.

Dann and Mikkelson (1984) report that the common stockholders of firms issuing convertible debt realize significantly negative returns upon the announcement of such financing. They further state that this observation is not consistent with the leverage hypothesis nor with the new financing models of Myers and Majluf (1984) and Miller and Rock (1982). This study also documents negative returns to the stockholders of convertible debt issuing firms on the announcement date. However, Dann and Mikkelson's assumption that the issuance of convertible debt increases financial leverage is questioned. A new convertible bond valuation model is proposed which valuates a convertible bond as the sum of its market perceived equity and straight debt components. Convertible bond rates of return are regressed on common stock and straight debt rates of return to demonstrate that convertible bonds have a large and significant equity component; often large enough to cause leverage decreasing changes to the issuing firm's capital structure. Furthermore, the perceived change in leverage is shown to be significant in explaining the announcement period excess returns realized by the stockholders of convertible issuing firms. In this way, negative announcement period excess returns are shown to be consistent with the leverage hypothesis. In addition, the results support the new financing model developed by Myers and Majluf.<br>Ph. D.

This thesis presents three essays on the determinants and costs of corporate security offerings. The essays contribute to an ongoing debate in the literature on what determines firms’ security choice by examining the following issues: “Does corporate governance influence convertible debt issuance?”; “The signaling content of security offerings proceeds”; and “The costs of raising capital: New evidence.”In the first essay, we explore the influence of corporate governance on firms’ choice between equity, convertible debt and straight debt. For a sample of Western European corporate security offerings between 1999 and 2010, we find that firms with weaker firm- and country-specific corporate governance are more likely to issue convertible debt. They thus use convertible debt as a substitute for corporate governance, which is confirmed by a more favorable stock price reaction to convertible debt announcements by firms with weaker corporate governance. Moreover, these results suggest that corporate governance is a significant determinant of firms’ security choice. The second essay examines the determinants and signaling content of security offering proceeds, controlling for the endogeneity of issue size. For a sample of US equity, convertible debt and straight debt offerings between 1999 and 2011, the findings show that stockholders can partly predict issue size by analyzing firms’ funding needs and financing costs. We find that stockholders use predicted issue sizes of equity and convertible offerings as signals of growth opportunities, whilst larger than predicted issue sizes signal issuer overvaluation. For straight debt issues, we find that unpredicted issue sizes have a positive impact on announcement returns, which is consistent with them serving as a signal of growth opportunities. Further analysis of firms’ actual uses of predicted and unpredicted offering proceeds confirms these interpretations. The results shed light on previous inconsistent findings on the impact of issue size on security offering announcement returns. The final essay examines the magnitude and determinants of direct issuance costs, controlling for firms self-selecting into different security classes, namely equity, convertible bonds, and straight bonds, and flotation methods, namely non-shelf, shelf and 144a. For a recent sample of US corporate security offerings between 1999 and 2011, findings show that the magnitude of direct issuance costs has decreased over the last decade. These costs are higher for equity than straight bond offerings and of intermediate magnitude for convertible bond offerings. Within each security class, costs are larger for non-shelf than 144a offerings, which again have larger direct issuance costs than shelf offerings. Finally, underwriter spreads are directly related to underwriter effort on due diligence, pricing and selling, and direct issuance costs are truncated by firms’ self-selection into particular security types.

This dissertation analyzes factors associated with the apparent decision that firms make when choosing a source of long-term capital. Straight debt, common stock, convertible debt, and units of debt with warrants (units) are included in the issuer’s opportunity set, with particular emphasis being placed on the choice between convertible debt and units. A unit of debt with warrants is a financial package consisting of a straight bond or note, and one or more common stock warrants. This study finds that issuers earn insignificant average abnormal returns around the announcement and issuance period for unit offerings, thus presenting units as a unique case of a "penalty-free" equity offering. Finnerty [1986] suggests that units may be structured in such a way as to create a synthetic convertible bond. He shows how a unit provides the issuer an advantage of a larger tax shield than does a comparatively structured convertible. The present study finds that the market views the tax advantage as being only marginally important. Also, a comparison of the terms of units and convertibles reveals that, in practice, units are not structured as synthetic convertible bonds. A cross—sectional analysis evaluates unit and convertible issuer abnormal returns in light of hypotheses that the securities reduce agency costs to the firm. The evidence is generally inconsistent with the agency cost reduction hypothesis. This study presents the first information about the valuation consequences of unit issuances and factors that may be related to the decision to make such offerings.<br>Ph. D.

Under current GAAP principles convertible debt is valued and accounted for using an outdated practice. Only one aspect of these complex financial instruments are valued at a time resulting in flawed financial statements. Although the Accounting Principles Board agreed with this sentiment, originally proclaiming that both the debt and equity aspects be valued together, significant resistance by the public forced the Board to amend its Opinion to the current standard. In this paper three ratios that measure company performance and health will be tested against the amount of convertible debt in selected companies in the hopes that a correlation will be found that shows the impact of the current accounting method.

This study examines the stock market reaction to new convertible bond (CB) issuing firms in Japan during the period 2009 to 2013. The evidence suggests that issuing firms experience significantly negative abnormal following the announcement dates. The relationship between certain firm characteristics and magnitude of market reaction is also studied. Firm size, leverage and book-to-market ratios are found to have no association with abnormal return following a CB announcement.

This thesis investigates the share price response to the announcement of private placements of hybrid securities in Australia. Firstly, the size and direction of the share price response is examined. Secondly, the determinants of the share price response are examined. Where possible, comparisons are made to evidence from international markets. The sample of data tested consists of 43 announcements of convertible debt issues, 39 announcements of preference share issues and 19 announcements of option issues made between 1983 and 2000 by Australian firms. The analysis of the share price impact in response to the announcements is conducted using Maynes and Rumsey (1993) event study methodology that adjusts for thin trading. The determinants of the share price response are examined using model specifications that are derived from the theoretical literature. The analysis of the announcement effect of private placements of hybrid securities finds significant negative abnormal returns for convertible debt issues, insignificant negative abnormal returns for preference share issues and significant positive abnormal returns for option issues. In comparison to international studies, the convertible debt results are similar to public and rights issues, the insignificant preference share results are similar to other findings and the option results are similar to private placements of equity and rights issues of options. The results of the investigation of the determinants of the announcement effect of private placements of hybrid securities finds that convertible debt issues are best explained by information asymmetry - firm and issue characteristics, the information asymmetry - external monitors hypothesis, the information asymmetry - dynamic hypothesis and the agency cost hypothesis. The impact of preference share issues is best explained by information asymmetry - firm and issue characteristics, the information asymmetry - external monitors hypothesis, the agency cost hypothesis and the price pressure hypothesis. The announcement effect of option issues is best explained by information asymmetry - firm and issue characteristics, the information asymmetry -dynamic hypothesis and the optimal capital structure hypothesis.

Includes bibliographical references.<br>The aim of this paper is to investigate Shoprite’s decision to issue convertible bonds despite South African firms tending to favour traditional forms of debt or equity. The paper first revisits the theory on convertible debt to consider the possible reasons for why Shoprite elected to issue convertible debt, and then develops two models, the first to quantify Shoprite’s debt capacity and cost of debt, the second to value the convertible bond issue, and quantify the benefit, if any, that convertible bonds achieved as opposed to a straight debt or equity issue.

Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2018-07-31T16:29:25Z No. of bitstreams: 1 Giulliano Tozzi Coelho_.pdf: 3230618 bytes, checksum: 1bd46fd793c7c58d0750efa206629e74 (MD5)<br>Made available in DSpace on 2018-07-31T16:29:25Z (GMT). No. of bitstreams: 1 Giulliano Tozzi Coelho_.pdf: 3230618 bytes, checksum: 1bd46fd793c7c58d0750efa206629e74 (MD5) Previous issue date: 2018-05-03<br>Nenhuma<br>As startups desempenham um papel relevante na produção de inovações e, por consequência, no desenvolvimento econômico. Por não possuírem todos os recursos necessários para o desenvolvimento dos seus negócios, é comum optarem por procurarem investimentos, encontrando nos investidores-anjo uma opção vantajosa. No Brasil, apesar de existirem algumas opções por realizar essa espécie de investimento, optou-se por adotar as chamadas notas conversíveis, fortemente inspiradas na prática norte-americana. Tais instrumentos podem ser definidos como um investimento realizado através da concessão de um empréstimo, o qual poderá ser pago na data de vencimento através da conversão do saldo devedor em participação societária. A conversão é obrigatória, entretanto, quando ocorre algum evento de liquidez entre a concessão do empréstimo e o vencimento. Por contarem com inúmeras cláusulas de natureza societária, tais instrumentos não podem ser classificados como o instituto típico do mútuo. Deste modo, poderia o instituto ser classificado ou como uma sociedade em comum, em face das disposições peculiares do instrumento, ou como um contrato atípico consagrado pelos usos e costumes. Para responder essa questão foi conduzida uma pesquisa qualitativa através da entrevista de doze pessoas que participaram destas operações na condição de investidor ou empreendedores. Os resultados confirmam que as notas conversíveis são o instrumento comumente utilizado nas operações de investimentoanjo, bem como que as partes entendem estar diante de uma norma jurídica exigível ao se valerem do instituto. Aliado a isto, o resultado pode ser sustentado pela percepção de outros instrumentos similares no ordenamento, a ausência da identificação do fim comum entre as partes, bem como pela teoria da atipicidade contratual.<br>Startups play an important role on the production of innovations and on economic development. Since startups do not have all the necessary resources for the development of their business, they often look for financial support from angel investors. In Brazil, although there are some formal options to contract this type of investment, entrepreneurs decided to adopt the so-called convertible notes, strongly inspired by US practice. Such instruments may be defined as an investment made through the granting of a loan, which may be paid on the maturity date through the conversion of the debtor balance into equity. Conversion is mandatory, however, when any liquidity event occurs between the granting of the loan and the maturity. Since the convertible notes have numerous clauses of corporate nature, such instruments can not be classified as the typical institute of loan. In this way, the institute could be classified as a partnership, or as an atypical contract consecrated by customs. This dissertation conducted interviews with twelve people who participated in these operations as investors or entrepreneurs. The results confirm that convertible notes are the instrument commonly used in angel-investment operations, as well as the fact that the parties understand that they are in compliance with a legal standard that is required when using the institute. Allied to this, the result can be sustained by the perception of other similar instruments in the Brazilian legal framework, the absence of the identification of the common objectives between the parts, as well as by the theory of contractual atypicity.

Desde a adoção das normas internacionais de relatórios financeiros (IFRS) no Brasil, em 2010, a discussão sobre a classificação de instrumentos financeiros entre instrumentos de dívida ou de patrimônio tem se intensificado. Quando a Lei 11.638/07 foi emitida, alterando a Lei das Sociedades por Ações de 1976, teve o condão de introduzir o padrão contábil internacional na contabilidade brasileira. Entretanto, muitos dos instrumentos e aspectos da legislação societária brasileira não foram alterados ou reavaliados à luz desse novo padrão. De um momento para o outro, empresas se viram obrigadas a classificar como dívida, valores antes classificados com patrimônio líquido, como foram os diversos casos de ações resgatáveis. A própria classificação das ações ordinárias e preferenciais como instrumentos de patrimônio líquido foi colocada em dúvida devido à previsão do chamado dividendo mínimo obrigatório. Nesse ínterim, companhias abertas brasileiras emitiram certos instrumentos financeiros, analisaram e os classificaram como instrumentos de patrimônio líquido. Entretanto, tiveram tal classificação questionada pela CVM e foram requeridas a refazer suas demonstrações financeiras. Mesmo internacionalmente essa classificação não é, muitas vezes, óbvia. As últimas discussões no âmbito internacional relacionados com a classificação de instrumentos financeiros como de dívida ou de patrimônio se concentraram em duas abordagens: a \"abordagem restrita do patrimônio líquido\" (Narrow Equity Approach) e a \"abordagem estrita do passivo\" (Strict Obligation Approach). Este trabalho tem como objetivo avaliar a classificação dos instrumentos financeiros patrimoniais previstos na legislação societária brasileira à luz das normas internacionais de relatórios financeiros. Primeiramente entendendo e avaliando os casos de determinação da CVM de refazimento das demonstrações financeiras de companhias em virtude de classificação considerada inadequada de certos instrumentos financeiros como de patrimônio líquido. Em seguida, avaliando a natureza dos instrumentos patrimoniais previstos na legislação societária brasileira, especialmente as ações com dividendos prioritários, e o impacto dessa prioridade nas demonstrações financeiras das companhias. Com base nos resultados do estudo, concluiu-se que os casos de refazimento estavam relacionados a uma tentativa de classificar instrumentos típicos de dívida como patrimoniais, a partir da alteração de certos termos, mas sem atender a todos os requisitos da norma contábil. Adicionalmente, para as companhias com ações preferenciais com dividendos prioritários, observamos que os instrumentos atendiam a classificação de patrimônio líquido e que a prioridade no recebimento trouxe benefícios de fato para os seus detentores.<br>Since the adoption of the International Financial Reporting Standards in Brazil, in 2010, the discussion on the classification of financial instruments between debt or equity instruments has intensified. When the law 11,638/07 was issued, changing the Brazilian Corporate Law of 1976, had the effect of introducing international accounting standards in the Brazilian accounting environment. However, many of the instruments and aspects of Brazilian corporate legislation have not changed or reassessed in the light of this new standard. From one moment to the next, companies were required to reclassify amounts from equity to debt, as were the various cases of redeemable shares. Even the classification of ordinary and preferred shares as equity instruments was questioned due to the statutory minimum mandatory dividend. In the meantime, Brazilian listed companies have issued certain financial instruments, analyzed and classified them as equity instruments. However, they had such a classification questioned by the Brazilian Securities and Exchange Comission (CVM) and were required to restate their financial statements. Even internationally, this classification is not often obvious. The latest discussions in the international forum related to the classification of financial instruments as debt or equity focused on two approaches: the Narrow Equity Approach and the Strict Obligation Approach. This study aims to evaluate the classification of equity financial instruments as per the Brazilian corporate legislation in light of the International Financial Reporting Standards. Firstly, understanding and evaluating the cases of restatement of the financial statements of companies as determined by CVM due to misclassification of certain financial instruments as equity. Then, assessing the nature of equity instruments as per the Brazilian corporate legislation, especially the shares with priority dividends, and the impact of this priority in the financial statements of the company. Based on the results of the study, it was concluded that the restatements were related to the attempt of classifying typical debt instruments as equity, by amending certain of their terms, but not meeting all the requirements of the relevant accounting standard. Additionally, for companies with preferred shares with priority dividends, we observed that the instruments were classified as equity and that the priority has effectively brought benefits to these shareholders.

Este trabalho propõe-se a estudar, mediante abordagem teórica e prática, o regime jurídico das debêntures, tendo em vista as recentes alterações introduzidas pela Lei nº 12.431, de 24 de junho de 2011, que promoveu mudanças significativas em sua disciplina, bem como examinar os problemas e questões atuais das debêntures em um contexto evolutivo da doutrina e dos casos práticos que lhe são submetidos à análise, tendo em vista o uso cada vez mais frequente desse mecanismo de financiamento das sociedades. Busca-se, também, examinar o funcionamento do mercado de debêntures e as novas propostas para incentivar a circulação dos títulos de dívida. Dentre as questões mais controvertidas a serem estudadas neste trabalho, destacam-se as seguintes: (i) evolução da natureza jurídica do instituto, em que as debêntures são vistas como títulos de dívida pertencentes à categoria dos valores mobiliários; (ii) criação do novo mercado de debêntures, como avanço à proposta do Novo Mercado de Renda Fixa; (iii) possibilidade de emissão de debêntures por sociedades limitadas e cooperativas, em razão da ausência de vedação legal e da existência de normas que lhe dão suporte jurídico; (iv) realização de negócios jurídicos com debêntures que vão além da sua função econômica de financiamento da empresa; (v) existência da organização dos debenturistas, em complemento à ideia de comunhão de interesses, tendo em vista o seu caráter orgânico; e, por fim, (vi) se os deveres fiduciários dos administradores se voltariam também aos interesses dos debenturistas, como credores especiais da sociedade emitente.<br>This work aims to study, through a theoretical and practical approach, the legal system of debentures in view of the recent changes introduced by Law No. 1431, of June 24, 2011, affecting significantly their discipline, and also to examine their current problems and issues within the evolutionary context of the doctrine and the case studies that are submitted to analysis, since the use of this financing mechanism by companies has been increasingly frequent. It also seeks to examine the functioning of the debenture market and the new proposals to stimulate the circulation of debt bonds. Amongst the most controversial issues to be studied in this work, the following are highlighted: (i) the evolution of the legal nature of this institute, in which debentures are seen as debt notes pertaining to the category of securities; (ii) the creation of a new debenture market as an advancement to the proposal of the New Fixed Income Market; (iii) the possibility of limited partnerships and cooperatives issuing debentures in view of the absence of a legal prohibition and the existence of norms that give legal support to it; (iv) the consummation of legal transactions with debentures that go beyond their economic function of business financing; (v) the existence of a debenture holder organization as a complement to the idea of pooling of interests, in view of its organic character; and, finally, (vi) whether the fiduciary duties of the administrators would also accommodate the interests of the debenture holders, while in their position of special creditors to the issuing business.

碩士<br>國立交通大學<br>財務金融研究所<br>105<br>The recent financial crisis leads researchers to focus on contingent capital. There are a lot of reason caused financial crisis. Managers’ wealth is one of the important element caused financial crisis. In this paper, we provide a framework to analysis firm’s capital structure with the presence of inside debt and contingent convertible bonds. Our main analysis focus on the agency problem when issue contingent convertible bonds and inside debt. We show that if managers and shareholders can make investment decision, they will raise more fund from CoCo bonds rather than straight debt and result in agency problem. The presence of inside debt will reduce the incentive of managers to take risk.

碩士<br>國立成功大學<br>國際企業研究所碩博士班<br>95<br>在過去對於可轉換公司債的研究裡，學者推導出幾個重要的理論來解釋為何公司會選擇可轉換公司債來作為融資的工具：代理成本、資訊不對稱、融資順位、後門權益融資、後續融資理論。依據上述理論所衍生出來的意涵，本研究整理出相關假設，利用新發行的債務資料來提供實證研究。Denis（2003）提出了增額法的特色為可用來探討公司發行新債與公司既有舊債之間的關連性。因此，本研究利用增額法來檢驗公司發行可轉債與直接債的決定因素。更進一步地，本研究嘗試探討公司的舉債模式是否會受到既有債務結構影響。 利用1996年到2005年間所發行的1,733筆新債資料，本研究發現，當公司在決定發行傳統直接債與可轉換公司債時，該公司資訊不對稱問題嚴重程度扮演著很重要的腳色，資訊不對稱越嚴重越傾向於發行可轉換公司債。此外，公司的財務狀況也是發行新債決定的重要考量，財務健全的公司傾向於發行直接債。本研究發現市價淨值比對於公司舉債決策影響較不顯著，然而當公司發行新的可轉換公司債時，倘若先前公司舉債模式皆為可轉換公司債，則隱含著該公司的高成長潛力。最後，公司在發行新債時會受到先前舉債模式的影響，遵循既有經驗發行同類型的新債。

碩士<br>國立臺北大學<br>經濟學系<br>96<br>This paper studies the issue decision problem of the convertible debt. It particularly analyzes the relation between the conversion premium, and different enterprises characteristics and industry classification. The purpose is in order to examine how the company determines the conversion premium. The research sample includes public U.S. convertible debt issued between January, 1992 and March, 2007. The empirical results are summarized as follows. The issuers with low coupon rate, low debt ratio and higher credit rating would set higher conversion premium. In addition, this thesis also finds that the conversion premium deterministic factors of the issuers are associated with enterprises characteristics. Finally, in discussing different industry's classifications, it observes the electrical industry is not influenced by the selected parameters of this research while setting conversion premium, but the conversion premium of the nonelectrical industry is influenced by debt-convertible dummy, debt ratio and issue size. This thesis hopes the research can offer reference to the issuers while setting conversion premium in order to design the good convertible debt. Enable the convertible debt to give play to its financing function effectively. The investors can also determine whether to buy the convertible debt or not according to the deterministic factors of conversion premium.

碩士<br>國立臺灣大學<br>會計學研究所<br>105<br>Under current accounting rules, Convertible Bonds (CBs) are treated as equity while European Convertible Bonds (ECBs) are treated as debt. This study reviews the logic and the theories behind this controversial rule and investigates empirically whether European Convertible Bonds share key characteristics of liabilities or equities. We find evidence that ECBs, similar to CBs, are negatively associated with the common equity risk and expected return, consistent with the notion that the market treated it as equity. The above association still exist for ECBs with repricing clauses.

This case study focuses on the BPI’s recapitalization plan, its causes and the reasons for the early reimbursement of CoCos in June 2014. The need for a capital intervention and the subsequent subscription agreement with the Portuguese Government of €1 500 million Core Tier 1 instruments were the result of a temporary capital buffer for sovereign debt exposures imposed by the European Banking Authority. The capital increase, the positive earnings in 2012 and 2013, the improvements in the sovereign debt crisis, the implementation of Basel III, in addition to the public exchange offer and the conversion of deferred tax assets into tax credits are the main factors for concluding the entire recapitalization operation three years before the deadline.<br>UNL - NSBE

碩士<br>國立交通大學<br>財務金融研究所<br>96<br>In the past, there was lots of literatures treating firms' performance after issuing convertible debt, but few scholars tended to discuss the long run performance after conversion. It is difficult to collect the information about the date when the convertible is converted on. Therefore, in this study, we treat the case where the price exceeds the conversion price as the timing of conversion. Then, we exam the long run performance after conversion. Literatures suggest that convertible debt reduces the debt- and equity-related costs of external finance, so many firms issue convertible debt instead of standard securities such as straight debt (Green, 1984) or common equity (Stein, 1992). This paper also contrasts the long-run abnormal returns after conversion based on two different incentives. Besides, we try to explain the firms’ financing decisions to issue convertible debt by adopting the duration model. The result indicates that firms on average perform poorly in the long time after conversion, particularly for equity-like convertible debt. Moreover, it reveals that the business cycle, firm size, offer size, stock volatility, financial leverage and future investment opportunities have significant influence on the financing decisions of issuing convertible debt.

The goal of this paper is to identify the determinants in the issuing decision of convertibles and stock price fluctuation two days after an announcement. To do so, we review different papers to understand why we use convertibles and then apply the same methodology as Lewis (2003) used earlier. We apply this methodology to three different sectors, with larger samples than the ones used by Lewis. Furthermore, the selected period of our samples goes from 2001 to 2015 where in the previous study, the period was from 1979 to 1992. Our results show us that the economic environment has an important influence on the investor’s behaviors and therefore, on the determinants of the convertible bonds.

碩士<br>國立臺灣大學<br>財務金融學研究所<br>94<br>Abstract The main purpose is to identify the determinants of convertible debt’s call provision design. We divide our study into three parts. First, we use a sample of new debt financings in 1999 and 2000 to examine the choice between convertible debt and straight debt. Our results indicate that the likelihood of issuing convertible debt compared to straight debt is higher for small firms, high technology firms, high growth firms, and high investment growth firms, which is consistent with information asymmetry and the agency costs theories. Also, consistent with financial health theory, we find that firms with poor financial slack and profitability are more likely to issue convertible debts than straight debts. Because the main object of this study is convertible debt, we don’t consider callable straight debt but only focus on convertible debt. Next, we document the determinants of call provision of new convertible debts issued between 1989 and 2000. Our main finding is that callable convertible debt issuers have better performance after issuance than noncallable debt issuers. This result is consistent with information asymmetry theory. Finally, we provide an empirical examination of determinants of convertible debt’s call protection period. We find that firms are more likely to issue convertible debt with longer call protection if they are large or high growth firms. This result is consistent with information asymmetry and earnings dilution theory that large firms issue convertible debt with longer call protection period in order to avoid earnings dilution.

碩士<br>國立臺灣大學<br>財務金融學系<br>82<br>The purpose of this paper is to use financial data of public firms in the Taiwan stock market to study the interaction among the investment, dividend and financing decisions of firms under issuing convertibles or not, and to decide the imperfect degree of Taiwan capital market.　　1. The scholars didn''t consider convertibles in the past papers.So we take the convertibles into account and use Two-Stage Switching Simultaneous Equation system to research this subject. Given that a firm issue convertibles or not,the interaction among the three decisions are examined.　　2. To test the proposition by Dhrymes and Kurz (1967) that a firm''s investment decision competes with its dividend dicision for limitted source of funds.　　The major findings are :　　1. When a firm doesn''t issue convertibles, financing decision will influence investment decision. That is, financing decision will influence the value of a firm. From this result, Taiwan capital market is an imperfect capital market.　　2. When a firm issues convertibles, investment dicision will positively influence dividend dicision. From this result, the proposition by Dhrymes and Kurz (1967) doesn''t gain support.

碩士<br>國立臺灣大學<br>財務金融學研究所<br>93<br>This paper examines the relationship between firms’ convertible debt issuing and their subsequent capital expenditures as noted by Korkeamaki and Moore (2004). We investigate whether the subsequent capital expenditures of Taiwanese firms following their issue of convertible bond are in accordance with the theory of optimal timing proposed by McDonald and Siegel (1986) and Dixit and Pindyck (1994). As an extension to Korkeamaki and Moore (2004), this paper classified sample firms into two groups: China-concept group and non-China-concept group and did the empirical studies respectively. A two-stage Probit Model for Switching Regression proposed by Lee, Maddala and Trost (1980) is used to examine whether China-concept group and non-China-concept group exhibit different behavior on the relationship between firms’ convertible debt issuing and their subsequent capital expenditures. Our findings support that firms consider their waiting benefits (expected growth) and costs (capital costs) to time their capital investment decisions, and imply firms view convertible bonds as a sequential financing tool proposed by Mayers (1998). In addition, we find the following capital expenditure of non-China-concept firms issuing euro convertible bonds is consistent with the theory of optimal timing, while that of China-concept firms is inconsistent with the theory. That implies maybe the purpose of China-concept firms issuing euro convertible bonds is not for sequential financing needs but for other reasons, such as raising enough funds to invest in Mainland China.

碩士<br>輔仁大學<br>會計學系碩士班<br>99<br>This study was to review the rules of financial instruments with characteristics of equity under United States, international and R.O.C., as well as discuss how should the convertible debts classify and express under the current standards; supported by empirical testing between 2006-2009 that whether the components of the convertible bonds with reset terms or not affect systematic risk of equity to the company, the results are as follows: 1. The debt components (embedded derivative financial liabilities) separated from the convertible bonds increases systematic risk of equity, which is the same as other liabilities. Thus the study inference the investors view the characteristics of debt components of convertible bonds are similar with other liabilities. 2. When the companies voluntary to reclassify the equity components of the convertible bonds to the debt components, the debt components of convertible bonds increase systematic risk of equity, said reclassification cases get the same results. The investors remained treating as financial leverage increased. 3. The debt components of convertible bonds with no reset terms will affect the companies’ systematic risk of equity increase; in addition, the equity components of convertible bonds with no reset terms effect systematic risk of equity increase; and the equity components of convertible bonds with reset terms affect the companies’ systematic risk of equity reduce. That is, investors have inconsistent views to the convertible bonds with reset terms or not about their conversion chances in the future.

Przedmiotem rozprawy jest przedstawienie problematyki obligacji zamiennych w świetle polskich i amerykańskich regulacji prawnych (w ujęciu prawnoporównawczym). Rozwiązania prawne przyjęte w zakresie prawa papierów wartościowych w skali światowej często kopiują rozwiązania amerykańskie, jako najbardziej rozwiniętego rynku papierów wartościowych na świecie. Centralnym zagadnieniem rozprawy stała się przeto analiza konstrukcji prawnej obligacji zamiennych w obu tych systemach prawnych jako papierów wartościowych dłużnych (ujęcie cywilistyczne), tudzież instrumentów finansowych (ujęcie administracyjno-prawne), inkorporujących zobowiązania emitenta do spełnienia świadczeń pieniężnych na rzecz inwestorów (obligatariuszy), a jednocześnie przyznających tym inwestorom alternatywną możliwość dokonania (wedle ich nieprzymuszonej woli) zamiany obligacji zamiennych na akcje emitenta (opcję zamiany) według ustalonych parytetów zamiany. Rzeczona analiza wymagała również przedstawienia gospodarczego przeznaczenia obligacji zamiennych, usytuowania obligacji zamiennych w świetle klasyfikacji obligacji i praktyki obrotu w Polsce, a także przybliżenia podobieństw i różnic pomiędzy obligacjami zamiennymi a pokrewnymi instrumentami finansowymi. Głównymi celami badawczymi rozprawy było wyciągnięcie wniosków z postawionych problemów badawczych, tj.: 1) charakterystyka gospodarcza (pozaprawna) i prawna obligacji zamiennych w ujęciu prawnoporównawczym (w świetle prawa polskiego i amerykańskiego), oraz 2) charakterystyka prawna podobieństw oraz różnic pomiędzy obligacjami zamiennymi a innymi, pokrewnymi instrumentami finansowymi. Ważnym elementem rozprawy było kolejno sformułowanie postulatów i wniosków de lege lata i de lege ferenda dla ustawodawcy polskiego wynikających z przeprowadzonej analizy prawnoporównawczej obligacji zamiennych. W rozprawie pozytywnie została zweryfikowana hipoteza badawcza sprowadzająca się do następującego twierdzenia: Prawo polskie w zakresie regulacji obligacji zamiennych jest efektywne, gdyż w porównaniu do prawa amerykańskiego, charakteryzuje się elastycznymi (mało restrykcyjnymi) przepisami, które w sposób właściwy chronią interesy inwestorów (obligatariuszy) oraz emitentów. Obligacje zamienne, mimo podobieństwa jurydycznego do innych instrumentów finansowych, stanowią specyficzny (szczególny) rodzaj hybrydowego instrumentu finansowego. Rozprawa doktorska składa się ze wstępu, pięciu rozdziałów oraz zakończenia (nazywanego podsumowaniem). We wstępie zaprezentowano przedmiot rozprawy, uzasadnienie wyboru badawczego oraz zakres badań. W dalszej kolejności dokonano przeglądu literatury przedmiotu, w tym polsko- i anglojęzycznej. Nadto, sformułowano cele badawcze, tezę rozprawy, pomocnicze pytania badawcze i omówiono strukturę rozprawy. Wreszcie scharakteryzowano metody badawcze wykorzystane w rozprawie. W Rozdziale I przybliżono pozaprawne aspekty związane z obligacjami zamiennymi. Celem wprowadzającego rozdziału było więc przeanalizowanie gospodarczego przeznaczenia obligacji zamiennych. W tym kontekście poruszono następujące zagadnienia: 1) rozumienie obligacji zamiennych w literaturze ekonomicznej (w tym finansowej), istotę hybrydowej natury obligacji zamiennych (częstego określania obligacji zamiennych mianem instrumentów finansowych hybrydowych), 2) wycenę obligacji zamiennych czy ekonomicznych funkcji, jakie spełniają analizowane instrumenty finansowe. Novum na gruncie literatury przedmiotu w Polsce stanowiła analiza obligacji zamiennych w świetle finansowania przedsiębiorstw. Wreszcie Rozdział I zawiera wzmianki traktujące o zaletach i wadach obligacji zamiennych z perspektywy emitenta oraz inwestora. Rozdział II rozprawy stanowi omówienie obligacji zamiennych (ang. convertible bonds) w świetle amerykańskiego systemu prawnego. Skorzystano przy tym z literatury oraz orzecznictwa sięgającego XIX wieku, jak również podstawowych przepisów prawa. W pierwszej kolejności zdefiniowano obligacje zamienne, wskazano na główne ich cechy charakterystyczne, które różnicują obligacje zamienne oraz podobne instrumenty finansowe (tj. obligacje wymienne oraz akcje uprzywilejowane). Nadto, skupiono się wokół prawnych wymogów dotyczących emisji obligacji zamiennych oraz ich konwersji na akcje emitenta w świetle prawa spółek w USA. W dalszej kolejności przybliżono federalne regulacje mające wpływ na emisję, obrót obligacjami zamiennymi oraz realizację przez obligatariusza prawa zamiany na akcje emitenta (zwrócono przy tym uwagę na rolę amerykańskich organów regulacyjnych). Wreszcie omówiono warunki emisji obligacji zamiennych i problemy związane z ich wykładnią w świetle orzecznictwa amerykańskiego. Wzmiankowano również o zmianie treści stosunku prawnego inkorporowanego w obligacjach zamiennych oraz zwrócono uwagę na problemy prawne związane z opcją konwersji (m.in. ryzyko rozwodnienia). Na końcu przybliżono rynek obligacji zamiennych w USA oraz podano przykładowe emisje obligacji zamiennych. W ramach Rozdziału III zaprezentowano wprowadzenie do analizy prawnej obligacji zamiennych w świetle prawa polskiego. Rozdział zawiera przybliżenie: konstrukcji prawnej obligacji, klasyfikacji obligacji oraz źródeł regulacji prawnej obligacji zamiennych. Ponadto, w tym rozdziale dokonano przeglądu rynku obligacji zamiennych w Polsce, który charakteryzuje się niezadowalającym poziomem rozwoju. Last but not least, wskazano we wspomnianym Rozdziale, te emisje obligacje zamiennych w Polsce, które stały się przedmiotem badań empirycznych (Załącznik Nr 1). W ramach Rozdziału IV przedstawiona została wszechstronna i kompleksowa analiza obligacji zamiennych w prawie polskim. Celem właściwego wywodu zaprezentowanego w ramach tego Rozdziału było wskazanie elementów charakterystycznych, które definiują obligacje zamienne na gruncie polskich przepisów prawnych oraz dorobku doktryny (tzw. prawnicze definicje obligacji zamiennych), co pozwoliło następnie na sformułowanie modelowej, autorskiej, definicji obligacji zamiennych w prawie polskim (z uwzględnieniem także wniosków w tym względzie płynących z rozważań zawartych w Rozdziale I). Wyjaśniono również konsekwencje prawne uznania obligacji zamiennej za papier wartościowy dłużny emitowany w serii oraz instrument finansowy. Omówiono zasadę numerus clausus papierów wartościowych i jej wpływ na kwalifikację obligacji zamiennej jako papieru wartościowego. Istotne było przedstawienie dwóch form obligacji zamiennej: dokumentowej oraz zdematerializowanej (w szerszym kontekście dematerializacji papierów wartościowych). Kolejnym zagadnieniem było wskazanie sposobów zabezpieczenia wierzytelności wynikających z obligacji zamiennych przez emitenta. W dalszej kolejności przedstawione zostały inne podstawowe zagadnienia prawne związane z obligacjami zamiennymi takie jak: zdolność do emitowania obligacji zamiennych, proces emisji obligacji zamiennych (z uwzględnieniem zapisu o dopuszczalności emisji obligacji zamiennych w statucie emitenta, konstytutywnych i fakultatywnych elementów uchwały o emisji obligacji zamiennych, uchwały o warunkowym podwyższeniu kapitału zakładowego oraz rodzajów emisji zgodnie z Ustawą o obligacjach). Na uwagę zasługuje również poruszenie kwestii statusu prawnego banku-reprezentanta i zmiany treści stosunku prawnego inkorporowanego w obligacjach zamiennych. Wreszcie, przybliżono wymogi wynikające z prawa kontroli koncentracji oraz prawa rynku kapitałowego w kontekście realizacji praw inkorporowanych w obligacjach zamiennych. W ramach ostatniego, Rozdziału V, wskazano zasadnicze kryteria wyróżniające obligacje zamienne od pokrewnych instrumentów takich jak: obligacje z prawem pierwszeństwa, warranty subskrypcyjne, prawo do akcji, kwity depozytowe czy bankowe papiery wartościowe. W Rozdziale zaprezentowany został szczególny instrument finansowy – obligacja warunkowo zamienna oraz wskazano na jego konstrukcję prawną w świetle polskich przepisów prawa. W ramach podsumowania poddano krytycznej analizie obligacje zamienne w prawie polskim z perspektywy: a) ich gospodarczego przeznaczenia; b) prawa amerykańskiego; c) klasyfikacji obligacji i obrotu gospodarczego w Polsce; d) charakterystyki pokrewnych instrumentów finansowych. Wreszcie wskazano wnioski de lege lata i postulaty de lege ferenda dla polskiego ustawodawcy (wnioski końcowe).<br>The subject of the dissertation is to present the issue of convertible bonds under Polish law and the United States of America law (in a comparative approach). As a matter of fact, the legal solutions adopted in the field of securities law in the world often copy the solutions of the U.S. law as the most developed securities market in the world. The central issue of the dissertation became therefore the analysis of the legal structure of convertible bonds in both jurisdictions. Convertible bonds are debt securities, financial instruments, under which the issuer owes the holders (bondholders) a debt, and simultaneously grants the holders an alternative possibility (a privilege) to convert bonds into shares of the issuer (a conversion option) according to fixed conversion ratio. The subject matter analysis also covers: the economics of convertible bonds, the convertible bonds in the light of classification of bonds and trading practices in Poland, as well as determination of the similarities and differences between convertible bonds and related financial instruments. The main objective of the dissertation is to draw conclusions from the research issues: 1) the economic characteristics of convertible bonds in a comparative approach, and 2) the legal determination of the similarities and differences between convertible bonds and other related financial instruments. An important element of the dissertation was therefore to formulate de lege lata and de lege ferenda conclusions. In the dissertation there has been positively verified the following hypothesis: convertible bonds under Polish law are effectively regulated, as compared to U.S. law, since Polish law is characterized by flexible (less restrictive) regulations that adequately protect the interests of investors (bondholders) and issuers. Convertible bonds, despite the similarity to the other financial instruments, are specific (special) hybrid financial instruments. The doctoral thesis consists of an introduction, five chapters, and the end (called summary). In the introduction to the dissertation, there were presented the following issues: a justification for the choice of the research and the scope of research. Subsequently, the review of literature on the subject matter was determined. Moreover, the research objectives, hypothesis and research questions were formulated and the structure of the dissertation was mentioned. Finally, the research methods were established. Chapter I brought closer look to non-legal aspects of convertible bonds. The purpose of the introductory chapter was therefore to analyze the economics of convertible bonds. In this context, the following issues were addressed: 1) understanding of the convertible bonds in the economic literature, the essence of the hybrid nature of convertible bonds, 2) the valuation of convertible bonds or economic functions they fulfill. Moreover, a novelty in Polish literature is an analysis of the role of convertible bonds in the corporate finance. Finally, Chapter I contains references dealing with the pros and cons of convertible bonds from the perspective of the issuer and the investors. Chapter II is a discussion of convertible bonds in the light of the American legal system. In the first instance, convertible bonds were defined and there were indicated their primary characteristics that differentiate convertible bonds from similar financial instruments. Moreover, the legal requirements for the issuance of convertible bonds and their conversion into shares of the issuer in the light of corporate law in the United States, federal securities regulation as well as antitrust laws were explained. In this chapter, there were also mentioned leading cases in the U.S. dealing with convertible bonds as well as interpretation of bond indenture. The framework of Chapter III presents an introduction to the legal analysis of convertible bonds under Polish law. This chapter contains the analysis of the legal structure of bonds, the bond classifications and sources of legal regulation of convertible bonds. In addition, this chapter reviews the convertible bonds market in Poland, which, is still characterized by an unsatisfactory level of development. Last but not least, the sample issues of convertible bonds in Poland, which became the subject of empirical research, were covered. Chapter IV presents the comprehensive analysis of convertible bonds in Polish law. The purpose of this chapter was to identify the essential features that define the convertible bonds on the basis of Polish legislation and the doctrine that allowed formulating a model definition of convertible bonds according to Polish law. In the last, Chapter V, there were indicated the basic similarities and differences between convertible bond and other financial instruments, including but not limited to bonds with warrants, reverse convertible bonds and contingent convertible bonds. Finally, there were formulated de lege lata and de lege ferenda conclusions for Polish law legislators.