信用風險對可轉換公司債價格之影響

Abstract

可轉換公司債近年來成為公司籌措資金的重要工具，但是大部分的可轉換公司債並沒有信用評等，對投資人來說信用風險對於可轉換公司債的影響是難以捉摸的，本研究以台灣經濟新報所評比的TCRI、穆迪KMV公司之預期違約頻率衡量模型所發展的違約距離，以及Altman在1968所建構的Z分數來衡量可轉換公司債的信用風險。 本研究選取2004至2007年所發行的193筆可轉換公司債資料，以最小平方蒙地卡羅法計算可轉換公司債的模型價格，並驗證未考量信用風險下的模型價格與可轉換公司債發行價格之間的價差是否能被信用風險指標所解釋。一般而言，信用風險愈高，可轉換公司債的價差愈大。TCRI等級愈大表示信用風險愈高；違約距離與Z分數愈大表示信用風險愈低；換句話說，TCRI與價差為正向關係，違約距離和Z分數與價差皆為負向關係。結果發現，價差約有9.7%可以被信用風險指標所解釋，其中，以TCRI的解釋能力最佳。整體解釋能力不高，表示尚有其他解釋變數，例如是流動性、公司治理、轉換後為被稀釋的股票，留待後續研究。

The convertible bond becomes the most important way for the company to raise money, but most of convertible bonds don’t have credit rating. For the investors, the credit risk of convertible bond is elusive. We use the TCRI which is provided by Taiwan Economic Journal (TEJ), Distance to Default (DD) which is calculated by Moody’s KMV model and Z-score which is established by Altman in 1968 as the credit risk measure of convertible bond. We select the 193 convertible bonds issued in 2004 to 2007 as our empirical data and use Least-Square Monte Carlo method to valuate the model price of convertible bond. We verify whether the price differential between model price and issuing price of convertible bond can be explained by credit risk indexes or not. Generally, the greater the credit risk, the higher the price differential of convertible bond. The greater TCRI rank indicates the higher credit risk; the greater DD and Z-score indicates the lower credit risk. In other words, the relation between TCRI and price differential is positive; the relations between DD and price differential, Z-score and price differential are both negative. The results show that 9.7% of the price differential can be explained by credit risk indexes, and the explanatory power of TCRI is the strongest. The entire explanatory power is not high. It implies that there are still some parts of price differential can not be explained. These parts may be explained by liquidity, corporate governance and conversion stock is diluted which are left for future research.