本系擬於5/24(二)上午邀請羅格斯大學李正福教授至本所進行演講，相關訊息如下：

時間: 5/24(二) 上午10:30-12:00

地點: 管理學院一號館2F 冠德講堂

演講人: Prof. 李正福

學校：Rutgers, The state University of New Jersey

講題: Signaling and Risk-mitigating Effects on Sequential Conversion Behavior of Convertible Bonds: A Recurrent Survival Approach

協辦單位：台大計量理論與應用研究中心

Abstract                                                      

The main purposes of this paper are (i) to review convertible bond literature in detail and establish nine propositions to be tested empirically and (ii) to use data from 73 convertible bonds to test the hypotheses in terms of a recurrent survival approach. In addition, we discuss the recurrent survival model in detail and theoretically show how the recurrent survival model can be estimated. The Rversion of the computer program will be shown in the appendix.

This study finds a higher spread of conversion-stock prices and a higher buy-backratio of stock repurchase provide CBs’ debt-like signals of Constantin ides and Grundy(1989); while a lower risk-free rate, higher capital expenditures, higher non-management institutional ownership, and a higher total asset value provide CBs’ equity-like signals of Stein (1992). While the equity-like signals might accelerate the rate of sequential conversions and weaken CBs’risk-mitigating effect in the presence of risk-shifting potential, this study shows this can happen only in a financially healthy firm with a higher free cash flow. For financially distressed firms, CBs’risk-mitigating effect is maintained.