| 摘要: | 運用台灣經濟新報資料庫TCRI（Taiwan Corporate Credit Rating Index；台灣企業信用風險指標指數）當作2006年到2011年在櫃買中心交易之227檔可轉換公司債的信用風險指標，本研究分別探討靜態套利的可套利次數、達到投資人要求報酬率之賣回套利最佳持有天數與不同放空比率和投資人要求報酬率下，半動態套利的最佳持有天數，並進一步分析不同信用風險下，三種套利模式報酬率分布情況。 本文實證結果顯示在低度信用風險中，轉換套利下評等三的聯詠二為佳；賣回權套利下評等四的成霖一較佳；半動態套利下評等四的勝德一較佳。在中度信用風險中，轉換套利下評等五的增你三較佳；賣回權套利下評等六的漢科一較佳；半動態套利下評等六的美時一較佳。在高度信用風險中，轉換套利下評等九的華上二較佳；賣回權套利下評等七的晶采二較佳；半動態套利下評等七的加總二較佳。
Using the TCRI (Taiwan the Corporate Credit Rating Index) of the Taiwan Economic Journal database as the proxy of credit rating, this paper empirically studies the arbitrage opportunities of 227 convertible bonds (CBs) listed in Taiwan GreTai securities market. This paper investigates the trading frequency of static arbitrage (or called convertible arbitrage), the shortest holding trading period of put provision arbitrage, and the the shortest holding trading period of semi-dynamic arbitrags with distinct shorting sale ratios and the required rate of return of investors, respectively. In addition, we further discuss the return distributions of the three CB arbitrage strategies with different credit risk profiles. From the empirical results, we demonstrate that for the lower credit risk profile (TCRI=2, 3, and 4), the Microelectronics CB with TCRI equal to 3 has the best performance in convertible arbitrage, Globe Unionindustrial CB with TCRI equal to 4 has the best performance in put provision arbitrage, and the Powertech Industrial CB with TCRI equal to 4 has the best performance in semi-dynamic arbitrage. For the moderate credit risk profile (TCRI=5 and 6), the Zenitron CB with TCRI equal to 5 has the best performance in convertible arbitrage, Wholetech CB with TCRI equal to 6 has the best performance in put provision arbitrage, and the Lotus CB with TCRI equal to 6 has the best performance in semi-dynamic arbitrage. For the higher credit risk profile (TCRI=7, 8, and 9), the Arima Optoelectronicsent CB with TCRI equal to 9 has the best performance in convertible arbitrage, Ampire CB with TCRI equal to 7 has the best performance in put provision arbitrage, and the GIA TZOONG CB with TCRI equal to 7 has the best performance in semi-dynamic arbitrage. |
