企業透過發行債權證券及股權證券來籌措長期資金，常因資訊的不對稱造成市場上正向或負向的反應而影響股東的財富，由於可轉換公司債具有債權及股權的雙重特性，因此市場上對這事件的認知將會影響其宣告效果。過去的文獻大多利用標準的事件研究法來檢視其發行的宣告效果，而本文將從預期轉換期間與累積異常報酬（CAR）之間的關係來探討其所傳遞的訊息效果。當轉換時間越長，其性質較屬於債權證券，反之，其性質屬於股權證券。本論文搜集民國78年至85年間，33件國內成功發行可轉換公司債的資料，首先利用事件研究法來計算其宣告期間的累積預期報酬，然後再利用交叉迴歸分析來研究預期轉換期間與累積異常報酬間的關係。研究結果發現：（1）在宣告日期間的兩日累積異常報酬為不顯著的負效果，其結果與過去的文獻一致。（2）利用迴歸分析的研究結果發現，預期轉換期間與累積異常報酬有不顯著的正相關，加上宣告期間的兩日累積異常報酬為不顯著的負效果，其顯示臺灣析發行的可轉換公司債較屬於股權證券的性質。（3）發行量相對大小、股低報酬標差凍結期間、發行目的、風險溢酬等變數對宣告效果亦是具有不顯著的影響。

　　　　　Basically, a convertible bond is a straight bond combined with a stock option, which gives rise to a very interesting discussion on its issuance. Because of its hybrid nature --- part debt, part equity, hence, the market response to its issuance hinges on what type of security it is mostly like. This study is to reexamine its announcement effect from the perspective of the expected time to conversion. We collect the 33 convertible bond issues in the Taiwan security market for the period 1989 through 1996. First, we calculate the CAR (cumulative abnormal return) in the designated event window Then, we employ the regression analysis to examine the relationship between the expected time to conversion and the CAR. To get a clear picture on this examination, five controlled variables are added in the model. The results show (1) There is a negative but statistically insignificant announcement effect which is consistent with the past research evidences. (2) The regression analysis provides the evidences which show the positive relationship between the expected time to conversion and CAR. It implies that convertible bond is much more like an equity-type security. (3) The size of the equity market value, the volatility of the stock return the protective conversion period, the purpose of the issuance of the convertible bond and the bound's risk premium do not give rise to a significant effect as well.