現金減資之宣告效果

The Announcement Effects of Capital Reduction by Cash

林有志(Yu-Chih Lin) ； 陳筱平(Shaw-Ping Chen)

《當代會計》 12卷1期 (2011/05) Pp. 31-56

https://doi.org/10.6675/JCA.2011.12.1.02

摘要

本研究以我國上市櫃公司2009年4月30日以前所有之現金減資宣告為樣本，採用事件研究法探討市場對現金減資宣告之反應。本研究也以迴歸模式檢測我國市場反應是由那些現金減資宣告的動機所驅動，並檢定第一次現金減資宣告和多次減資宣告之平均累積異常報酬是否有顯著差異。研究結果發現在事件窗期，現金減資宣告具有正的平均異常報酬；關於企業減資宣告的動機方面，訊號發射假說和價值低估假說獲得支持。此外投資人並未將多次現金減資宣告與初次現金減資宣告混同視之，投資人認為多次減資宣告品質更佳，而有更大的正向反應。

關鍵字

現金減資宣告 ； 事件研究 ； 異常報酬

並列摘要

This paper examines the announcement effects of the capital reduction by cash on the stock price of listed firms in Taiwan. The announcements made before April 30, 2009 are selected. Event study is used to examine the market response toward the announcements. We also use a multiple regression model to investigate the motivations for the announcements. In addition, we test the difference in cumulative abnormal returns (CAR) between first and repeat announcements. The empirical results show that there is positive CAR during the narrow announcement window. For the motivations, our findings support the signaling hypothesis and undervaluing hypothesis. Furthermore, the investor reaction is significantly different between first and repeat announcements, indicating the higher perceived quality of repeat announcements.

並列關鍵字

announcements of capital reduction by cash ； event study ； abnormal return