特別股發行價格訂定與市場反應之關聯

本研究以1988年至2020年間曾上市櫃之特別股作為研究樣本，透過特別股與普通股之相對價差模型討論特別股價值組成以計算出特別股之理論發行價格，並判斷特別股是否為折價發行，再以普通股累積異常報酬作為應變數，探討特別股折價發行對普通股股價之影響，以驗證本文特別股評價模型之準確性。　　實證結果發現特別股條款對特別股股東是否有利為判斷特別股價值組成之重要依據，而股利可否累積、自由轉換等權利將會增加特別股之價值，發行公司具有贖回權時，則會降低特別股之價值。進一步分析特別股發行行為對普通股股價之影響，由於發行方能夠彈性設計特別股之權利義務，且能夠透過條款保障特別股股東之權益，發行公司與投資人間資訊不對稱之現象較不明顯，故無折價發行以吸引投資人投資之必要。基於特別股股東與普通股股東零和之關係，當特別股從折價發行中受益時，普通股股東之權益將因公司之籌資效率降低而受損，故折價發行特別股將會使普通股股價產生負向之反應。該實證結果亦證實本文特別股評價模型之準確性。

關鍵字

特別股；特別股評價；市場反應；累積異常報酬；折價發行；籌資決策

並列摘要

This study values preferred stocks through a regression of the spread between preferred and common stocks and obtains its theoretical issuance price, which helps identifying whether the preferred stock is underpriced. In order to test our valuation model, we then use the accumulated abnormal return(CAR) as dependent variable to examine the market reaction to the issuance of underpriced preferred stock. The samples of this study include the listed and OTC preferred stocks issued over the 1988-2020 period in Taiwan. 　　The result of the study shows that the valuation of a preferred stock depends on whether its terms are benefit to the preferred shareholders. The right of the accumulation of dividend and the conversion to common stock will increase the value of a preferred stock and the right of redemption for the issuer will decrease its value. As for the relationship between the behavior of the issuance and the market reaction of the common shareholders, it is not necessary for the issuers to underprice the preferred stock to eliminate the information asymmetry and attract investors as they can design specific terms for a preferred stock, which will ensure the right of preferred shareholders. And because of the zero-sum relationship between common shareholders and preferred shareholders, when a preferred shareholder is benefit from the underpricing, the right of common shareholders will be compromised owing to the inefficiency of financing. As the result, the issuance of underpriced preferred stock is negatively related to common stock market reaction. The outcome also verifies the accuracy of our valuation model.