現金增資宣告再探討-反轉獲利假說及內部人交易-以台灣為例

Revised Proceeds, Insider Trading and the Classification of Seasoned Equity offerings: Evidence from Taiwan

邱秀欣(Hsiu-Hsin Chiu)

指導教授 ： 黃漢青

中原大學/商學院/國際商學碩士學位學程/碩士(2015年)

https://doi.org/10.6840/cycu201500651

摘要

摘 要
　　本研究以台灣上市櫃公司於民國95~103年間曾公開發行現金增資為研究對象，來研討現金增資宣告效果是否經由中籤率及宣告日之股價分類為 improved SEO 和 regular SEO 後有產生顯著累績異常報酬。本研究發現 regular SEO 普遍具規模大且高 B/M ratio 之公司，其增資宣告期間具有負面異常報酬。反之，improved SEO　其公司規模普遍較小且為低B/M ratio，其增資宣告日具有正面顯著異常報酬。此外，本研究同時觀察內部人在現金增資宣告期間之交易，將其交易股數及筆數分為淨買組及淨賣組後加以分析，結果顯示內部人傾向於在增資宣告前一年及宣告後一年進行交易，而在宣告期間卻無顯著累積異常報酬。而本研究也因此觀察董監事在增資宣告期間之交易反具顯著累積異常報酬。因此，本研究推測，內部人可能因為避免違反內線交易而避開增資宣告期間來交易。

關鍵字

現金增資 ； 累積異常報酬 ； 內部人

並列摘要

Abstract
　　This paper classifies two types of improved Season equity offerings (SEO) and regular SEO to investigate whether there are differential cumulative abnormal returns around the announcement date of SEO in Taiwan. Meanwhile, we explore whether insider purchasing or selling before SEO announcement have the impact on the cumulative abnormal returns (CAR) around SEO announcement. We find that the performance of regular SEO, which are larger size firms and higher B/M ratio in the majority is worse than that of improved SEO, which are small size firms and low B/M ratio. Regular SEO experiences negative CAR whereas improved SEO receive positively CAR during announcement period. To investigate insider trading before SEO announcement, we find that insiders tend to trade before one month to one year rather than to trade surrounding SEO announcement. Moreover, the share traded by board of directors has positive influence on CAR around SEO announcement, suggesting that insiders may try to avoid insider trading penalty.

並列關鍵字

seasoned equity offering (SEO) ； cumulative abnormal return (CAR) ； insider trading

參考文獻

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