公司現金增資對投資人心理反應之研究

A Study of Investors Psychological Reaction on Seasoned Equity Offerings

張秀琴(HSIU-CHIN CHANG)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2007年)

https://doi.org/10.6840/cycu200700663

摘要

摘 要

本研究主要目的在於瞭解DHS行為財務模型是否適切地描述宣告現金增資期間股票變動的行為，並探討董事會決議日宣告現金增資訊息是否具有過度反應之資訊效果及股價是否充分且迅速地反應此一資訊，及檢驗現金增資於事件宣告當日之訊息對股價之影響及投資者是否能利用此一資訊而獲得超額報酬。

以1999年至2006年為研究期間，現金增資樣本數為112家，引用市場模式來估計異常報酬率，並計算事件期間平均異常報酬率(AR)、平均累計異常報酬率(CAR)、標準化之平均異常報酬率(SAR)、標準化之平均累計異常報酬率(SCAR)進行差異研究。

由實證結果分析可歸納出下列幾點結論：
一、 就全體樣本而言，宣告現金增資訊息當日與次日(t=0,+1)呈正向相關之異常報酬率但t值不顯著，事件窗期前十五日之平均累計異常報酬率呈正向相關，即公司會在股價表現良好時程，宣佈現金增資訊息。就平均累計異常報酬率而言，該資訊對投資者，為一利多的好訊息。
二、 電子產業不論持有期間的長短，多數具有正向相關的異常報酬率，非電子產業在增資宣告日前後七日有正向相關的異常報酬率，長期觀察均有負向相關的平均累計異常報酬率，似乎顯示現金增資發行新股後之長期投資績效會受到產業別不同而影響。
三、 公司規模大小與股價關係在經過分析後，大公司規模與小公司規模在宣告日之異常報酬率為正向相關但t值不顯著，發行規模越大並未造成較大的資訊效果，而小公司規模在股價上的過度反應其幅度和時間更為顯著而迅速。
四、 將股票以B/M區分成長型與價值型，現金增資宣告對成長股之平均累計異常報酬率存在著正向及負向相關，歸因於投資者無法在短期間內充分反應出資訊的價值。
五、 不同增資目的之平均累計異常報酬率趨勢，以投資及還款為目的之長期平均累計異常報酬率是呈向上升之趨勢但t值不顯著，顯示對投資者並無特別異常之長期投資績效。故應可以確定國內上市公司宣告現金增資新股發行在短期異常現象結束之後，並沒有出現顯著性的異常長期投資績效。

關鍵詞：財務行為、超額報酬、現金增資、DHS模型

關鍵字

財務行為 ； 超額報酬 ； 現金增資 ； DHS模型

並列摘要

ABSTRACT
The primary goal of this study is to examine whether DHS(1998) model of behavioral finance can appropriately describe the stock change behavior during announcement seasoned equity offerings (SEOs) period, whether the Board of directors resolution date to announce that the SEO the news having excessively information of effect, whether the stock price will response fully and reflect this information rapidly, whether the investors can use this information to obtain the exceeding returns.

Taking samples of 112 seasoned equity offerings corporations going public announced during eight-year period between 1999 and 2006, using market model to calculate abnormal returns, an average abnormal returns(AR), cumulative average abnormal returns(CAR), standard average abnormal returns(SAR), standard cumulative average abnormal returns(SCAR) to proceed the differential study.

The empirical results show the outcome as follow:
First, according to the overall samples, SEO information announcing day and next day (t=0,+1) can exhibit positive autocorrelations with AR but T-value not significant, the event window t=-15 exhibit positive autocorrelations with CAR. Thus, if management thinks that the current market price is too high, however, the firm will issue equity. Average, individual investors consider SEO announcement is good information.

Second, establishes on industrial classification and combines with operating performance and growth opportunity to explore that electronic company make financing decisions which affect on the stock price performance. The result shows that industrial classification does have influence on financing decision which issue firms equity.

Third, we show that on average the announcement of SEO has a positive effect on stock price. Furthermore, the price run-up around announcement is not related to the use of proceeds. Using a size benchmark, issuing firms tend to be growth firms, in the long-run term after going public these firms significantly underperformed a set of comparable firms matched by size and industry. Equity issuer returns are not a unique anomaly, even if they remain unexplained.

Key Words: behavioral finance, excess returns, seasoned equity offerings, DHS model.

並列關鍵字

seasoned equity offerings ； excess returns ； behavioral finance ； DHS model

參考文獻

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