放空交易資訊內涵之研究-來自現金增資的證據

在資本市場中，現金增資宣告以及放空交易行為皆會影響市場參與者之投資決策。由於公司宣告現金增資往往被視為重大的負面訊息，因此本文研究自2006年至2015年間台灣上市公司辦理現金增資與放空交易行為之關聯性，並進一步探討放空交易是否具有資訊內涵。實證結果發現：在宣告日之後報酬率顯著為負，意味著投資人普遍認為現金增資宣告傳遞了負面訊息。而基於事件後相關資訊效果在一天內即反應完畢，表示台灣股票市場的資訊傳遞速度是相當有效率的。另外，我們發現在現金增資宣告前融券放空交易量顯著增加，顯示融券放空者是資訊交易者，他們似乎可以預測事件的宣告與宣告後股價的下跌。然而初步經由變異數分析，本文並未發現現金增資事件窗口的累積異常報酬會因為融券、借券變數高低不同而有顯著的差異。進一步以迴歸分析進行探討，研究結果指出融券增減（張）、融券增減（千元）與融券（買 + 賣）佔成交量比的迴歸係數皆為負值，表示事件宣告前的融券交易量增加愈多，則現金增資宣告後的股價報酬率愈低。特別是對於宣告期間股價報酬率為負的次樣本公司更具有較顯著的負向影響。

關鍵字

現金增資；放空交易；資訊內涵

並列摘要

In the capital market, the declaration of the seasoned equity offerings (SEOs) and the act of short-selling will all affect the investment decisions of market participants. Since the company's announcement of seasoned equity offering is often considered as a major negative message. This paper examines the relevance of SEOs stock returns and short-selling transactions of listed companies in Taiwan from 2006 to 2015, and further discusses whether the short-selling transaction has information content. The empirical results show that: After the announcement date, the rate of return rate is significantly negative, which means investors generally believe that the SEO announcement conveys negative information. The response based on the event was completed within one day, indicating that the speed of information transfer in the Taiwan stock market is quite efficient. In addition, we found that before the SEO announcements, the number of short-selling transactions was significantly increased, indicating that the short-selling short sellers are informed traders. They seem to be able to predict the announcement of the event and the decline in the stock price after the announcement. However, by preliminary analysis of ANOVA, this article did not find that the cumulative abnormal return of the event window will be significantly different among difference in the size of the securities lending levels. Further studies were conducted using regression analysis. The results indicated that the regression coefficients of changes in the short selling (in volume), changes in the short selling (in dollars), and the short selling ratios were all negative, indicating that: The more the securities short selling, the lower the stock price return of the SEOs announcements. Especially, the correlation between stock returns of SEOs and short-selling transactions is more significant for the sub-sample companies whose stock price return during the announcement period is negative.