本研究以探討現金減資宣告效果為主,將研究方法分為二階段,第一階段乃以轉換函數模型與介入模型來分析2002年1月1日至2008年12月31日宣告實施現金減資之上市櫃公司,共19間公司,20個事件,針對個股計算其累計異常報酬率並找出影響累計異常報酬率之偏離值;第二階段再以該累計異常報酬率檢定其是否具有顯著正向效果,並運用迴歸方法探討投資人是否可根據現金比率、負債比率、股價淨值比與公司規模等在宣告日後獲得超額報酬。 本研究之實證結果發現,於宣告後中長期具有正向宣告效果,而且投資人可根據宣告日前一季之股價淨值比與累計異常報酬率之正向關係作為投資買賣之參考指標以期獲利。
This research studies the effect of capital reduction announcement. The methodology of this research is separated into two parts, the first part is that applying the transfer function model and the intervention model to analyse the 20 cash capital reduction announcement of 19 public companies from 2002 to 2008, revising the outliers, and computing their accumulative abnormal returns. The second part is examining the accumulative abnormal returns, and using the regression model to discuss if the investors could earn capital gains base on the information of cash ratio, debt ratio, price-book ratio, and firm size. The empirical result shows that there is positive effect in the middle and long periods after announcing capital reduction, and investors could expect to earn capital gains according to the positive relation between the former quarterly price-book ratio and accumulative abnormal returns .