上市櫃公司現金增資宣告異常報酬之因素探討

THE STUDY OF TSE AND OTC LISTED COMPANIES ON ANNOUNCENT OF SEASONED EQUITY OFFERING

劉怡君(Yi-chun Liu)

指導教授 ： 梁世安

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2009年)

摘要

考量95年1月1日第34號公報開始適用，影響發行公司對於公開籌資工具之選擇，故引發本研究之動機。本文之研究分為二部份，第一部份係以民國95年1月1日至97年12月31日辦理現金增資宣告(公告日及送件日)為樣本的上市上櫃公司作為研究對象，以事件研究法驗證其現金增資宣告時是否存在異常報酬；第二部份則以第一部份之上市櫃公司現金增資宣告樣本產生之累計異常報酬率及選取之財務因子以逐步迴歸法探討影響現金增資宣告之財務因子為何。研究結果發現如下：
一、全體上市櫃公司之現金增資宣告日前後皆有顯著的負向平均異常報酬，且事件日之後亦存在顯著之負向累計平均異常報酬。
二、不同交易市場之現金增資宣告效果有所不同，其中在交易所交易市場的公司其現金增資宣告後對股價造成異常報酬之情形較為顯著，且就其影響強度而言，上市市場較上櫃市場為大。
三、依實證結果發現，事件日為公告日，事件期(t=-10~t=+10)，影響累計平均異常報酬之主要因子為經營能力指標之淨值周轉率、總資產周轉率、成長率指標之總資產成長率及淨值成長率、償債能力指標之負債比率等；事件日為公告日，事件期(t=-30~t=+30)，影響累計平均異常報酬之主要因子為成長率指標之稅後淨利成長率及總資產成長率；事件日為送件日，事件期(t=-10~t=+10)，影響累計平均異常報酬之主要因子為現金流量比率；事件日為送件日，事件期(t=-30~t=+30)，影響累計平均異常報酬之主要因子為獲利能力指標的稅前純益/實收資本額及營業利益/實收資本額、成長率指標的營業毛利成長率。

關鍵字

現金增資 ； 異常報酬 ； 事件研究法 ； 逐步迴歸法

並列摘要

This discussion was divided into two parts. The fiirst portion was the samples collected in our dataset from TSE and OTC listed companies which previously ever announced seasoned equity offering or apply seasoned equity offering to Securities and Future Bureau during the period of Jan/1/2006-Dec/31/2008. Methodology of Event study was used to testify if the abnormal return exists after the announcement of seasoned equity offering. Secondly, use the samples of first portion and the factors of financial with stepwise regression to find out the financial factors which influence cumulative abnormal retutn. We find that：
1. Our results show that strongly negative abnormal return does exist after the companies listd on TSE or OTC which announce seasoned equity offering or apply to Securities and Future Bureau. Even after the date of the announcement, there is still an obvious negative cumulative abnormal return.
2. Reactions to the announcements of seasoned equity offering or the offering apply to Securities and Future Bureau will be different from Stock exchange markets. It’s more stronger regarding the cumulative abnormal returns of firms listed in TSE than OTC.
3. Our tested result indicated when the incident date is define as the day that announced seasoned equity offering and the incident periord was set at t=-10~t=+10, the main factors that influence cumulative abnoramal return are equity turnover, total asset turnover, total assets growth rate , total equity growth rate and liability rate. When the incident periord was set at t=-30~t=+30, the main factors that influence cumulative abnoramal return are net income growth rate and total assets growth rate. When the incident date was defined as the day that compaies listed in TSE or OTC apply the seasoned equity offerings to Securities and Future Bureau , and the incident periord was set at t=-10~t=+10 .The main factor that influence cumulative abnoramal return is cash flow rate. When the incident periord was set at t=-30~t=+30 ,the main factors that influence cumulative abnoramal return are income before tax/capital , operating.income/capital , gross margin and index growth rate.

並列關鍵字

Seasoned Equity Offerings ； Abnormal Returns ； Event Study ； Stepwise Regression

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