台灣現金增資公司股價長短期表現之研究

Seasoned Equity Offerings in Taiwan：Short-term and long-term stock performance

林純夷(Chun-I Lin)

指導教授 ： 李榮鎮

長榮大學/管理學院/經營管理研究所(博)/碩士(2009年)

https://doi.org/10.6833/CJCU.2009.00122

摘要

本研究主要目的，是探討民國86年至民國92年間，台灣現金增資公司(seasoned equity offerings, SEO)長短期股票績效表現。
本研究發現公司在宣告現金增資的當天股價明顯上升。即現金增資的效果是正面的。此結果顯示平均而言台灣股市將現金增資的訊息解釋成增資公司將有一淨獲利現值(NPV)為正的方案正要進行，亦即增資公司能說服市場公司現金增資的理由是正當的。但是因為宣告增資之後的幾天皆無顯著異常報酬，此意涵股價已在現金增資宣告當天反應完畢，此結果與效率市場一致。
本研究也提出現金增資後三年的SEO公司與配對公司(Non SEO)的長期股票績效表現之比較。配對公司的選擇是以相似公司大小(權益市值)及相似股票帳面值/股票市值(BV/MV)比做為配對選擇標準。研究結果顯示現金增資公司無論是與公司大小作配對或公司大小加上BV/MV比作配對的非現金增資公司比較，結果都是現金增資公司在增資後三年股票績效表現為8.14% 劣於非現金增資公司(Non SEO)，但不包括第一天報酬率。
因此本研究顯示，公司經理有能力選在股價被高估時現金增資。換言之，經理選擇現金增資的時機是成功的。

關鍵字

現金增資(SEOs) ； 發行時機(Time) ； 股票帳面值/股票市值(BV/MV) ； 股票績效表現(stock performance)

並列摘要

The purpose of this study examines the short-term and long-term stock performance of seasoned equity offerings (SEO) in Taiwan.
This study finds that the market value of existing equity rise on the announcement of a new issue of common stock. That is, the announcement effect is positive. This result shows that Taiwan market interprets the equity issues as implying a new positive net present value (NPV) project will be undertaken. The issuing firms can convince the market that there is a good reason for issuing equity.
However, there is virtually no movement in the abnormal returns in the days following the announcement. This implies that the SEO news is fully incorporated into the stock price by the announcement day, a result consistent with some degree of market efficiency.
The annual return on SEOs in the three years after issuing are reported, along with benchmark returns using either size or style (BV/MV, book value/market value) matching. This study shows that SEOs have underperformed other firms of the same size and same BV/MV ratio by an average of 8.14% per year during the three years after issuing, not including the first-day return.
Thus, the evidence in this study suggest that corporate managers are able to issue SEOs when the company’s stock is overpriced. In other words, managers appear to time the market successfully.

並列關鍵字

Seasoned Equity Offerings(SEOs) ； Time ； Book value/Market value(BV/MV) ratio ； stock performance

參考文獻

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