國內在法定減資(包括減資彌補虧損及現金返還股東)方面的研究,仍屬少數且缺乏長期完整的研究,因此本文欲對此部份加以研究,期待填補此方面的缺口。本文利用事件研究法探討公司宣告減資對股價異常報酬之影響,研究過程中分別檢驗多頭、空頭及上市、上櫃等分類下對結果之影響。除此之外,本文利用交換選擇權概念來探討公司宣告減資所產生價值的特性。實證結果發現,針對一般減資,不論在空頭或多頭市場,公司宣告減資後均存有負向異常報酬,但在空頭時期更為嚴重。若進一步將減資分為減資彌補虧損及現金減資,可以發現現金減資之累積異常報酬顯著優於減資彌補虧損之累積異常報酬。空頭時期之減資彌補虧損宣告,上櫃公司之負向累積異常報酬明顯小於上市公司。此外,從交換價值觀點發現,宣告現金減資比例越高時,減資宣告所產生的價值越大;宣告減資彌補虧損之減資比例越高時,減資宣告所產生的負面效應越大。
Domestic researches of capital reduction according to Company Law, including reducing capital to atone for loss (RCAL) and reducing capital to return shareholders (RCRS), are still rare and lack completed and long-term studies. Therefore, this paper attempts to study and fill the gap of related area. This paper uses event study to explore the effects of capital reduction on abnormal returns under bull and bear markets, different capital reduction purposes, and company style. In addition, this study applies the viewpoint of exchange options to explore the exchange value produced by capital reduction. This paper finds that announcement of capital reduction will result in whenever in bull or bear market. The negative abnormal returns will be more serious in bear market. We study further the effects of RCRS and RCAL on stock abnormal returns. The results show that the cumulative abnormal returns of RCRS are larger significantly than that of RCAL. For RCAL in bear market, the negative cumulative abnormal returns of OTC companies are smaller significantly than that of listed companies. From the exchange options viewpoint, when the announcement of proportion in RCRS increases, the exchange value produced by capital reduction will increase. But the negative exchange value produced by capital reduction will increase when the announcement of proportion in RCAL increases.