現金增資股票折價優勢之研究

Abstract

投資人購買現金增資股票（SEOs）的主要動機，在於公司折價發行所提供的套利機會，但是深折價亦可能會傳遞出現貨價格相對被高估的訊號。再者，縱使各個SEOs提供相同的折價幅度，其間投資可行性也未必一致。因此，本研究嘗試提出一個新觀點－折價優勢，主張以營運成果解析折價幅度，建立可共同比較基準的指標。實證顯示，投資人偏好深折價的SEOs；但是若其受此因素吸引而參與申購，則受到市場產生負面反應的影響，卻愈難實現預期獲利。另一方面，針對本研究建構出具備高折價優勢特徵的SEOs，亦即在給定折價幅度下而相對擁有優良營運成果者，其初期績效較佳。即使在考量Fama-French三因子後，上述績效結果仍獲支持。據此，在折價幅度判斷上若能納入營運成果的考量，則更有機會實現套利機會。

Companies that issue underpriced seasoned equity offerings (SEOs) provide an arbitrage opportunity, which is a substantial benefit for investors willing to purchase. However, significant underpricing indicates an overestimation of the current market price. Furthermore, regardless of whether each SEOs offers the same discount range, investment feasibility may differ. Thus, we propose a novel underpricing analysis model and develop a specific measurement approach named ”superior underpricing.” The empirical results show that investors who subscribe to SEOs with substantial discount offerings struggle to achieve their expected profit because of a negative market reaction. By contrast, SEOs with higher underpricing features, which offer greater operating achievements at the given underpricing level, achieve superior performance during the initial period. Estimated results using a Fama-French three-factor model also support these findings. Therefore, we contend that a company's operating achievements must be considered when assessing underpricing.