現金增資承銷方式與其異常報酬關係之研究

Abstract

本研究的主旨在探討台灣股票市場上市公司辦理現金增資時，採用不同承銷配售方式與其異常報酬的關係，並分析可能的影響因素與原因。研究樣本為民國八十五年一月一日至九十年十二月三十一日間辦理現金增資的147家上市公司，其中100家採公開申購配售方式、47家採詢價圈購配售方式。實證結果顯示：就全體樣本而言，現金增資事件產生正向異常報酬，但未達顯著效果。再進一步分析採行公開申購配售方式，現金增資事件的宣告對異常報酬為負向的影響。採詢價圈購配售方式，現金增資的異常報酬則為正向的，證實了不同的承銷配售方式傳遞了不同的資訊內涵，且對於公司的價值有不同的影響。而發行規模與決定承銷配售方式的關係密切，當發行規模小時採發行成本低的公開申購配售方式；當發行規模大時採詢價圈購配售方式以達規模效應。本研究再對影響異常報酬的因素加以探討。其中公司資本額對異常報酬有反向影響，而公開發行規模之有正向的影響，這些均與英、美國之實証結果大致相符。

The purpose of this study is to examine the abnormal returns for seasoned equity offerings using different flotation methods. Based on a sample of 147 firms conducting SEO from Jan 1, 1996 to Dec 31, 2001, We find positive cumulative average abnormal returns during the period from 7 days before to 3 days after the SEO approval announcement. Further analysis indicates that positive abnormal return comes from the sample firms using book-building flotation method. Firms using fixed-price flotation method actually have negative abnormal returns. Our evidence indicates that flotation methods have differential effects on firm’s value and the selection of flotation methods conveys different signals to the market. The findings are consistent with the asymmetric information theory and the size of the issue can affect the abnormal returns for both flotation methods.