题名

價格高估、投資人交易行為與現金增資異常現象之探討

并列篇名

Overvaluation, Investors' Trading Behavior and SEO Anomalies

作者

江淑貞(SUE-JANE CHIANG)

关键词

股價高估 ； 投資人交易行為 ； SEO異常現象 ； Overvaluation ； investors' trading behavior ； SEO Anomalies

期刊名称

輔仁管理評論

卷期/出版年月

27卷2期（2020 / 05 / 01）

页次

39 - 67

内容语文

繁體中文
中文摘要

本文分別以配對公司市價淨值法（PBR_M）與歷史股價市價淨值法（PBR_H）作為股價高估指標，討論股價高估與投資人的交易行為如何影響SEO長短期異常現象。實證結果顯示：現增期間股價的高估，會加劇短期的宣告負向效果、使折價幅度更大、降低上市後的初始報酬。然而，兩種股價高估對長期績效卻有不同的影響：配對公司法的股價高估對長期績效有正向影響；歷史股價法的股價高估卻造成SEO長期績效不彰。本文因而推論：配對公司法的股價高估（高PBR_M）比較傾向如Hovakimian（2006）所言的”高成長、高潛力公司”。反之，歷史股價法的下的高市價淨值比，則純屬短期股價高估。最後，由於在SEO期間，內部投資人會買進高PBR_M、賣出高PBR_H，外部投資人則是賣出高PBR_M，本文推論：內部投資人的選股能力較外部投資人為佳。
英文摘要

Adapting comparable firm's P/B ratio (PBR_M) and historical P/B ratio (PBR_H), we explore how overvaluation and investors' trading affect SEO anomalies. Our empirical results indicate that overvaluation negatively affects announcement effect, initial returns, and positively affects discounting. Moreover, as PBR_M (PBR_H) has a positive (negative) impact on long-term performance, we conclude that the company with high PBR_M is high potential while the company with high PBR_H is overvaluation. Finally, we infer that inside investors have better stock selection ability for they buy-in high potential SEOs and sell-out overvaluation SEOs.
主题分类 社會科學 > 管理學
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