题名

成長潛力、內部人交易與現金增資之宣告效果

并列篇名

The Announcement Effect of Seasoned Equity Offerings with Respect to the Growth Potential and Insider Trading

DOI

10.6545/JoFS.2001.9(1).1

作者

陳安琳(An-Lin Chen)；黎萬琳(Wan-Lin Li)；陳振遠(Roger C. Y. Chen)

关键词

成長潛力 ； 內部人交易 ； 現金增資 ； 宣告效果 ； 界常報酬衡量 ； Growth potential ； Insider trading ； Seasoned equity offerings ； Announcement effect ； Measurement of abnormal returns

期刊名称

中國財務學刊

卷期/出版年月

9卷1期（2001 / 04 / 30）

页次

1 - 25

内容语文

繁體中文
中文摘要

以往研究指出：臺灣股市現金增資對於公司的股票價格具有顯著正面的宣告效果，這樣的研究結果與美國現金增資有負面效果的情形相反。臺灣的現金增資案可能是因為公司的成長機會而造成正的資訊內涵。以往研究在衡量宣告效果的累積異常報酬時，並未將公司成長潛力的影響考慮在內，本研究則採用了Fama-French的模式考慮了成長對公司預期報酬的影響來估計累積異常報酬。我們發現現金增資宣告平均而言對公司的股價有正面的影響，而發行公司所說明的增資用途，對於現金增資的宣告效果並沒有明顯差異。公司成長與否以及內部人交易的買進行為才是造成增資案正面效果的原因。而且這兩個因素的影響並不相互隸屬，具有成長的潛力而且公司內部人在增資宣告之前的股票買進大於股票賣出者，現金增資可以帶來股票價格的上揚；反之，若公司的成長機會不佳，而且公司的內部人在增資宣告之前大賣持股，則現金增資的宣告也會造成股票價格的下跌。
英文摘要

Previous studies show that the announcement of seasoned equity offerings (SED) in Taiwan causes the stock price to go up which is contrary to most of the empirical findings of SED announcement in US. A possible explanation for the positive SEQ announcement effect on stock price is the growth potential of SED issuers. Furthermore, previous studies ignore the influence of growth potential when measuring the cumulative abnormal return of the announcement of SEDs. which definitely bias the findings . In this paper, we employ the Fama-French model to take care of effect of growth potential on the abnormal return around the announcement. We find that on average the announcement of SED has a positive effect on stock price. However, the price run-up around announcement is not related to the us- of proceeds. We also show that the growth potential and insider buying are the true causes for the increase of the stock price and that the growth potential and insider buying do not subsume each other. SEOs with high growth potential and insider buying are the only subsample to encounter positive SED announcement effect.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
社會科學 > 管理學
参考文献
  1. Ambarish, R.,K. John,J. Williams(1987).Efficient Signalling with Dividends and Investments.Journal of Finance,42,321-344.
  2. Asquith, P.,D. W. Mullins Jr.(1986).Equity Issues and Offering Dilution.Journal of Financial Economics,15,61-89.
  3. Asquith, P.,D. W. Mullins Jr.(1986).Signalling with Dividends, Stock Repurchase and Equity Issues.Financial Management,15,27-44.
  4. Banz, R. W.(1981).The Relationship between Return and Market Value of Common Stocks.Journal of Financial Economics,9,3-18.
  5. Carhart, M. M.(1997).On Persistence in Mutual Fund Performance.Journal of Finance,52,57-82.
  6. Chan, K. C.,Y. Hamao,J. Lakonishok(1991).Fundamentals and Stock Returns in Japan.Journal of Finance,46,1739-1764.
  7. SSRN Working paper series
  8. Cooney, J. W.,A. Kalay(1993).Positive Information from Equity Issue Announcement.Journal of Financial Economics,33,149-172.
  9. Daniel, K.,S. Titman(1997).Evidence on the Characteristics of Cross Sectional Variation in Stock Returns.Journal of Finance,52,1-33.
  10. Daniel, K.,S. Titman(1998).Characteristics or Covariances?.Journal of Portfolio Management,24,24-33.
  11. Denis, D. J.(1994).Investment Opportunities and the Market Reaction to Equity Offerings.Journal of Financial and Quantitative Analysis,29,189-212.
  12. Fama, E,K. French(1993).Common Risk Factors in the Returns on Stocks and Bonds.Journal of Financial Economics,33,3-56.
  13. Fama, E,K. French(1996).Multifactor Explanations of Asset Pricing Anomalies.Journal of Finance,51,55-84.
  14. Fama, E,K. French(1992).The Cross-Section of Expected Stock Returns.Journal of Finance,47,427-465.
  15. Hess, A. C.,S. Bhagat(1986).Size Effect of Seasoned Stock Issues: Empirical Evidence.Journal of Business,59,567-584.
  16. John, K.,B. Mishra(1990).Information Content of Insider Trading around Corporate Announcements: The Case of Capital Expenditures.Journal of Finance,45,835-855.
  17. John, K.,L. Lang(1991).Insider Trading around Dividend Announcements: Theory and Evidence.Journal of Finance,42,1361-1389.
  18. Johnson, D. J.,J. M. Serrano,G. R. Thompson(1996).Seasoned Equity Offerings for New Investment and The Information Content of Insider Trades.Journal of Financial Research,19,91-103.
  19. Leland, H. E.,D. H. Pyle(1977).Information Asymmetries, Financial Structure, and Financial Intermediation.Journal of Finance,32,371-387.
  20. Loderer C.,H. Zimmermann(1988).Stock Offering in a Different Institutional Setting: The Swiss Case, 1973-1983.Journal of Banking and Finance,12,353-378.
  21. Malkiel, B. G.,Y. Xu(1997).Risk and Return Revisited.Journal of Portfolio Management,23,9-14.
  22. Mann, S.,N. Sicherman(1991).The Agency Cost of Free Cash Flow: Acquisition Activity and Equity Issues.Journal of Business,64,213-228.
  23. McConnell, J. J.,C. J. Muscarella(1985).Corporate Capital Expenditure Decisions and the Market Value of the Firm.Journal of Financial Economics,14,399-422.
  24. Mikkelson, W.H.,M. Partch(1986).Stock Price Effects and Costs of Secondary Distributions.Journal of Financial Economics,14,165-194.
  25. Miller, N.,K. Rock(1985).Dividend Policy under Asymmetric Information.Journal of Finance,40,1031-1051.
  26. Myers, S. C.,M. S. Majluf(1984).Corporate Financing and Investment Decisions When Firms Have Information that Investors Do Not Have.Journal of Financial Economics,13,187-221.
  27. Reinganum, M. R.(1981).Misspecification of Capital Asset Pricing: Empirical Anomalies based on Earnings, Yields and Market Values.Journal of Financial Economics,9,19-46.
  28. Rosenberg, B.,K. Reid,R. Lanstein(1985).Persuasive Evidence of Market Inefficiency.Journal of Portfolio Management,11,9-17.
  29. Slovin, M.,M. Sushka,C. Hudson(1990).External Monitoring, and its Effect on Seasoned Common Stock Issues.Journal of Accounting and Economics,12,391-417.
  30. Viswanath, P. V.(1993).Strategic Consideration, the Pecking Order Hypothesis, and the Market Reaction to Equity Financing.Journal of Financial and Quantitative Analysis,28,213-234.
  31. Weisberg, S(1985).Applied Linear Regression.
  32. 吳文生(1993)。國立政治大學國際貿易研究所。
  33. 金成隆、林修葳、黃書楣(2000)。國內現金增資企業盈餘管理之實証研究。中山管理評論，8，1-35。
  34. 莊尚武(1991)。國立政治大學會計研究所。
  35. 陳隆麒、郭敏華、管瑞昌(1997)。管理本土化大型計劃之子計劃：上市公司發行可轉換公司債暨現金增資對股價影響之比較研究管理本土化大型計劃之子計劃：上市公司發行可轉換公司債暨現金增資對股價影響之比較研究,行政院國科會科資中心。
  36. 曾煥祥(1994)。國立台灣大學會計研究所。
被引用次数
  1. Young, Wei-ju,Li, Chun-An,Kao, Chen-Wei(2014).The Performance of Issuing Equity: The Case of Private Placements of Equity and Seasoned Equity Offerings in Taiwan.證券市場發展季刊,26(1),67-112.
  2. 陳振遠、王朝仕(2007)。現金增資績效之再檢測—考慮新上市公司股票效應、成長機會與內部人交易。臺灣管理學刊，7(2)，145-165。
  3. 江淑貞(2020)。價格高估、投資人交易行為與現金增資異常現象之探討。輔仁管理評論，27(2)，39-67。
  4. 廖俊杰、陳家妤(2008)。投資人如何評價現金增資企業的短視管理政策。輔仁管理評論，15(3)，63-96。
  5. 劉正良、曹壽民、紀信義(2007)。股市對創新活動的評價是否具有效率性？從研發效率與內部人交易論析。會計評論，45，27-55。
  6. 湯惠雯、陳安琳、曹美蘭、高蘭芬(2005)。共同基金績效之衡量—模擬分析法之應用。中山管理評論，13(3)，667-694。
  7. 魏慧珊、歐仁和、黃志偉、張傳章(2016)。臺灣財務領域研究之回顧與展望。管理學報，33(1)，105-137。
  8. 熊婉伶、葉春岑(2013)。股票購回與現金增資宣告之資訊內涵。商略學報，2(1)，128-136。
  9. 張慈媛、邱正仁、周庭楷(2007)。新上市公司辦理首次現金增資時程之探討：原因與後果。管理評論，26(3)，71-102。
  10. (2005)。國內上市公司內部人交易與經營績效及影響交易因素關係之研究。會計評論，41，33-51。
  11. (2009)。系統性風險之估計及對橫斷面股票報酬之解釋能力—投資組合重構頻率之影響。證券市場發展季刊，21(3)，107-142。
print cancel