現金減資宣告效果探討－以事件研究法為例

The Effect of Cash Capital Reduction Announcement-The Application of Event Study Model

10.7074/YDAJB.201203.0103

李在僑(Chai-Chiao Lee)；趙永祥(Yuang-Shiang Chao)

現金減資 ； 事件研究法 ； cash capital reduction ； the event study method

育達科大學報

30期（2012 / 03 / 01）

103 - 131

繁體中文

本文從事現金減資宣告的效果探討，乃是因為市場充斥著很多的消息以及雜訊，故針對宣告事件本身作討論，並驗證現金減資對股票流動性的影響，以及投資大眾是否可利用此消息去買賣股票賺取異常報酬，以及在不同持有期間的績效表現。本研究結果為：1.董事會決議宣告事件會有正向顯著的異常報酬發生。宣告前，交易量明顯降低，可能是因為內部人相信股價即將上漲（好消息發佈，而內部人看法一致），在惜售狀況下，整個交易量顯著減少；董事會決議宣告後，由於逐漸有人獲利了結，在投資人看多看空意見不一致情況下，換手劇烈，股票週轉率顯著增加。2.上市日宣告事件會有負向顯著的異常報酬發生。減資上市上櫃日前後，交易量均明顯增加，可能是因為上市上櫃日都會提早宣告，投資人可以提早佈局，在看多看空意見不一致情況下，換手劇烈。3.股東會決議日及董事會決議減資日前後，其交易量或增或減均不達顯著，也無異常報酬發生，其事件結果為無效果。

This article engaged in the exploration of effects of capital reduction. Because the market is filled with noises, therefore, we take declaration of the event itself for discussion. To explore the capital reduction's effects on the stock velocity and whether investing publics can use this message to go buying and selling stocks to earn abnormal returns, as well as the performance of the different holding periods. The results of this study: (1) The Board declaring event has a positive significant abnormal returns. Before the announcement, trading volume is significantly reduced, probably because insiders believe the stock is about to rise (insiders have the same believe that Good News releases), because of reluctant to sell stocks, the entire trading volume significantly reduced. After the declaration of the Board of Directors resolution, due to the profits earned, investors' inconsistencies cause the stock turnover rate increased significantly. (2) The listing date declaring will have negative significant abnormal returns. Capital reduction listed on the market recently, probably because investors make early layouts, due to the inconsistencies, the transaction volumes increased significantly. (3) Before and after the capital reduction, resolved by the shareholders and board of directors, none of the significant transaction volumes and abnormal returns, the events are of no effect.

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