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| Title: | 現金增資週期公司股價探討 - 台灣上市櫃公司
The Impacts of Long and Short-term Abnormal Return on Seasoned Equity Offerings (SEO) periods |
| Authors: | 薛浩瑞
Hsueh, Hao-Jui |
| Contributors: | 李志宏
Lee, Jie Haun
薛浩瑞
Hsueh, Hao-Jui |
| Keywords: | 現金增資
事件研究法
超額報酬
股本膨脹
撥券日
除權日
Seasoned Equity Offerings
Event Study
Abnormal Returns
Capital increase
Allotment Date
Ex-rights Date |
| Date: | 2025 |
| Issue Date: | 2025-08-04 14:06:51 (UTC+8) |
| Abstract: | 本研究以 2000 年至 2024 年間台灣上市櫃公司辦理現金增資為研究對象，採 事件研究法探討現金增資對公司股價之影響。以現金增資宣告日、補充日、除權日 及撥券日作為觀察基準，並從多個角度及因子分析市場反應的時點與強度。樣本涵 蓋超過 1400 筆現增事件，並以累積平均超額報酬作為衡量指標。
實證結果顯示:市場對現金增資各階段反應具有顯著異質性。宣告日反應偏中 性至正面，平均異常報酬為正;補充認購價格公告日則無顯著反應，但潛在套利空 間大於 4%、股本膨脹率偏高時，市場回應較為積極。除權日為顯著負向事件，跳 空跌幅與股本膨脹與套利空間成正比;撥券日為市場對稀釋效應反應最強烈時點， 平均超額報酬為 -1.69%，高膨脹個案甚至達 -4.07%。此外，從除權日至撥券日間 進行放空策略可獲得顯著正報酬(平均 4.94%)，顯示其具高度策略價值。然撥券 後股價雖略有反彈，但長期持有的異常報酬仍為負，持有越久機會成本越高，顯示 現增事件後長期投資策略效果不佳。
本研究有助於投資人於面對現增事件時採取更審慎的操作策略，亦提供企業 於規劃融資結構與增資時之參考依據，並對相關政策單位在資訊揭露與資本市場 監理層面提供實證支持。
This study examines the impact of seasoned equity offerings (SEOs) on stock prices of Taiwanese listed companies from 2000 to 2024 using the event study methodology. The analysis centers on key event dates, including the announcement date, pricing date, ex-rights date, and allotment date, assessing the market’s timing and magnitude of reactions through various lenses and factors. Covering over 1,400 SEO cases, the study utilizes cumulative average abnormal returns (CAAR) as the primary metric.
Empirical results reveal significant heterogeneity in market reactions across different SEO stages. The announcement date tends to elicit neutral to slightly positive responses, with average abnormal returns being positive. The pricing announcement date shows no significant immediate reaction. The ex-rights date emerges as a significantly negative event, with price gaps correlating positively with the capital increase ratio and arbitrage spreads. The allotment date registers the strongest market reaction to dilution effects, with an average abnormal return of -1.69%, and as high as -4.07% for cases with high capital increases. Furthermore, implementing short-selling strategies between the ex-rights and allotment dates yields significant positive returns, averaging 4.94%, indicating high strategic value. Although slight price rebounds occur post-allotment, long-term abnormal returns remain negative, and prolonged holding periods entail higher opportunity costs, indicating that long-term investment strategies post-SEO are ineffective.
This study provides investors with a basis for adopting more prudent trading strategies when facing SEO events, offers reference insights for firms planning capital structures and fundraising, and supplies empirical evidence for regulators regarding information disclosure and capital market supervision. |
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| Description: | 碩士
國立政治大學
財務管理學系
112357015 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357015 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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