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研究生:黃麗文
研究生(外文):Huang, Li-Wen
論文名稱:現金增資撤回之股價反應
論文名稱(外文):The Announcements Effects of Withdrawing Seasoned Equity Offerings on Stock Price
指導教授:呂瑞芳呂瑞芳引用關係
指導教授(外文):Lew, Jei-Fang
口試委員:林筱鳳李文智
口試委員(外文):Lin, HsiaofengLee, Wenchih
口試日期:2014-05-29
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:會計系
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:中文
論文頁數:34
中文關鍵詞:現金增資撤回、事件研究法、異常報酬
外文關鍵詞:withdrawing SEOs, event study, abnormal return
相關次數:
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公司決議撤回現金增資之舉,可能造成公司股價的改變。本研究有別於過往現金增資對於股價反應之廣泛議題,則是針對2000~2013年,168家現金增資撤回之上市櫃公司進行探討,利用事件研究法之市場模型與GARCH模型,分別估計事件日前後3日之平均異常報酬及累積平均異常報酬,並配合普通橫剖面法t值及符號檢定法t值之檢定。實證結果顯示,董事會決議現金增資撤回宣告日後3日皆呈現顯著負向異常報酬,且負向異常報酬比例顯著大於50%,表示公司在董事會決議將現金增資撤回時,造成公司股價下滑的情勢。據此,也能提供投資人日後投資決策的參考。
The withdrawal resolutions of Seasoned Equity Offerings (SEOs) may cause the change in company’s share price. Different from previous studies that focused on the general discussions of the stock price reactions to SEOs, this study investigates the announcement effects of withdrawing SEOs of 168 listed firms on stock price from 2000 to 2013. The event study methodology is used based on the market model and the general autoregressive conditional heteroscedasticity (GARCH) models to estimate the average abnormal returns and the cumulative average abnormal returns, along with the ordinary cross-sectional test and Sign test, 3 days before or after the incident.
The empirical results indicate that 3 days after the withdrawal announcement of SEOs which resolved by the board of directors, the abnormal returns are significantly negative and greater than 50% significance. We conclude that the withdrawal resolutions of Seasoned Equity Offerings (SEOs) cause the decline in company’s share price. The findings can provide investors with investment decisions for future reference accordingly.

第一章 緒論 1
第一節 研究動機與目的 2
第二節 研究流程 3
第二章 文獻探討與研究假說 5
第一節 資本市場與資本結構理論 5
第二節 現金增資撤回研究文獻回顧 9
第三節 研究假說 11
第四節 事件研究法及研究模式 11
第三章 研究方法 16
第一節 資料來源與樣本期間 16
第二節 研究模式設計 18
第四章 實證結果與分析 24
第一節 市場模型 24
第二節 GARCH模型 27
第五章 結論與建議 30
第一節 研究結論 30
第二節 研究限制 30
第三節 研究建議 31
參考文獻 32

一、中文部分

1.吳岱儒,2004,財務管理,全華科技圖書股份有限公司
2.宋明峯,2008,公司治理、資訊揭露評鑑與公司股價之研究,國立高雄應用
科大學商務經營研究所碩士論文
3.沈中華,李建然,2000,事件研究法-財務與會計實證研究必備,華泰文化
事業出版社
4.張大慶,,1994,現金增資對盈餘與風險之影響 ,國立交通大學管理科學研究
所碩士論文
5.張秀琴,2007,公司現金增資對投資人心理反應之研究,中原大學會計研究
所碩士論文
6.陳世穎、龔瑞維,2010,撤回現金增資宣告的財富效果,以台灣上市櫃公司
為例,正修學報,23期 p.211-222
7.蔡坤芳,1996,事件研究法論-以台灣股票市場日資料為例,國立中央大學
財務管理研究所碩士論文
8.鄭莉貽,2009,現金增資宣告效果對集團成員股價影響之探討---以台灣上市
公司為例,國立成功大學企業管理學研究所碩士論文
9.謝劍平,2011,現代投資學分析與管理,智勝文化事業有限公司
10.顏燕萍,2001,臺灣上市公司現金增資宣告財富效果之再檢驗,義守大學管
理科學研究所碩士論文

二、英文部分
1.Alderson, M. J., and Betker, B. L. (2000) The Long-Run Performance of Companies that Withdraw Seasoned Equity
Offerings, Journal of Financial Research, 23 (2), 157–178.
2.Asquith, P., and Mullins, D. W. (1986) Equity issues and offering dilution. Journal of Financial Economics, 15
(4), 61-89.
3.Barclay Michael J. and Robert H. Litzenberger, (1988) Announcement effects of new equity issues and the use of
intraday price data, Journal of Financial Economics,21, 71-99.
4.Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31 (3),
307-328.
5.Clarke, J., Dunbar, C., and Kahle, K. M. (2001) Long-Run Performance and Insider Trading in Completed and
Canceled Seasoned Equity Offerings, Journal of Financial and Quantitative Analysis, 36 (4), 415-430.
6.Donaldson G. (1961) Corporate Debt Capacity: A Study of Corporate Debt Policy and the Determination of Corporate
Debt Capacity, Harvard Business Review, 55-66.
7.Engle, F. (1982) Autoregressive Conditional Heteroscedasticity with Estimates of The Variance of United Kingdom
Inflation, Econometrica, 50, 987-1008.
8.Fama, E. F. (1970) Efficient Capital Markets: A Review of Theory and Empirical work,Journal of Finance, 383-417.
9.Frijins, B., Navissi, F., Touranu-Rad, A., Tsai,L. (2006) Stock price performance of seasoned equity offerings:
completed v.s. wighdrawn, Managerial Finance, 32 (3), 234-246.
10.Hess, A., and Frost P. (1982) Test for price effects of new issues of seasoned securities, Journal of Finance,
37, 11-25.
11.Linter, J. (1965) Security prices, risk, and maximal gains from diversification, Journal of Finance, 20, 587–616.
12.Masulis, R. W., and Korwar, A. N. (1986) Seasoned equity offerings:An Empirical Investigation, Journal of
Financial Economics, 15 (4), 91-118.
13.Mikkelson, W. H., and Partch, M. M. (1986) Valuation effects of security offerings andthe issuance process.
Journal of Financial Economics, 15 (1), 31-60.
14.Mikkelson, W., and Partch, M. M. (1988) Withdrawn Security Offerings, Journal of Financial and Quantitative
Analysis, 23 (2), 119-133.
15.Myers, S. C., and Majluf, N. S. (1984) Corporate Financing and Investment Decisions When Firms Have Information
That Investors Do Not Have, Journal of Financial Economics, 13, 187-221.
16.Officer, D., and Smith, II. R. (1986) Announcement Effects of Withdrawn Security Offerings: Evidence on the
Wealth Redistribution Hypothesis, Journal of Financial Research, 9 (3), 229-238.
17.Sharpe, W. (1964) Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of
Finance, 19, 425–442.
18.William,B. Elliott, A.K. Prevost, R.P.R. (2009) The announcement impact of impact of seasoned equity offerings
on bondholder wealth, Journal of Banking & Finance, 33 (8), 1472–1480.


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