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研究生： 羅禎昌
論文名稱： 現金增資公告對股票價格影響之實證研究
指導教授： 林炯垚
學位類別： 碩士
Master
系所名稱： 商學院 - 企業管理學系
Department of Business Administration
論文出版年： 1987
畢業學年度： 75
語文別： 中文
論文頁數： 87
相關次數： 點閱：201  下載：0 
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    • 論文摘要

    本論文以實證分析來探討現金增資公告對股票價格的影響，其主要目的有三:

    (一)探討現金增資公告對股票價格是否具有「情報效果」。

    (二)檢定國內股票市場是否符合半強式(semi-strong)效率市場假說。

    (三)比較上述(一)、(二)項的實證結果，是否會因所採用的均衡預期報酬模式之不同而有所差異。

    研究期間自民國六十五年至七十三年止，共得25個樣本，以市場模式、移動β模式、調整市場報酬模式來估計各樣本股票在公告增資日前後各二十個交易日的均衡預期報酬，並以實際報酬及預期報酬的差代表股價的異常變動，並利用平均誤差及累積平均誤差來觀察異常報酬的變動情形，由實證的結果，歸納出四點結論:

    (一)現金增資公告對股票價格並不具有情報效果，其原因可能是現金增資對股價的影響，早在證管會核准增資案時即已開始反映了，而且其對股價有正面的影響。至於此效果是永久性的或是暫時性的，因所採用的模式而有不同的結論。

    (二)股價對現金增資公告情報的反映調整速度很快，在公告日後並無投資者可利用此公開資訊獲取超額報酬，亦即台灣股票市場就現金增資公告此一訊息而言，符合半強式效率市場假說。

    (三)在除權日有明顯的「填權」現象，而且認股率愈大，填權的傾向愈強，顯示價格壓力假說在台灣股票市場不成立。

    (四)雖然三種模式的實證結果彼此間有些差異，但它們並不影響到本研究對效率市場假說檢定的結論，亦即本研究對效率市場假說的檢定具有強韌性(robustness)。

    目錄
    序言
    圖表目次
    第一章 緒論………1
    第一節 研究動機………1
    第二節 研究目的………2
    第三飾 文獻探討………3
    第四節 研究程序及全文概述………8
    第二章 效率市場假說及均衡預期報酬模式………11
    第一節 效率市場假說………11
    第二節 均衡預期報酬模式………15
    第三章 研究方法………22
    第一節 研究假設………22
    第二節 研究設計………23
    第三節 殘差分析………27
    第四節 統計檢定方法………29
    第五節 研究限制………38
    第四章 實證結果與分析………41
    第一節 均衡預期報酬模式的適切性………41
    第二節 現金增資公告對股價的影響………47
    第三節 現金增資除權日的股價行為………65
    第五章 結論與建議………74
    第一節 結論………74
    第二節 建議………76
    參考書目………79

    圖表目次
    圖目次
    圖1-1 研究程序圖………8
    圖3-1 觀察期、事件期、估計期及公告日的關係圖………26
    圖4-1 市場模式之AR散佈圖(全部樣本)………53
    圖4-2 移動β模式之AR散佈圖(全部樣本) ………53
    圖4-3 調整市場報酬模式之AR散佈圖(全部樣本) ………54
    圖4-4 市場模式、移動β模式、調整市場報酬模式之CAR趨勢圖(全部樣本) ………54
    圖4-5 市場模式之AR散佈圖(高認股率群) ……… 61
    圖4-6 市場模式之AR散佈園(低認股率群) ………61
    圖4-7 市場模式之CAR趨勢圖(高、低認股率群) ………62
    圖4-8 市場模式之AR散佈圖(全部樣本以除權日為事件日) ………69
    圖4-9 市場模式之CAR趨勢圖(全部樣本以除權日為事件日) ………69
    圖4-10 市場模式之CAR趨勢圖(高、低認股率群以除權日為事件日) ………70
    圖4-11 市場模式之AR散佈圖(高認股率群以除權日為事件日) ………71
    圖4-12 市場模式之AR散佈圖(低認股率群以除權日為事件日) ………72

    表目次
    表3-1 統計檢定方法彙總表………29
    表4-1 個別證券報酬率在估計期之描述統計值彙總表………43
    表4-2 市場報酬率在估計期之描述統計值彙總表………44
    表4-3 市場模式之迴歸統計值彙總表………45
    表4-4 移動β模式之迴歸統計值彙總表………46
    表4-5 市場模式之AR、CAR檢定表(全部樣本) ………55
    表4-6 移動β模式之AR、CAR檢定表(全部樣本) ………56
    表4-7 調整市場報酬模式之AR、CAR檢定表(全部樣本) ………57
    表4-8 現金增資公告日後以CAR表示的異常報酬表………58
    表4-9 模式間AR差異的檢定表………58
    表4-10 市場模式之AR、CAR檢定表(高認股率群) ………63
    表4-11 市場模式之AR、CAR檢定表(低認股率群) ………64
    表4-12 市場模式之AR、CAR檢定表(全部樣本以除權日為事件日) ………70
    表4-13 市場模式之AR、CAR檢定表(高認股率群以除權日為事件日) ………71
    表4-14 市場模式之AR、CAR檢定表(低認股率群以除權日為事件日) ………72
    附表1 樣本公司一覽表………78

    參考書目
    1.中文部分
    1.余尚武，台灣證券市場股票上市公司盈餘宣告所合資訊內容之研究，國立台灣大學商學研究所未出版碩士論文，民國六十八年六月。
    2.金柏西，台灣股票市場股票股利對股價影響之實證研究，大同工學院事業經營研究所未出版碩士論文，民國六十八年六月。
    3.林煜宗，"市場因素對台灣證券市場股價變動之影響" 證交資料，民國六十七年六月廿五日:頁1-9。
    4.林煜宗，現代投資學－制度、理論與實證－，初版，台北，自印，民國七十一年。
    5.林啟三，國內發行增資股問題之研究，國立政治大學企業管理研究所未出版碩士論文，民國六十三年六月。
    6.陳柏超，"除權行情的獲利分析"，財訊，民國七十三年六月一日:頁17-127。
    7.翁春風，資產重估增值轉資對股票價格之影響，國立交通大學管理科學研究所未出版碩士論文，民國七十四年六月。
    8.鄭玉波，公司法，初版，台北，三民書局，民國七十三年。
    9.顏月珠，應用數理統計學，初版，三民書局，民國七十一年。
    10.George Forster,(Financial Statement Analysis)，丁文拯譯，台北，聯經出版事業公司，民國七十二年。

    英文部分
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    6. Bhagat, Sanjai. (1983): "The Effect of Preemptive Right Amendments on Shareholder Wealth," Journal of Financial Economics 12, pp. 289-310.
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    9. Brenner, Menachem. (1979): "The sensitivity of the Efficient Market Hypothesis to Alternative specifications of the Market Model," Journal of Finance 34, pp. 915-930.
    10. Brown, Stephen J. and Christopher B. Barry. (1984): "Anomalies in Security Returns and the Specification of the Market Model," Journal of Finance 39, pp. 807 -815.
    11. Brown, Stephen J. and Jerold B. Warner, (1980): "Measuring security Price Performance," Journal of Financial Economics 8, pp. 205–257.
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    14. Copeland, Thomas E. and J. Fred Weston. (1986): Managerial Finance. New York: The Dryden Press. , 8 edition. Chapter 21.
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