Information content of seasoned new issues - new evidence from Taiwan

本研究主要目的在探討財政部証券暨期貨管理委員會在民國83年10月17日對現金增資除權方式變更，對除權日前後股價行為的影響。証期會當初交曲台灣証券交易所擬議這項制度時，主要考量有如下重點：1.解決除權行情的異常報酬現象。2.放寬現金增資除權當日漲跌幅，由市場機能來決定除權個股市價，為未來放寬集中市場交易漲跌幅預作探路。據此，這項新制度可以用來測試投資者在股價漲跌幅限制放寬後的行為，是否更符合市場機制的結果。具體而言，本研究在探討以下兩個問題：一．擬以民國八十年至八十六年間辦理現金增資的股票上市公司為對象，驗証現金增資除權日前後是否會產生股價異常報酬。二．驗証現金增資之除權交易制度經修改後，現金增資除權交易日該事件日的資訊內涵是否因此有顯著改變。且其改變的結果是否符合証期會的修法預期？本研究以事件研究法探討新舊除權制度下辦理現金增資除權時對公司股價之影響，所欲研究的各個假說及實證結果獲得驗證與否，茲說明如下：一、本研究實證結果，不論在除權舊制或除權新制下除權個股在除權期間皆存在異常報酬現象，不支持效率市場假說。二、除權舊制或除權新制下除權個股在除權期間皆存在異常報酬現象，但新舊除權制度下的股價行為模式明顯不同。此種結果亦不支持效率市場假說。三、除權新制與除權舊制最大的差別在改變除權日開盤競價標準，以及放寬除權日漲跌幅限制，這樣制度的改變亦影響証金公司的融資融券假除權規定。除權新制下，開盤競價標準既以除權日前一天的收盤價為準，不進行實質除權動作，故在新制下也就沒有假除權的問題。本研究對李存修(1991)的〝棄權賣股籌款假說〞作了進一步的支持。四、除權舊制及除權新制下除權個股在除權期間皆存在異常報酬現象，但新舊除權制度下的股價異常報酬模式明顯不同。換言之，除權期間股價異常報酬的現象，並未因制度的改變而消弭了，而且在新制度下除權日平均異常報酬(AAR)為l.24%遠比除權舊制下AAR為0.482%大了許多。The study attempts to investigate the information content of seasoned new issues, that is, the market reaction of seasoned new issues. In general, firm uses the proceeds of seasoned new issues for capital structure purpose or expansion concern. The corresponding stock price bvehavior becomes the hottest issue in the area. It is evidenced that the offer price of seasoned new issues is substantially underpriced. Thus the stock price behavior surrounding the event date of seasoned new issues would cause significant abnormal return. In addition, the effects of informational asymmetry between insider and outsider are an interesting issue. Previous studies simply reported the stock returns behavior surrounding the related event dates without theory construction.In order to eliminate the significant abnormal return surrounding the event date of seasoned new issues, SEC has changed the related policy on ex-right process since Oct. 17, 1994. We select the samples of seasoned new issues from 1991 to 1997 to identify the stock behavior sorrounding the ex-right date. The major findings of this study can be summarized as follows.1. The corresponding event date, namely ex-right date, present significant abnormal returns when all samples are considered.2. The way how to process ex-right significantly affects the return behavior of seasoned new issues