The Determinant of Underpricing for Seasoned Equity Offers

公司面臨資金需求而選擇由發行新股的方式辦理增資後，投資人將以低於市價的價格申購，本文旨在探討現金增資股票折價的影響因子，使用最小平方法及一般動差法評估，以季資料做為實證分析，樣本期間為2001年1月1日起2009年12月31日止，共688個樣本點，本研究結果如下：(一)平均折價幅度為1.21美元，股價在宣告日當天，宣告價格和當日股價的報酬率約為5.6%，從文獻資料顯示1977年開始，現金增資的折價幅度與時俱增。(二)宣告日前一天的股價、保留盈餘、每股報酬、每股資本報酬、折舊以及發行六項變數具有統計上的顯著效果。When a company has money deficit, it may raises capital by issuing stocks. Investors buy those stocks with lower price. This paper investigates NYSE and Nasdaq stocks’ quarterly data from Jan.1, 2001 to Dec. 31, 2009. We use general moment method (GMM) to estimate the equation. The empirical results suggest: (1) The stock discount rate is increasing over time compared to prior researches. The average discount rate is 5.6%. (2) The stock price prior to claim day, earnings retention rate, return on average assets, return on average equity, depreciation and issue amount have statistically significant influences