The Impact of Misvaluation Factor on Short- and Long-term Performance of Seasoned Equity Offerings

[[abstract]]過去文獻指出不理性的投資人會受公司的融資決策所影響，對該公司產生錯誤的評價，而公司管理者則利用投資者的錯誤定價，選擇時機發行或購回股票。因此，本文根據Hirshleifer and Jiang (2010)的研究方法，以台灣從事購回股票或債券的公司做為長部位 (Undervalue)，而從事發行股票或債券的公司作為短部位(Overvalue)，建構一個零成本的UMO因子(Undervalue minus Overvalue, UMO)，以及進一步檢驗現金增資公司在發行後的長短期異常績效是否能被UMO因子所解釋。實證結果發現UMO因子能夠有效解釋現金增資短期異常報酬現象，但UMO因子僅能解釋部分現金增資的長期異常績效。[[abstract]]Previous studies find that irrational investors who are affected by firms financing decisions will misprice firms’ value. And then corporate managers, at a proper time, undertake new issues or repurchases to exploit investors’ misvaluation. According to Hirshleifer and Jiang (2010), we construct a zero-investment portfolio (Undervalue minus Overvalue, UMO) in Taiwan by going long on the repurchase firms (Undervalue) and short on the new issue firms (Overvalue). Therefore, we further examine whether seasoned equity offerings (SEOs) short- and long-term abnormal return can be explained by UMO factor. Our empirical results show that UMO factor can explain the short-term positive abnormal return efficiently, but UMO factor can only explain partial long-term abnormal performance of SEOs.[[note]]碩