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題名 投資人情緒對現金增資及股價表現之影響
The effects of investor sentiment on seasoned equity offering and stock return
作者 劉柏毅
Liu, Po-Yi
貢獻者 周冠男<br>江彌修
Chou, Kuan-Nan<br>Chiang, Mi-Hsiu
劉柏毅
Liu, Po-Yi
關鍵詞 現金資增
投資人情緒
股價表現
Seasoned equity offerings
Investor sentiment
Stock returns
日期 2018
上傳時間 3-Jul-2018 17:26:11 (UTC+8)
摘要 國外有許多文獻證實了經理人確實有市場擇時的能力，當公司進行現金增資時，其長短期股價表現通常顯著為負，雖然台灣的實證研究發現長期股價表現為負，但並沒有得到一致的短期股價表現。本文採用2001-2017年間之台灣上市櫃公司為研究對象，觀察現金增資後之長短期股價表現是否會因定義不同日期為事件日而有所差異，並進一步探討投資人情緒是否會影響到現金增資的決策及增資後的股價走勢。
本研究發現，台灣上市櫃公司在現金增資後之短期股價表現並沒有一致的結論，若定義宣告日為事件日則短期股價表現為正，若以股東決議日為事件日則短期股價表現為負，然而在長期的股價表現皆顯著為負，上述結果都與先前的文獻相符。再者，公司若在投資人情緒高的期間內現金增資，則其增資後股價表現顯著低於在投資人情緒低的期間內增資之股價表現。此外，投資人情緒也會影響公司對於現金增資的決策，當投資人情緒越高時，公司越有可能實施現金增資。
Prior studies show that managers have the ability to time the market and both short- and long-run cumulative abnormal returns (CARs) subsequent to seasoned equity offerings (SEOs) are negative. However, evidences in Taiwan do not show consistent results in the short-run abnormal returns. We wonder if the reason is that these studies define the event day differently and thus get different results. Collecting all the SEOs of the firms listed on TWSE and OTC market from 2001 to 2017 as our sample, we further analyze how investor sentiment affects the stock prices subsequent to SEOs and the decision of SEOs.
The results show that short-run CARs are inconsistent under different definitions of event day, however, the long-run CARs are all significantly negative. We also find that if firms conduct SEOs during high sentiment periods, they will suffer from worse impacts of SEOs, compared to those conducting SEOs during low sentiment periods. Moreover, investor sentiment also affects firm’s decision of SEOs. If the sentiment is higher, firms are more likely to conduct SEOs.
參考文獻 Baker, Malcolm and Jeffrey Wurgler. (2002). “Market Timing and Capital Structure.” Journal of Finance 57, 1-32.
Baker, Malcolm and Jeffrey Wurgler. (2006). “Investor Sentiment and the Cross-Section of Stock Returns.” Journal of Finance 61, 1645-1680.
Black, Fischer. (1986). “Noise.” Journal of Finance 41, 529-543.
Brown, Gregory and Michael Cliff. (2002). “Investor Sentiment and the Near-Term Stock Market.” Journal of Empirical Finance 11(1), 1-27.
Chou, Robin K. and Chu Bin Lin (2015). “Investor Sentiment, Market Timing and Seasoned Equity Offering.” Available at SSRN
De Long, Bradford, Andrei Shleifer, Lawrence Summers, and Robert Waldmann. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance 45, 379-395.
DeAngelo, Harry, Linda DeAngelo and Rene Stulz. (2010). “Seasoned Equity Offerings, Market Timing, and the Corporate Lifecycle.” Journal of Financial Economics 95, 275-295.
Deng, Xiaoying and Emir Hrnjic and Seow Eng Ong, “Investor Sentiment and Seasoned Equity Offerings.” Available at SSRN
Dong, Ming, David Hirshleifer, and Siew Hong Teoh. (2012). “Overvalued Equity and Financing Decisions.” Review of Financial Studies 25, 3645-3683.
Graham, John, and Campbell Harvey. (2001). “The theory and practice of corporate finance: evidence from the field.” Journal of Financial Economics 60, 187-243.
Hovakimian, Armen, Tim Opler, and Sheridan Titman. (2001). “The Debt-Equity Choice.” Journal of Financial and Quantitative Analysis 36, 1-24.
Kahneman, Daniel, and Amos Tversky. (1979). “Prospect Theory: An Analysis of Decision under Risk.” Econometrica 47(2), 263-291.
Kyle, Albert. (1985). “Continuous Auctions and Insider Trading.” Econometrica 53, 1315-1336.
Loughran, Tim, and Jay Ritter. (1995). “The New Issues Puzzle.” Journal of Finance 50, 23-51.
Loughran, Tim, and Jay Ritter. (1997). “The Operating Performance of Firms Conducting Seasoned Equity Offerings.” Journal of Finance 50, 1823-1850.
Myers, Stewart, and Nicholas Majluf. (1984). “Corporate Financing and Investment Decisions When Firms Have that Investors Do Not Have.” Journal of Financial Economics 13, 187-221.
Stambaugh, Robert, Jianfeng Yu and Yu Yuan. (2012). “The short of it: Investor sentiment and anomalies.” Journal of Financial Economics 104, 288-302.
Stein, Jeremy C. (1996). “Rational Capital Budgeting in and Irrational World.” Journal of Business 69, 429-455.
Yu, Jianfeng, and Yu Yuan. (2010). “Investor Sentiment and the Mean-Variance Relation.” Journal of Financial Economics 100, 367-381
丁靜儀. (2012). 公司特性對現金增資宣告效果的影響. 朝陽科技大學會計所, 碩士論文
林純夷. (2008). 台灣現金增資公司股價常短期表現之研究. 長榮大學經營管理研究所, 碩士論文
林敬原. (2009). 發行新股與股票購回是否存在市場擇時現象?－台灣上市公司之觀察. 國立屏東商業技術學院國際企業所, 碩士論文
陳振遠、王朝仕. (2007). 現金增資績效之再檢測－考慮新上市公司股票效應、成長機會與內部人交易. 台灣管理學刊, 第7卷第2期, 頁145-166
陳傑鴻. (2011). 投資人情緒對現金增資後股價之影響. 國立雲林科技大學企業管理系, 碩士論文
高貴美. (2003). 現金增資宣告效果因素探討. 國立中山大學財務管理學系碩士在職專班, 碩士論文
梁火在. (1996). 台灣上市櫃公司現金增資之動機. 中興大學高階經理人碩士在職專班, 學位論文
張飴芬. (2012). 台灣新上市櫃公司特徵對其首次現金增資時程及績效影響之探討. 國立政治大學財務管理研究所, 碩士論文
楊海青. (2005). 承銷制度與現金增資宣告效果之關聯性分析. 淡江大學財務金融學系碩士班, 碩士論文
描述 碩士
國立政治大學
金融學系
105352010
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105352010
資料類型 thesis
dc.contributor.advisor 周冠男<br>江彌修zh_TW
dc.contributor.advisor Chou, Kuan-Nan<br>Chiang, Mi-Hsiuen_US
dc.contributor.author (Authors) 劉柏毅zh_TW
dc.contributor.author (Authors) Liu, Po-Yien_US
dc.creator (作者) 劉柏毅zh_TW
dc.creator (作者) Liu, Po-Yien_US
dc.date (日期) 2018en_US
dc.date.accessioned 3-Jul-2018 17:26:11 (UTC+8)-
dc.date.available 3-Jul-2018 17:26:11 (UTC+8)-
dc.date.issued (上傳時間) 3-Jul-2018 17:26:11 (UTC+8)-
dc.identifier (Other Identifiers) G0105352010en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118236-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 105352010zh_TW
dc.description.abstract (摘要) 國外有許多文獻證實了經理人確實有市場擇時的能力，當公司進行現金增資時，其長短期股價表現通常顯著為負，雖然台灣的實證研究發現長期股價表現為負，但並沒有得到一致的短期股價表現。本文採用2001-2017年間之台灣上市櫃公司為研究對象，觀察現金增資後之長短期股價表現是否會因定義不同日期為事件日而有所差異，並進一步探討投資人情緒是否會影響到現金增資的決策及增資後的股價走勢。
本研究發現，台灣上市櫃公司在現金增資後之短期股價表現並沒有一致的結論，若定義宣告日為事件日則短期股價表現為正，若以股東決議日為事件日則短期股價表現為負，然而在長期的股價表現皆顯著為負，上述結果都與先前的文獻相符。再者，公司若在投資人情緒高的期間內現金增資，則其增資後股價表現顯著低於在投資人情緒低的期間內增資之股價表現。此外，投資人情緒也會影響公司對於現金增資的決策，當投資人情緒越高時，公司越有可能實施現金增資。		zh_TW
dc.description.abstract (摘要) Prior studies show that managers have the ability to time the market and both short- and long-run cumulative abnormal returns (CARs) subsequent to seasoned equity offerings (SEOs) are negative. However, evidences in Taiwan do not show consistent results in the short-run abnormal returns. We wonder if the reason is that these studies define the event day differently and thus get different results. Collecting all the SEOs of the firms listed on TWSE and OTC market from 2001 to 2017 as our sample, we further analyze how investor sentiment affects the stock prices subsequent to SEOs and the decision of SEOs.
The results show that short-run CARs are inconsistent under different definitions of event day, however, the long-run CARs are all significantly negative. We also find that if firms conduct SEOs during high sentiment periods, they will suffer from worse impacts of SEOs, compared to those conducting SEOs during low sentiment periods. Moreover, investor sentiment also affects firm’s decision of SEOs. If the sentiment is higher, firms are more likely to conduct SEOs.		en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature Review and Hypothesis 4
2.1 Market Timing, Seasoned Equity Offering 4
2.2 Investor Sentiment 6
3. Data & Model Construction 8
3.1 Data Description 8
3.2 Variables for Stock Performance after SEOs 9
3.3 Variables and Model for CAR Regression 10
3.4 Variables and Model for Estimating SEO Probability 11
4. Empirical Results 13
4.1 The Short- and Long-run Abnormal Return after SEOs 13
4.2 The Investor Sentiment Effect on Short- and Long-run CARs after SEOs 14
4.3 The CAR Regression 15
4.4 Logit Analysis of SEOs 16
5. Conclusion 18
Reference 26
Appendix 29		zh_TW
dc.format.extent 1350642 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105352010en_US
dc.subject (關鍵詞) 現金資增zh_TW
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 股價表現zh_TW
dc.subject (關鍵詞) Seasoned equity offeringsen_US
dc.subject (關鍵詞) Investor sentimenten_US
dc.subject (關鍵詞) Stock returnsen_US
dc.title (題名) 投資人情緒對現金增資及股價表現之影響zh_TW
dc.title (題名) The effects of investor sentiment on seasoned equity offering and stock returnen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baker, Malcolm and Jeffrey Wurgler. (2002). “Market Timing and Capital Structure.” Journal of Finance 57, 1-32.
Baker, Malcolm and Jeffrey Wurgler. (2006). “Investor Sentiment and the Cross-Section of Stock Returns.” Journal of Finance 61, 1645-1680.
Black, Fischer. (1986). “Noise.” Journal of Finance 41, 529-543.
Brown, Gregory and Michael Cliff. (2002). “Investor Sentiment and the Near-Term Stock Market.” Journal of Empirical Finance 11(1), 1-27.
Chou, Robin K. and Chu Bin Lin (2015). “Investor Sentiment, Market Timing and Seasoned Equity Offering.” Available at SSRN
De Long, Bradford, Andrei Shleifer, Lawrence Summers, and Robert Waldmann. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance 45, 379-395.
DeAngelo, Harry, Linda DeAngelo and Rene Stulz. (2010). “Seasoned Equity Offerings, Market Timing, and the Corporate Lifecycle.” Journal of Financial Economics 95, 275-295.
Deng, Xiaoying and Emir Hrnjic and Seow Eng Ong, “Investor Sentiment and Seasoned Equity Offerings.” Available at SSRN
Dong, Ming, David Hirshleifer, and Siew Hong Teoh. (2012). “Overvalued Equity and Financing Decisions.” Review of Financial Studies 25, 3645-3683.
Graham, John, and Campbell Harvey. (2001). “The theory and practice of corporate finance: evidence from the field.” Journal of Financial Economics 60, 187-243.
Hovakimian, Armen, Tim Opler, and Sheridan Titman. (2001). “The Debt-Equity Choice.” Journal of Financial and Quantitative Analysis 36, 1-24.
Kahneman, Daniel, and Amos Tversky. (1979). “Prospect Theory: An Analysis of Decision under Risk.” Econometrica 47(2), 263-291.
Kyle, Albert. (1985). “Continuous Auctions and Insider Trading.” Econometrica 53, 1315-1336.
Loughran, Tim, and Jay Ritter. (1995). “The New Issues Puzzle.” Journal of Finance 50, 23-51.
Loughran, Tim, and Jay Ritter. (1997). “The Operating Performance of Firms Conducting Seasoned Equity Offerings.” Journal of Finance 50, 1823-1850.
Myers, Stewart, and Nicholas Majluf. (1984). “Corporate Financing and Investment Decisions When Firms Have that Investors Do Not Have.” Journal of Financial Economics 13, 187-221.
Stambaugh, Robert, Jianfeng Yu and Yu Yuan. (2012). “The short of it: Investor sentiment and anomalies.” Journal of Financial Economics 104, 288-302.
Stein, Jeremy C. (1996). “Rational Capital Budgeting in and Irrational World.” Journal of Business 69, 429-455.
Yu, Jianfeng, and Yu Yuan. (2010). “Investor Sentiment and the Mean-Variance Relation.” Journal of Financial Economics 100, 367-381
丁靜儀. (2012). 公司特性對現金增資宣告效果的影響. 朝陽科技大學會計所, 碩士論文
林純夷. (2008). 台灣現金增資公司股價常短期表現之研究. 長榮大學經營管理研究所, 碩士論文
林敬原. (2009). 發行新股與股票購回是否存在市場擇時現象?－台灣上市公司之觀察. 國立屏東商業技術學院國際企業所, 碩士論文
陳振遠、王朝仕. (2007). 現金增資績效之再檢測－考慮新上市公司股票效應、成長機會與內部人交易. 台灣管理學刊, 第7卷第2期, 頁145-166
陳傑鴻. (2011). 投資人情緒對現金增資後股價之影響. 國立雲林科技大學企業管理系, 碩士論文
高貴美. (2003). 現金增資宣告效果因素探討. 國立中山大學財務管理學系碩士在職專班, 碩士論文
梁火在. (1996). 台灣上市櫃公司現金增資之動機. 中興大學高階經理人碩士在職專班, 學位論文
張飴芬. (2012). 台灣新上市櫃公司特徵對其首次現金增資時程及績效影響之探討. 國立政治大學財務管理研究所, 碩士論文
楊海青. (2005). 承銷制度與現金增資宣告效果之關聯性分析. 淡江大學財務金融學系碩士班, 碩士論文		zh_TW
dc.identifier.doi (DOI) 10.6814/THE.NCCU.MB.004.2018.F06-