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題名 銀行現金增資對自有資本適足率變動的宣告效果之研究
The announcement effects of seasoned equity offering on change of the capital adequacy ratios of financial holding companies in Taiwan作者 游恩慈
Yu, En Tzu貢獻者 張興華<br>吳啟銘
游恩慈
Yu, En Tzu關鍵詞 現金增資
資本適足率
金融業日期 2012 上傳時間 11-Jul-2013 16:53:44 (UTC+8) 摘要 近年來金融環境變化劇烈，而金融危機發生的頻率也日益頻繁。金融危機發生時最容易先被關注的金融產業也是與我們日常生活最息息相關的。政府機關也因為金融業的重要性，往往將它列管為特許行業或施加一些規範去控管它的風險程度，例如近年所採納的Basel協議等。所以了解金融業的穩健程度與解決其中的資訊不對稱問題就變成當今重要的課題之一。 一直以來，現金增資都被視為是解決內部與外部之間資訊不對稱的一個重要的管道，而國外有C.N.V. Krishnan (2010) 做了相關的研究，它們去了解資本適足率低的銀行現金增資與資本適足率高的銀行現金增資對於外部投資人來說是否有不一樣的解讀與反應。結果發現，這兩者並非如直覺般的有差異，兩者在宣告期間都有負面的宣告效果，且兩者的差異在統計上並沒有很顯著。 但我們可以知道不同的政府對於監管的態度與策略並不太一致，所以了解台灣與美國間是否有差異便是本篇論文的一個目的。我們實證假說認為資本適足率低的銀行現金增資應有負面的效果，因為他使用了較多昂貴的資本，而資本適足率高的現金增資則會有一個正面的反應，因為這些現金增資往往都是拿來做較有利益的用途，抵銷了原本的宣告負面效果。實證結果顯示，在資本適足率低的銀行現金增資在宣告期有一個負面的反應，但是在某些事件期下，資本適足率高的銀行現金增資在台灣卻有一個顯著的正面宣告效果。 我們事後也對這個現象做了進一步的分析，推測應該是這個樣本中大部分的現金增資都拿來做為長期投資與放款的用途，抵銷了現金增資給人的負面效果。除此之外，我們也發現現金增資後的ROA有往上增加的趨勢，投資人也或許預測到了這樣的現象進而給予正面的肯定，此部分的結果也與我們的假說相呼應。 參考文獻 王克陸,黃思瑋,陳建偉, 2006. 現金增資前後營業績效變化與自由現金流量假說張飴芬, 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沈中華, 李建然. 台灣經濟新報事件研究法使用手冊Baker, M., Wurgler, J., 2002. Market timing and capital structure. Journal of Finance 57, 1-32Barber, B.M., Lyon, J.D., 1996. Detecting abnormal operating performance: The empirical power and specification of test statistics, J. Finance Economics 41, 359-399.Bernanke, B., Lown, C., 1991. The credit crunch. Brookings Pap. Econ. Act. 2, 205-239C.N.V. Krishnan, O. Emre Ergungor, Paul A. Laux, Ajai K. Singh, Allan A. Zebedee, 2010. Examining bank SEOs: Are offers made by undercapitalized banks different? Journal of Financial Intermediation 19, 207-234.Clarke, J., Dunbar, C., Kahle, K., 2001. Long-run Performance and Insider trading in completed and cancelled seasoned equity offerings. Journal of Finance. Quant. Anal. 36, 415-430Cornett, M.M., Mehran, H., Tehranian, H., 1998. Are financial markets overly optimistic about the prospects of firms that issue equity? Evidence from voluntary versus involuntary equity issuances by banks. Journal of Finance 53, 2139-2159.Cornett, M.M., Tehranian, H., 1994. An examination of voluntary versus involuntary security issuances by commercial bank: The impact of capital regulations on common stock return. Journal of Financial Economics. 35, 99-122.Dittmar, A., Thakor, A., 2007. Why do firms issue equity? Journal of Finance 62, 1-54Eckbo, B.E., Masulis, R., Norli, O., 2007. Security offerings, Handbook of Corporate Finance: Empirical Corporate Finance. Handbooks in Finance Series, vol. 1. North-Holland/Elsevier. Chapter 13.Fama, E.F., 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics. 49, 283-306.Fama, E.F., French K.R., 1992. The cross-section of expected stock returns. Journal of Finance. 47, 427-465.Gavin, M., Hausmann, R., 1998. The roots of banking crisis: The macroeconomics context. Working Paper, Inter-American Development bank.Haubrich, J., Wachtel, P., 1993. Capital requirements and shifts in commercial bank portfolios. Economics Review, Fed. Reserve Bank Cleveland 29, 2-15.Jenter, D., 2005. Market timing and managerial portfolio decisions. Journal of Finance 60, 1903-1949.Kishan, R.P., Opiela, T.P., 2006. Bank capital and loan asymmetry in the transmission of monetary policy. Journal of Banking Finance 30, 259-286.Krishnamurthy, S., Spindt, P., Subramaniam, V., Woidtke, T., 2005. Does investor identity matter in equity issues? Evidence from private placements. Journal of Finance Intermediation. 14, 210-238.Lee, I., 1997. Do firms knowingly sell overvalued equity? Journal of Finance 52, 1439-1466.Loughran, T., Ritter, J., 1997. The operating performance of firms conducting seasoned equity offerings. Journal of Finance 52, 1823-1850.Lucas, D., McDonald, R., 1990. Equity issues and stock price dynamics. Journal of Finance 45, 1019-1043.Lyandres, E., Sun, L., Zhang, L., 2005. Investment-based underperformance following seasoned equity offerings. Working paper, Rice University and University of Rochester.Lyon, J., Barber, B., Tsai, C.L., 1999. Improved methods for tests of long-run abnormal stock returns. Journal of Finance 54, 165-201.Macey, J.R., Miller, G.P., Carnell, R.C., 2001. Banking Law and Regulation. Aspen Publishers, New York.Myers, S.C., Majluf, N., 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13, 187-221.Shin-Rong Shiah-Hou, 1999. The Long-Run Performance of Season Equity offering in Taiwan.Spiess, K., Affleck-Graves, J., 1995. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics 38, 243-267. 描述 碩士
國立政治大學
金融研究所
98352008
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098352008 資料類型 thesis dc.contributor.advisor 張興華<br>吳啟銘 zh_TW dc.contributor.author (Authors) 游恩慈 zh_TW dc.contributor.author (Authors) Yu, En Tzu en_US dc.creator (作者) 游恩慈 zh_TW dc.creator (作者) Yu, En Tzu en_US dc.date (日期) 2012 en_US dc.date.accessioned 11-Jul-2013 16:53:44 (UTC+8) - dc.date.available 11-Jul-2013 16:53:44 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2013 16:53:44 (UTC+8) - dc.identifier (Other Identifiers) G0098352008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58798 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 98352008 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 近年來金融環境變化劇烈，而金融危機發生的頻率也日益頻繁。金融危機發生時最容易先被關注的金融產業也是與我們日常生活最息息相關的。政府機關也因為金融業的重要性，往往將它列管為特許行業或施加一些規範去控管它的風險程度，例如近年所採納的Basel協議等。所以了解金融業的穩健程度與解決其中的資訊不對稱問題就變成當今重要的課題之一。 一直以來，現金增資都被視為是解決內部與外部之間資訊不對稱的一個重要的管道，而國外有C.N.V. Krishnan (2010) 做了相關的研究，它們去了解資本適足率低的銀行現金增資與資本適足率高的銀行現金增資對於外部投資人來說是否有不一樣的解讀與反應。結果發現，這兩者並非如直覺般的有差異，兩者在宣告期間都有負面的宣告效果，且兩者的差異在統計上並沒有很顯著。 但我們可以知道不同的政府對於監管的態度與策略並不太一致，所以了解台灣與美國間是否有差異便是本篇論文的一個目的。我們實證假說認為資本適足率低的銀行現金增資應有負面的效果，因為他使用了較多昂貴的資本，而資本適足率高的現金增資則會有一個正面的反應，因為這些現金增資往往都是拿來做較有利益的用途，抵銷了原本的宣告負面效果。實證結果顯示，在資本適足率低的銀行現金增資在宣告期有一個負面的反應，但是在某些事件期下，資本適足率高的銀行現金增資在台灣卻有一個顯著的正面宣告效果。 我們事後也對這個現象做了進一步的分析，推測應該是這個樣本中大部分的現金增資都拿來做為長期投資與放款的用途，抵銷了現金增資給人的負面效果。除此之外，我們也發現現金增資後的ROA有往上增加的趨勢，投資人也或許預測到了這樣的現象進而給予正面的肯定，此部分的結果也與我們的假說相呼應。 zh_TW dc.description.tableofcontents 目錄 I圖目錄 II表目錄 III第一章 緒論 1第一節 研究動機 1第二節 研究目的 3第二章 文獻回顧 6第三章 研究設計 11第一節 資料選取 11第二節 變數定義 15第三節 樣本分類 19第四節 事件研究法 23第五節 假設檢定 25第四章 實證結果分析 28第一節 宣告效果分析 28第二節 兩樣本差異分析 41第三節 影響CAR的因素分析 43第五章 結論與建議 49第一節 研究結論 49第二節 研究限制 50第三節 後續研究建議 50參考文獻 51 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098352008 en_US dc.subject (關鍵詞) 現金增資 zh_TW dc.subject (關鍵詞) 資本適足率 zh_TW dc.subject (關鍵詞) 金融業 zh_TW dc.title (題名) 銀行現金增資對自有資本適足率變動的宣告效果之研究 zh_TW dc.title (題名) The announcement effects of seasoned equity offering on change of the capital adequacy ratios of financial holding companies in Taiwan en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 王克陸,黃思瑋,陳建偉, 2006. 現金增資前後營業績效變化與自由現金流量假說張飴芬, 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沈中華, 李建然. 台灣經濟新報事件研究法使用手冊Baker, M., Wurgler, J., 2002. Market timing and capital structure. Journal of Finance 57, 1-32Barber, B.M., Lyon, J.D., 1996. Detecting abnormal operating performance: The empirical power and specification of test statistics, J. Finance Economics 41, 359-399.Bernanke, B., Lown, C., 1991. The credit crunch. Brookings Pap. Econ. Act. 2, 205-239C.N.V. Krishnan, O. Emre Ergungor, Paul A. Laux, Ajai K. Singh, Allan A. Zebedee, 2010. Examining bank SEOs: Are offers made by undercapitalized banks different? Journal of Financial Intermediation 19, 207-234.Clarke, J., Dunbar, C., Kahle, K., 2001. Long-run Performance and Insider trading in completed and cancelled seasoned equity offerings. Journal of Finance. Quant. Anal. 36, 415-430Cornett, M.M., Mehran, H., Tehranian, H., 1998. Are financial markets overly optimistic about the prospects of firms that issue equity? Evidence from voluntary versus involuntary equity issuances by banks. Journal of Finance 53, 2139-2159.Cornett, M.M., Tehranian, H., 1994. An examination of voluntary versus involuntary security issuances by commercial bank: The impact of capital regulations on common stock return. Journal of Financial Economics. 35, 99-122.Dittmar, A., Thakor, A., 2007. Why do firms issue equity? Journal of Finance 62, 1-54Eckbo, B.E., Masulis, R., Norli, O., 2007. Security offerings, Handbook of Corporate Finance: Empirical Corporate Finance. Handbooks in Finance Series, vol. 1. North-Holland/Elsevier. Chapter 13.Fama, E.F., 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics. 49, 283-306.Fama, E.F., French K.R., 1992. The cross-section of expected stock returns. Journal of Finance. 47, 427-465.Gavin, M., Hausmann, R., 1998. The roots of banking crisis: The macroeconomics context. Working Paper, Inter-American Development bank.Haubrich, J., Wachtel, P., 1993. Capital requirements and shifts in commercial bank portfolios. Economics Review, Fed. Reserve Bank Cleveland 29, 2-15.Jenter, D., 2005. Market timing and managerial portfolio decisions. Journal of Finance 60, 1903-1949.Kishan, R.P., Opiela, T.P., 2006. Bank capital and loan asymmetry in the transmission of monetary policy. Journal of Banking Finance 30, 259-286.Krishnamurthy, S., Spindt, P., Subramaniam, V., Woidtke, T., 2005. Does investor identity matter in equity issues? Evidence from private placements. Journal of Finance Intermediation. 14, 210-238.Lee, I., 1997. Do firms knowingly sell overvalued equity? Journal of Finance 52, 1439-1466.Loughran, T., Ritter, J., 1997. The operating performance of firms conducting seasoned equity offerings. Journal of Finance 52, 1823-1850.Lucas, D., McDonald, R., 1990. Equity issues and stock price dynamics. Journal of Finance 45, 1019-1043.Lyandres, E., Sun, L., Zhang, L., 2005. Investment-based underperformance following seasoned equity offerings. Working paper, Rice University and University of Rochester.Lyon, J., Barber, B., Tsai, C.L., 1999. Improved methods for tests of long-run abnormal stock returns. Journal of Finance 54, 165-201.Macey, J.R., Miller, G.P., Carnell, R.C., 2001. Banking Law and Regulation. Aspen Publishers, New York.Myers, S.C., Majluf, N., 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13, 187-221.Shin-Rong Shiah-Hou, 1999. The Long-Run Performance of Season Equity offering in Taiwan.Spiess, K., Affleck-Graves, J., 1995. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics 38, 243-267. zh_TW
