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    题名: 現增價格折價幅度影響因子之分析
    The Determinant of Underpricing for Seasoned Equity Offers
    作者: 張經艷
    贡献者: 謝淑貞
    張經艷
    关键词: 一般動差法
    現金增資
    資本結構
    GMM
    Capital structure
    日期: 2009
    上传时间: 2010-12-08 01:52:21 (UTC+8)
    摘要: 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.
    參考文獻: Baker, M. and J. Wurgler, 2000. The equity shate in new issue and aggregate stock returns. Journal of Finance 55,2219-2257.
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    Corwin, A. , 2003. The determinant of underpricing for seasoned equity offers. Journal of Finance 58(5), 2249-2279
    Fama, F. and R. French, 2000. Testing tradeoff and pecking order
    presictions about dividends and debt, working paper, University of Chicago.
    Fama, F. and R. French, 2005. Who issues stock? Journal of Financial Economics 76, 549-582.
    Graham, R. and R. Harvey, 2000. The theory and practice of corporate finance: Evidence from the field, Journal of Financial Economics 60, 187-243
    Hansen L ., 1982. Large Sample Properties of Generalized Methods of Moments Estimators. Econometrica 50, 1029-1054.
    Harris, M. and A. Raviv, 1991. The theory of capital structure. Journal of Finance 39, 127-145
    Jensen, C., 1986. Agency costs of free-cash-flow, corporate finance, and takeovers, American Economics Reviews 76, 323-329.
    Huang, R. and R.Ritter, 2009. Testing theories of capital structure and estimating the speed of adjustment. Journal of Financial and Quantitative Analysis 44(2), 237-271
    Karim, E., 2001. An empirical examination of the pricing of seasoned equity offerings: A test of the signaling hypothesis. Review of Quantitative Finance and Accounting 17, 63-79.
    Loughran, T., and R. Ritter, 1997. The operating performance of firm conducting seasoned equity offerings. Journal of Finance 52, 1823-1850.
    Lucas, J., and L. Robert, 1990. Equity issues and stock price dynamics. Journal of Finance 45, 1019-1043.
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    Roberts, R. and A. Sufi,2009. Control right and capital structure: An empirical investigation. Journal of Finance 64(4), 1657-1695
    Xin, C. and S. Dasgupta, 2009. Target behavior and financing: How conclusive is the evidence? Journal of Finance 64(4) 1767-1796
    Zwiebel, J., 1996 . Dynamic capital structure under Managerial Entrenchment. American Economics Review 86(5), 1197-1215.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351026
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097351026
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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