主辦券商自營部門買賣行為對現金增資公司掛牌後股價長期績效影響之研究

Abstract

本研究以台灣上市櫃公司於2001~2012年間曾進行現金增資的企業做為研究主體，並利用迴歸分析，分析主辦券商自營部門在其現金增資客戶掛牌上市後之買賣行為，以評估該股價長期績效表現，進而評估主辦資訊優勢是否存在。實證結果發現主辦券商自營部門買賣行為對現金增資掛牌後股價長期而言具有解釋力。另外研究亦發現金增資宣告對股價有顯著負向宣告效果。 金融機構協助客戶辦理股權募資活動，在現行詢價圈購之作業流程下，獲得客戶與潛在買方等眾多資訊。主辦券商自營部門買賣行為對股價績效具有影響力，且台灣金融市場亦身為具有影響力之機構投資人，對股價具有預測力，進而使主辦資訊優勢存在。

This paper researches the buying and selling of host dealers in the financial conglomerates by OLS method sampling SEO stocks from 2001 to 2012 in Taiwan. We try to predict their long-term stock performance via trading amounts of host dealers, and assessed whether information advantage exist or not in this context via this factor. We find that actions of host dealers are significantly relevant to the long-term stock performance. In addition, we find that stock price has significantly negative announce effect when enterprises undertake SEO. Maybe affiliated dealers own information accessibility from clients and potential bidders under current condition of bookbuilding, and they also serve as an influential institutional investor in Taiwan financial market. Therefore, information advantage would exist.