國內企業運用資本市場籌資工具對股東權益影響之研究

Abstract

摘 要 本研究之取樣公司主要係根據國內上市、上櫃公司於民國92年1月至民國93年6月底止，曾完成國內現金增資、海外存託憑證或國內、外可轉債之發行者為對象，藉由系統抽樣法所取得之資料，進行關鍵項目的量化分析，期以歸納各籌資工具的屬性及其對股東權益的影響程度；並進一步針對各發行條件之量化結果是否與發行公司的基本面相契合，作一分析比較，以找出特例個案；希望經由本研究方法，作為改善現行承銷制度與建置預警機制的導航。 關鍵項目包括：（1）觀察發行公司於資本市場運用之各項籌資工具，其所表彰的有價證券之價格，在訂價起始日之前及訂價期間的個股股價異常報酬率累計值（CAR），並設算以新股增資對原股東持股市值的稀釋影響。（2）評量可轉債之發行條件的隱含成本：包括投資人轉換權利、賣回權利、重設條款，設算其對原股東EPS的影響程度及風險溢酬年率化數值。 茲以籌資工具屬性，分述研究結論：一、以發行新股方式在資本市場募集資金：（1）以折價發行者眾（2）就樣本資料分析：國內企業辦理現金增資及發行DR，對原股東持股市值的負向影響值≦-1%者，分別約佔5%、53%。（3）若其他條件相同，DR兌回比例100%，則國內現增採公開申購方式，較保障股東權益價值。（4）就樣本資料而言：國內現增於發行訂價前，股價產生負異常報酬率之案例，明顯高於正異常報酬率之案例；即CAR≦-1%之案例，明顯高於CAR≧+1%之案例（5）t統計量檢定結果，DR訂價當日，其標的個股呈負向異常報酬率者較顯著，致壓低訂價結果。（6）發行公司基本面，是主要訂價條件之決策因子；惟亦有例外情形者。二、以發行可轉換公司債在資本市場募集資金：（1）以轉換溢價發行者眾（2）發行CB之資金成本遠遠大於銀行團聯貸成本（3）就取樣資料觀之：發行訂價前，股價產生負異常報酬率之案例，高於正異常報酬率之案例；即CAR≦-1%之案例，高於CAR≧+1%之案例DCB者（4）t統計量檢定結果，於訂價前，DCB出現負向異常報酬率的比重，較ECB為顯著。（5）發行公司基本面，是主要訂價條件之決策因子；惟亦有例外情形者。

TABSTRACT he primary purpose for the study is to evaluate the dilution effect on the existing shareholders’ equity when Taiwan companies use the capital market implements to raise funds. The objects sampled by systematic sampling method were according to the companies listed in TSE or OTC have completed the issuance of domestic cash injection or GDR / ADR or domestic CB or ECB during the period from January 1, 2003 to June 30, 2004. The key items through quantitative analysis included (1) the cumulative abnormal return of the underlying share in the course of the specific period before pricing. (2) The annualized risk premium carried by the CB issuer. The annualized risk premium was figured out by the factors of conversion option, put option, call option and reset clause. There are two parts for the conclusion of the study：First part is as the new shares issuance: (1) The issuance with discount terms is a majority (2) in terms of sample cases, the ratio to the cases of cash injection and DR with negative influence（≦-1%）on the existing shareholders was 5% and 53%, respectively. (3) On the same conditions, compared with GDR / ADR of 100% flown back, domestic cash injection with 10~15% public offering is provided with the protection to the existing shareholders’ equity. (4) in terms of sample cases, there has over-selling pressure before pricing. (5) Based on t-test, there has a significant signal to negative AAR on DR pricing day for capital arbitrage purpose. (6) The strategic factors to the pricing terms are mainly based upon the foundamental of the issuer, but there still have exception cases. Second part is as the debt issuance with equity option: (1) The issuance with premium terms is a majority. (2) the funding cost of CB issuance is far more than banking syndication loan. (3) In terms of sample cases, there has over-selling pressure comparatively before pricing. (4) based on t-test, DCB’s percentage weight to negative AAR is more significant than ECB’s before pricing day. (5) The strategic factors to the pricing terms are mainly based upon the foundamental of the issuer, but there still have exception cases.