台灣現金減資宣告效果之實證研究

Abstract

本研究採用事件研究法與迴歸模型探討2006年至今發生的數件以「返還股款」為由宣告依公司法進行現金減資的事件對於市場之宣告效果，以及針對本文提出之不同因素探討其對宣告效果的影響。 由於宣告現金減資之案例出現在數個不同的產業，各產業也具其產業的特色，因此本研究分別針對各產業的宣告效果進行個別的探討。事件研究法下的實證結果得知，同產業中，公司面對該產業首次之宣告現金減資事件，會出現正向之宣告效果。在光電產業中，外資持股比例較高的公司有較大的正向宣告效果。IC設計產業、化學產業與觀光產業中，大股東持股比例較高的公司有較大的正向宣告效果。觀光產業中，現金及其他短期可變現流動資產比例高的公司有較大的正向宣告效果。光電產業、IC設計產業、IC積體電路產業、化學產業與觀光產業中，過去現金股利率較高的公司有較大的正向宣告效果。而迴歸模型的檢定也獲得與上述事件研究法相符合之結果。因此在不同產業下，分別支持著部份本文提出的影響因素。顯示，各產業確實具有其不同的特色與背景，使各因素對於各產業宣告效果有不同的影響程度。

This is an empirical study to discuss whether the first announcement of the capital reduction by the Corporate Law in an industry affected the stock prices of the other companies in the same industry. Providing the several events of capital reduction by the Corporate Law occurred since 2006 in Taiwan, I use the event study and the regression model to show the announcement effects and to discuss different factors which may affect these effects. Since several events occurred in different industries, I classified them into several categories basing on their industries and examined their results, respectively. The empirical result shows that there was the positive effect when a capital reduction by the Corporate Law first announced in an industry. In the optoelectronic industry, the companies which have higher ratios of the foreign institutions shares have larger positive reactions; In the integrated circuit design, chemical and tourism industry, the companies which have higher ratios of the main shares have larger positive reactions; In the tourism industry, the companies which have higher ratios of cash and other short-term realizable assets have larger positive reactions; In the optoelectronic, integrated circuit design, integrated circuit, chemical and tourism industry, the companies which have higher ratios of cash dividend have larger positive reactions. The regression model also shows the consistent results. Thus, different industries supported partial hypotheses respectively in this paper. It shows that since industries have different characteristics, several factors have different degrees of effects.