本研究依據Grullon and Michaely的研究方法，探討台灣公司債券發行後股利增發宣告的資訊內涵，從風險變動與投資活動變動的角度來探討，用以驗證自由現金流量假說與代理理論的說法是否存在於台灣的市場。研究期間為1997年1月1日至2006年12月31日，共計139家上市上櫃公司作為樣本；研究發現公司在債券發行後宣告股利增發的市場反應，由事件研究法所得到的股價累積異常報酬(CAR)為負；公司在債券發行後宣告股利增發，接下來幾年會經歷營運績效下降、投資活動減少、系統風險下降，這些結果支持自由現金流量假說。最後以迴歸分析彙總事件日後股價累積異常報酬(CAR)和投資活動變動、系統風險變動以及營運績效間的關係，發現股價累積異常報酬與未來投資活動變動以及未來營運績效變動為正相關，和未來系統風險具有顯著的負相關；並且具有低成長機會以及高自由現金流量的公司會對現金股利增發宣告具有較大且為正向的反應，與自由現金流量預期一致。 This article discusses the information content of the announcement of cash dividend increase following debt issue. We apply Grullon and Michaely (2004)’s method, testing if investment activities, profitability, and systematic risks change after the event day. The research period is from January 1, 1997 to December 31, 2006.We had collected 139 sample firms. We found after the debt issue, the market response of additional dividends declaration, the cumulative abnormal returns (CAR) is negative. And after the event day, firms will experience a decline in operating performance, investment activities, and systematic risks. Finally, evidence indicate that the market reactions(CAR) are positively associated with future changes in profitability and future change in investment activities, and negatively related with future change in risk.
