現金增資宣告之日內市場反應

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姓名

林雅玲(Ling-Ya Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

現金增資宣告之日內市場反應
(Market Reactions to Seasoned Equity Offering--An Intraday Analysis)

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摘要(中)

本文利用日內交易與報價資料以及準確之宣告時點檢驗市場對現金增資之日內反應情況。
就我們的樣本而言，發現現金增資是具有資訊內涵的，且市場具有效率性。價格在訊息發布的一分鐘內有所反應，交易強度倍增。若投資人可以在現金增資宣告之前,依據相關訊息交易則可有獲利
現金增資的宣告前13個小時有交易深度上的變動,推測原因為當公司註冊後.流動性提供者預期即將宣告的時點,以降低交易深度的方式降低交易風險。

摘要(英)

This study uses intraday trade and quote data and exact announcement times to examine the within-day pattern of the market reactions surrounding new equity offering announcements.
We find that the new equity offering samples have informational content. The prices respond to new equity offering announcement within nine minutes of initial releases. There is a significant increase in trading intensity at the event period, and an increase in trades following news. Traders who execute before the initial release make small profit by trading during the new equity offering announcements.
The depth decreased from the 13 hours before event equity offering announcements release. Liquidity provider anticipates the time of announcements and decrease depth to reduce the transaction risk.

關鍵字(中)

★ 現金增資

關鍵字(英)

★ liquidity
★ new euqity offerings
★ seasoned euqity offering
★ secondary offering

論文目次

Table of Contents
1. Introduction 1
2. Announcement-effect hypotheses 4
2.1 Information hypotheses 4
2.2 Leverage hypotheses 6
3. Data Sources and Sample Selection 7
4. Methodology 10
4.1 The impact of seasoned equity offering announcements on prices and trading 10
4.2 The impact of seasoned equity offering announcement on liquidity 12
5. The impact of new equity offering announcements on price and trading 15
5.1 Magnitude of price response 15
5.2 Speed of price response 18
5.3 Cross-sectional determinants of price impact 21
5.4 Results 21
5.5 Trading profitability 24
5.6 Trading activity 26
6. The impact of new equity offering announcement on liquidity 29
6.1 Univariate test results 29
6.2 Multivariate test results 33
7. Conclusion 37
Reference 38
Appendix 43

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指導教授

陳聖賢、周冠男
(Sheng-Syan Chen、Robin K. Chou)

審核日期

2006-6-23

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