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標題: REITs現金增資宣告之市場反應及長期績效表現
An Analysis of Seasoned Equity Offerings by REITs and Long Run Underperformance
作者: 游欣穎
Yu, Hsin-Ying
關鍵字: SEOs;現金增資;Abnormal Return;REITs;Long-Run Performance;Informational Asymmetry Hypothesis;Implied-Cash-Flow Change Hypothesis;異常報酬;不動產投資信託;長期績效;資訊不對稱;隱含現金流量假說
出版社: 財務金融系所
引用: 1. Fama, E. F. and K. R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33: 3-56. 2. Howe, J. S. and J. D. Shilling. 1989, “Capital Structure Theory and REIT Security Offerings,” Journal of Finance 43: 983-989. 3. Howe, J. S. and J. D. Shilling. 1990, “REIT Advisor Performance,” Journal of the American Real Estate and Urban Economics Association 18: 479-500. 4. Lease, R. C., Masulis, R. W., and J. R. Page, 1991, “An Investigation of Market Microstructure Impacts on event Study Return,” Journal of Financial Economics 46: 1523-1536. 5. Jaffe, J. F., 1991, “Taxes and the Capital Structure of Partnerships, REITs, and Related Entities,” Journal of Finance 46: 401-408. 6. Ling, D. C., and M. Ryngaert, 1997, “Valuation Uncertainty, Institutional Involvement, and the Underpricing of IPOs: The Case of REITs,” Journal of Financial Economics 15: 31-60 7. Masulis, R. W., and A. N. Korwar, 1986, “Seasoned Equity Offerings: As Empirical Investigation,” Journal of Financial Economics 15: 91-118. 8. Miller, M., 1997, ” Debt and Taxes,” Journal of Finance 32: 261-275. 9. Modigliani, F., and M. Miller, 1958, ”The Cost of Capital, Corporation Finance and the Theory of Investment,” American Economic Review 48: 261-297. 10. Modigliani, F., and M. Miller, 1963, ”Taxes and the Cost of Capital: A Correction,” American Economic Review 53: 433-443. 11. Myers, S. C., and N. S. Majluf, 1984, ”Corporate Financing and Investment Decisions When Firms Have Information The Investors Do Not Have.” Journal of Financial Economics 13: 187-221. 12. Wang, K., G. Gau, and S. H. Chan, 1995, ”Initial Public Offerings of Equity Securities: Anomalous Evidence Using REITs,” Journal of Financial Economics 31: 381-410. 13. Asquith, P. and D. W. Mullins, 1986, ”Equity Issues and Offering Dilution”, Journal of Financial Economics 15: 61-89. 14. Friday, H. S., S. D. Howton and S. W. Howton, 2000, ”Anomalous Evidence an Operating Performance Change Following Seasoned Equity Offerings: The Case of REITs,” Financial Managements. 15. Jain, B. and O. Kini, 1994, ”The Post-Issue Operating Performance of IPO firms,” Journal of Finance, 49: 726-1699. 16. Loughran, T. and J. R. Ritter, 1997, ”The Operating Performance of Firms Conducting Seasoned Equity Offerings,” Journal of Finance 52:57-1823. 17. McLaughlin, R., A. Safieddine and G. K. Vasudevan, 1996, ”The Operating Performance of Seasoned Equity Issuers: Free Cash Flow and Post-Issue Performance,” Financial Management 25: 41-53. 18. Shelor, R. M. and D. C. Anderson, 1998, “The Financial Performance of REITs Following Initial Public Offerings,” Journal of Real Estate Research 16: 87-375. 19. Spiess, D. K. and J. Affleck-Graves, 1995, “Underperformance in Long-Run Stock Returns Following Seasoned equity Offerings,” Journal of Financial Economics 38: 67-243. 20. Chinmoy, G., N. Raja and C. F. Sirmans, 1999, “An analysis of Seasoned Equity Offerings by Equity REITs, 1991 to 1995,” Journal of Real Estate Finance and Economics 19: 175-192. 21. Friday, H. S., S. D. Howton and S. W. Howton, 2000, “Long Run Underperformance in REITs Following Seasoned Equity Offerings,” Journal of Real Estate Portfolio Management 10: 355-363.
This study examines the valuation effect around the announce dates of seasoned equity offerings by 271 REITs over the period 1994 to 2004. Our finding of a significantly negative reaction to announcement corroborates the evidence in Howe and Shilling's (1988). We test the differential impact of these hypotheses and examine how firm-specific factors (including size, amount, and underwriter ranking and institutional holding) influence an individual firm's price change. The evidence is consistent with the implied-cash-flow change hypothesis and Myer and Majluf's (1984) informational asymmetry hypothesis. The long-run performance of REITs following SEOs. Over 47% of sample examined underperform an index of REITs for the first year after the issue, and over 64% for three years.

本研究主要研究不動產投資信託(REITs)在以權益進行現金增資的宣告後,在宣告日附近之價格效果。研究期間為1994年~2004年,共271個研究樣本。本研究對於REITs進行現金增資宣告帶來的負向價格反應結果,與Howe and Shilling(1988)的研究結果相同。而在進行個別公司的特質變數(包括了公司規模、宣告發行的資本總額、主導發行的承銷商評等與機構投資人持股比例)與累積平均異常報酬的探討中,也支持隱含現金流量假說以及Myers and Majluf(1984)的資訊不對稱假說。REITs進行現金增資宣告後的長期績效,47﹪的樣本資料顯示具有負的調整後一年間的報酬,而64﹪則具有負的調整後三年間的報酬。一年後的報酬,並沒有顯著較低的績效表現;但進行現金增資宣告三年後的報酬,卻有顯著較低的績效表現。
其他識別: U0005-2308200622351900
Appears in Collections:財務金融學系所

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