REITs現金增資宣告之市場反應及長期績效表現

Abstract

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。