由虧轉盈公司股價之表現及影響因素之探討
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2017
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本研究針對2006年第一季至2016第二季之台灣所有上市櫃股票的財報，篩選出2714筆每股盈餘連續四季為負且第五季由虧轉盈的樣本，探討由虧轉盈的資訊的宣告對於股價的平均累積異常是否具有正向的影響力，並探討其影響平均累積異常報酬的原因為何?
本研究採市場調整模式估計由虧轉盈的資訊的宣告日前後的累積異常報酬，並針對(0,0)、(0,+1)、(-1,0)、(-1,1)、(-2,+2)、(0,+2)、(-2,0)、(+1,+22)、(+1,+44)九個窗期計算平均累積異常報酬，分析由虧轉盈資訊的宣告效果並作為多元迴歸及Probit 模型的應變數研究影響平均累積異常報酬的原因。根據過去文獻探討，選用成交量變動百分比、自營商持股比例、月營收成長比率、負債比率、股東權益報酬率、Beta值作為自變數及控制變數，而第二部分則將樣本分群，根據平均累積異常報酬分成前25%的平均累積異常報酬及後75%的平均累積異常報酬作為Probit 模型的二元應變數，以相同的自變數更進一步探討造成前25%的平均累積異常報酬的決定性因素。
實證結果顯示，在由虧轉盈資訊宣告日前後，樣本具有正的平均累積異常報酬，且皆為顯著的關係，代表由虧轉盈的資訊能夠帶給股價有好的表現，但平均累積異常報酬的幅度並不大，宣告效果並不強。在多元迴歸模型及Probit模型分析中，影響累積異常報酬的主要因素為股東權益報酬及自營商持股比例，且皆與平均累積異常報酬呈現正向顯著關係，本研究推論，股東權益報酬率為經營績效的指標，投資人衡量企業的獲利能力時，會參考股東權益報酬率，因而造成宣告日前後較高的平均累積異常報酬。在自營商持股部分，過去文獻顯示自營商傾向逢低買進持股，於股價高漲時獲利了結，因此本研究也推論，自營商傾向於由虧轉盈當季先提前進場布局，造成由虧轉盈資訊宣告後獲利了結，平均累積異常報酬也隨之推高，而本研究的成交量變動百分比在九個窗期當中，顯著次數較低，因此本研究並不能斷言其變數能夠影響宣告後的平均累積異常報酬。
In this study, we examine whether the news release of “Corporate turnaround” could cause a positive cumulative average abnormal return (CAARs), and examine determinants that influence the average cumulative abnormal return. The sample consists of 2714 Taiwan corporates that had ever experienced losses for four consecutive quarter and a successful turnaround from the second quarter of 2006 to the second quarter of 2016.The results indicates “Corporate turnaround” news release will directly influence on average cumulative abnormal returns of stock price. The relation between news release of “Corporate turnaround” and return of stock price is significantly positive. But the average cumulative abnormal returns are not large, and the announcement effect is not strong. Another purpose of this study is to identify determinants affecting the CAARs. I employ multiple regression and probit model as research methods to examine the important factors of the CAARs. The empirical results shows that the shareholders' return on equity (ROE) and dealer shareholding ratio are positively correlated with the average abnormal rate of return. We inference that the ROE is an indicator of firms performance. When investors measure the profitability of an enterprise, they refer to the rate of return on shareholders' equity, resulting in a higher average accumulated abnormal reward. In the part of dealer shareholding ratio, the literature shows that dealers tend to bargain hunt and reap profits when the stock price rise, so we also inference that dealers tend to bargain hunt in advance and reap the profits when the news of “Corporate turnaround” is announced so as to push up the CAARs.
In this study, we examine whether the news release of “Corporate turnaround” could cause a positive cumulative average abnormal return (CAARs), and examine determinants that influence the average cumulative abnormal return. The sample consists of 2714 Taiwan corporates that had ever experienced losses for four consecutive quarter and a successful turnaround from the second quarter of 2006 to the second quarter of 2016.The results indicates “Corporate turnaround” news release will directly influence on average cumulative abnormal returns of stock price. The relation between news release of “Corporate turnaround” and return of stock price is significantly positive. But the average cumulative abnormal returns are not large, and the announcement effect is not strong. Another purpose of this study is to identify determinants affecting the CAARs. I employ multiple regression and probit model as research methods to examine the important factors of the CAARs. The empirical results shows that the shareholders' return on equity (ROE) and dealer shareholding ratio are positively correlated with the average abnormal rate of return. We inference that the ROE is an indicator of firms performance. When investors measure the profitability of an enterprise, they refer to the rate of return on shareholders' equity, resulting in a higher average accumulated abnormal reward. In the part of dealer shareholding ratio, the literature shows that dealers tend to bargain hunt and reap profits when the stock price rise, so we also inference that dealers tend to bargain hunt in advance and reap the profits when the news of “Corporate turnaround” is announced so as to push up the CAARs.
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由虧轉盈, 轉機型, 宣告效果, Corporate turnaround, Turn models, Announcement effect