The Analysis of the Effects of Capital Reduction on Taiwan’s Security Market

• Main Authors: Shun-Di Chang, 張舜迪
• Other Authors: Kuo-Jung Lee
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/62736352220142290077

碩士 === 樹德科技大學 === 金融與風險管理所 === 96 === Domestic researches of reducing capital to atone for loss (RCAL) and capital reduction are still rare and lack complete and long-term studies. Therefore, this paper wants to study and fill the gap of related area. This study applies the viewpoint of exchange options to explore the effects of capital reduction on stock price and their reasons. In addition, this paper uses event study to explore the effects of capital reduction on abnormal returns under bull and bear market, different capital reduction purposes, and company style. This paper finds that announcement of capital reduction will result in negative abnormal returns whenever in bull or bear market. There is a significant effect of difference market situations and capital reduction purposes on stock abnormal returns. The higher returns can be gotten from capital reduction in bull market. Under different kinds of companies and market situations, the effects of capital reduction on abnormal returns are different. In the bear market, the effects of RCAL of TSE are stronger than that of OTC. From the exchange options viewpoint, the correlation of values created by capital reductions and proportion of capital reduction are positive when the news of capital reduction is announced. For both capital reduction and RCAL, the correlations of stock real returns and market returns are negative, which is the same with anticipated results.