以樂透觀點檢視現金增資股票申購需求

Using the Lottery View to Analyze the Subscription Fads of SEOs

現金增資股票(SEOs)市場有三個引起廣泛討論的課題，包括折價發行、高度資訊不對稱，以及初期績效不佳等，而這些因素令其相當適合詮釋Kumar(2009)定義的樂透股。基於SEOs可能含有樂透特徵，而本研究主要目的即係以此觀點解釋投資人需求的差異，以及後續績效表現，期望能擬定具體交易策略。實證結果顯示，當SEOs具有高度樂透特徵時，有助於引起申購熱潮；即使控制總體經濟環境與公司個別基本條件，上述關係仍獲支持。值得注意的是，本研究另發現到一些證據，指向舊股東財富卻會因為公司發行樂透SEOs而呈現較明顯的衰退，說明此政策會形成剝削效果。

The seasoned equity offerings (SEOs) market demonstrates three significant characteristics: underpricing, high levels of information asymmetry, and low initial performance. Based on these characteristics, SEOs can be defined as lottery-type stocks described by Kumar (2009). Because SEOs can evince lottery-type characteristics, this paper investigates the relationship between SEOs similarity to the lottery and investor demand. The paper also measures SEOs performance after purchase to establish a trading strategy. Empirical results show that, along with the lottery-type characteristics, SEOs result in subscription fads. Statistical results remain significant even when a macroeconomic perspective and conditions for individual firms are introduced into the examining model. Finally, this paper analyzes evidence that the wealth of original shareholders is negatively affected when a firm issues lottery-type SEOs, in what is called an exploitation effect.