تأثیر انتشار حق تقدم بربازده سهامداران در بورس تهران
محورهای موضوعی : آینده پژوهی
علی جهانخانی
1
(ندارد)
ابراهیم عباسی
2
(ندارد)
کلید واژه: حق تقدم, بازده غیرعادی, افزایش سرمایه, عدم تقارن اطلاعاتی, ارزش تئوریک,
چکیده مقاله :
در این مقاله واکنش قیمت سهام نسبت به خبر افزایش سرمایه از طریق حق تقدم بررسی شده است. در این بررسی، بازده های غیر عادی پیرامون هفته های مجمع و بعد از اعلام خبر 206 مورد حق تقدم، محاسبه و شناسایی می شوند. نمودارهای توصیفی از بازده های غیرعادی متوسط و تجمعی نشان دادند که واکنش بازار قبل از اعلام خبر، تفاوت معنی داری با صفر ندارد. این بدان معنی است که قبل از اعلام خبر، اطلاعات خاصی به بازار درز نکرده است. بازار، توان پیش بینی قیمت ها را ندارد. واکنش های تأخیری وبیش از حد بازار در هفته های پیرامون مجمع حاکی از این است که سرمایه گذاران به افشای خبر حق تقدم توسط شرکت اعتماد ندارند و عدم تقارن اطلاعاتی، کماکان بعد از اعلام خبر وجود دارد. بازده های غیر عادی تجمعی از 15 هفته قبل تا 12 هفته بعد از مجمع، حاکی از 17 درصد افزایش ثروت سهامداران است. با تشکیل سه پرتفوی از درصدهای حق تقدم رابطه بین افزایش سرمایه و درصد بازده های غیر عادی تجمعی در هفته 12 بعد از مجمع بررسی شد. نتیجه نشان داد که اگر چه رابطه ای قوی بین این متغیرها وجود ندارد، اما بیشترین بازده های غیر عادی تجمعی، مربوط به شرکت هایی است که بیش از 100 درصد افزایش سرمایه داده اند و به علاوه مقایسه میانگین قیمت بازار حق تقدم و میانگین ارزش تئوریک حق تقدم نشان داد که طی دوره مورد مطالعه (76-1370)، گواهینامه حق تقدم، کمتر از ارزش تئوریک آن مورد مطالعه قرار گرفته است. یکی از مهم ترین دلایل قیمت گذاری ارزان گواهینامه های حق تقدم، تقبل ریسک نقدینگی است. این موضوع، بازده اضافی حدود 7 درصد را برای خریداران حق تقدم به ارمغان آورده است.
A current for financing and capital raising among listed in Tehran Stock Exchange has been common stock right issue. About 80 percent of capital raising in stock exchange has been practiced through the method of stock right issue during 1991-1997. The purpose of this dissertation was to survey the stock price reaction to the announcement of capital raising through the stock right issue. So, three hypothesis have been studied: The first hypothesis was “ the stockholders of the firms that issued stock right, faced with positive abnormal returns during the weeks of the extra ordinary general assembly around and after the announcement data”. According to the semi-strong form of market efficiency as soon as new information enters the market, stock prices are rapidly and completely adjusted as much as the information content. So, gaining abnormal returns by the use of public information at the time of announcement and after that is impossible. The researcher calculated 206 stock rights abnormal returns for a seven-year period for the term of 15 weeks before and 12 weeks after the dates of the extraordinary general assemblies. The abnormal returns were gained by the differentiation of the expected returns (general market conditions) and real returns in every 27 weeks around any of the extraordinary general assembly’s date. Descriptive charts of an average and cumulative abnormal returns have shown that market reaction before announcement date had no significant difference from zero level. It means that before the announcement date no private information about future events entered into the market. The market was not able to anticipate the prices. So there will be the extensive information asymmetry prevented the rapid reaction of the market. Delayed reactions and overreactions in a week after extraordinary general assembly indictated that market was slow in receiving information. Investors didn’t trust management to release news. The existence of large variance in the abnormal returns after announcement and extraordinary general assemblies dates indicated that information asymmetry had not decreased. However, the continuance of the abnormal returns in the levels 0.024, 0.044 and 0.313 for the weeks -1 , 0 and +1 respectively indicated that market was not efficient. Cumulative abnormal returns in dictated that those who bought and kept shares 15 weeks before and 12 weeks after the general assembly gained about 17 percent of the cumulative abnormal returns. This rate belongs to a period of six and half months, which is about 31 percent for a year. The second hypothesis suggest that the higher the stock right percentage (issue size) has increased, the more the cumulative abnormal returns have increased. The theoretical basis of this claim is the price pressure hypothesis. According to this hypothesis, when a firm offers stock, it is necessary to drop prices in order to increase demand. Transaction cost hypothesis also suggested that as issue size increased, flotation and selling costs increased and share price decreased; as a result, abnormal returns decreased. All of the 206 stock rights were classified in three portfolios in terms of stock right percentage. 1-50 , 51-100 and higher than 100 respectively. The average of cumulative abnormal returns in the week +12 for each portfolio were respectively 0.139 , 0.053 and 0.408, which showed that there was not strong relationship between these two variables. But the greatest cumulative abnormal returns were related to the portfolio that stock right was issued more than 100 percent in it. The least cumulative abnormal return was related to the firms that had capital raising from 50 to 100 percent. The third hypothesis said that the market price of the stock right certificate is less than its theoretical value. In efficient market buying stock right didn’t increase the stockholders wealth by itself, and in comparison with stock buying didn’t present extra returns since prices determined equally to theoretical value. To test this hypothesis, 2124 stock right and the firm’s stocks which were dealt in the same day were observed. The theoretical value of stock right was the difference if the subscription price (Thousand rials) from the stock day’s price. The results showed that the average of the stock right market price was 6124 rials and the average of the stock right theoretical value was 6557 rials. The most important reason of the underpriced stock right was the acceptance of its liquidity risk. The 7 percent extra returns for the expected period of 4 months indicated that buyers of the stock right certification attained an extra returns of 21 percent for a year. In addition to liquidity risk, other dificiencies of the market like the impossibility of reselling stock right and unregistrated risk of capital raising were problems that caused the stock right price not to be able to adjust at the level of intrinsic value.