政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145922
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 114401/145431 (79%)
造访人次 : 53142366      在线人数 : 392
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/145922


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/145922


    题名: 不同減資事件前後的股價內涵資訊－ 股票報酬分解模型之應用
    Implications of Stock Price Information Surrounding Capital Reduction Events: An Application of Stock Return Decomposition Model
    作者: 黃天瑜
    Huang, Tien-Yu
    贡献者: 盧敬植
    Lu, Ching-Chih
    黃天瑜
    Huang, Tien-Yu
    关键词: 股票報酬分解模型
    庫藏股減資
    現金減資
    彌補虧損減資
    Stock return decomposition model
    Capital reduction by stock repurchases
    Cash refund capital reduction
    Capital reduction to write off accumulated losses
    日期: 2023
    上传时间: 2023-07-06 17:00:34 (UTC+8)
    摘要: 本研究透過Vuolteenaho(2002)的股票報酬分解模型，發現公司在實施不同減資事件前後各有不同的股價內涵資訊。首先，在公司實施減資前一年的股價內涵資訊中，庫藏股減資與彌補虧損減資均具有顯著為正的預期報酬訊息與顯著為負的現金流量訊息，現金減資則為顯著為正的現金流量訊息。再者，公司實施不同減資事件後的宣告效果對股價內涵資訊之影響，庫藏股減資可使公司現金流量訊息在短期一年間大幅提高，並且使公司的預期報酬訊息長期維持較低水平；現金減資則是在短期一年內使公司預期報酬訊息大幅下降，長期則使現金流量訊息平均數與變異數均大幅下降；彌補虧損減資在減資後三年間使公司的預期報酬訊息與現金流量訊息均呈現增加之趨勢。
    This study employs Vuolteenaho (2002) stock return decomposition model to examine the information content of stock prices before and after different capital reduction events. It found that prior to the capital reduction, both capital reduction by stock repurchases and capital reduction to write off accumulated losses had significant positive expected return news and significant negative cash-flow news in their stock price implications. Cash refund capital reduction had significant positive cash-flow news. Furthermore, the announcement effects of different capital reduction events had varying impacts on the information content of stock prices. Capital reduction by stock repurchases significantly increased the short-term cash-flow news within one year and maintained lower levels of expected return news in the long term. Cash refund capital reduction resulted in a significant decline in expected return news within one year, and a substantial decrease in both the average and variance of cash-flow news in the long term. Capital reduction to write off accumulated losses showed an increasing trend in both expected return and cash-flow news over the three years following the reduction.
    參考文獻: 中文文獻
    1. 王瑪如, & 蕭君宇. (2013). 彌補虧損減資、現金減資與庫藏股減資之市場宣告效果. 會計評論, 57 卷, 頁105-135.
    2. 林有志, & 陳筱平. (2011). 現金減資之宣告效果. 當代會計, 12 卷(1 期), 頁31-56.
    3. 邱繼毅. (2004). 我國上市櫃公司減資行為之資訊內涵實證研究. (未出版之碩士論文). 國立中正大學, 嘉義縣.
    4. 施念恕. (2009). 減資選擇之決定因素與經營績效. (未出版之博士論文). 國立成功大學, 台南市.
    5. 張竹萱, 盧德康, & 林修葳. (2011). 彌補虧損減資與企業長期發展：南亞科技之個案研究. 東吳經濟商學學報, 頁83-117.
    6. 曾建達. (2005). 實施庫藏股對股價長期績效之影響. (未出版之碩士論文).國立交通大學, 新竹市.
    7. 鄭桂蕙. (2005). 庫藏股買回對股利發放之影響. 會計評論, 41 卷, 頁77-101.
    8. 魏慧珊, 洪韻雅, & 張牧依. (2017). 彌補虧損減資與營運績效. 南臺學報社會科學類, 2 卷(1 期), 頁25-40.
    英文文獻
    1. Bartov, E. (1991). Open-market stock repurchases as signals for earnings and risk changes. Journal of Accounting and Economics, 14(3), 275-294.
    2. Benartzi, S., Michaely, R., & Thaler, R. (1997). Do changes in dividends signal the future or the past? The Journal of Finance, 52(3), 1007-1034.
    3. Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal investment, growth options, and security returns. The Journal of Finance, 54(5), 1553-1607.
    4. Campbell, J. Y. (1991). A variance decomposition for stock returns. The economic journal, 101(405), 157-179.
    5. Cho, H., & Choi, S. (2015). what drives credit rating changes? A return decomposition approach. Asia‐Pacific Journal of Financial Studies, 44(6), 899- 931.
    6. Dann, L. Y. (1981). Common stock repurchases: An analysis of returns to bondholders and stockholders. Journal of financial Economics, 9(2), 113-138.
    7. Dann, L. Y., Masulis, R. W., & Mayers, D. (1991). Repurchase tender offers and earnings information. Journal of Accounting and Economics, 14(3), 217-251.
    8. Dittmar, A. K. (2000). Why do firms repurchase stock. The journal of Business, 73(3), 331-355.
    9. Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. The American economic review, 74(4), 650-659.
    10. Eisdorfer, A. (2007). The importance of cash‐flow news for financially distressed firms. Financial Management, 36(3), 33-48.
    11. Grullon, G., Michaely, R., & Swaminathan, B. (2002). Are dividend changes a sign of firm maturity? The journal of Business, 75(3), 387-424.
    12. Grullon, G., & Michaely, R. (2004). The information content of share repurchase programs. The Journal of Finance, 59(2), 651-680.
    13. Grullon, G., Michaely, R., Benartzi, S., & Thaler, R. H. (2005). Dividend changes do not signal changes in future profitability. The journal of Business, 78(5), 1659-1682.
    14. Hertzel, M., & Jain, P. C. (1991). Earnings and risk changes around stock repurchase tender offers. Journal of Accounting and Economics, 14(3), 253-274.
    15. Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of financial Economics, 39(2-3), 181-208.
    16. Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The American economic review, 76(2), 323-329.
    17. Kahle, K. M. (2002). When a buyback isn’ta buyback: Open market repurchases and employee options. Journal of financial Economics, 63(2), 235-261.
    18. Lie, E. (2005). Operating performance following open market share repurchase announcements. Journal of Accounting and Economics, 39(3), 411-436.
    19. Michaely, R., Rossi, S., & Weber, M. (2021). Signaling safety. Journal of financial Economics, 139(2), 405-427.
    20. Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The journal of Business, 34(4), 411-433.
    21. Miller, M. H., & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031-1051.
    22. Nissim, D., & Ziv, A. (2001). Dividend changes and future profitability. The Journal of Finance, 56(6), 2111-2133.
    23. Shao, J., & Rao, J. (1993). Jackknife inference for heteroscedastic linear regression models. Canadian Journal of Statistics, 21(4), 377-395.
    24. Trigeorgis, L. (1996). Real options: Managerial flexibility and strategy in resource allocation: MIT press.
    25. Vermaelen, T. (1981). Common stock repurchases and market signalling: An empirical study. Journal of financial Economics, 9(2), 139-183.
    26. Vuolteenaho, T. (2002). What drives firm‐level stock returns? The Journal of Finance, 57(1), 233-264.
    27. Wansley, J. W., Lane, W. R., & Sarkar, S. (1989). Managements` view on share repurchase and tender offer premiums. Financial Management, 97-110.
    描述: 碩士
    國立政治大學
    財務管理學系
    110357017
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0110357017
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    701701.pdf690KbAdobe PDF237检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈