Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/35033
|
| Title: | 上市上櫃公司股票買回宣告對股價影響之比較研究 |
| Authors: | 費騏葳
Fei ,Chi-wei |
| Contributors: | 陳隆麒
郭敏華
費騏葳
Fei ,Chi-wei |
| Keywords: | 股票買回
庫藏股
自由現金流量假說
個人所得稅節稅假說
資訊信號假說
管理者誘因假說
財務槓桿假說
Stock Repurchase
Treasury Stock
Free Cash Flow Hypothesis
Personal Tax Savings Hypothesis
Information Signaling Hypothesis
Management Incentive Hypothesis
Leverage Hypothesis |
| Date: | 2004 |
| Issue Date: | 2009-09-18 13:37:14 (UTC+8) |
| Abstract: | 庫藏股制度於國外已經行之有年，特別是美國，早在1960年代即有庫藏股交易。我國上市上櫃股票可合法買回自己公司股票制度始於2000年所通過的上市上櫃公司買回本公司股份辦法，除了希望藉以提振東南亞金融危機中不振的股市表現，也賦予企業多一種能向投資人傳遞訊息的管道。本研究基於股票買回的各項假說，希望探究公司股票買回宣告的動機還有事件宣告後對於公司股價的影響效果，最後並檢視公司的宣告決策是否會受到前次購回宣告的表現所影響。
在假說驗證方面，以2000至2004年上市公司832家、上櫃公司236家曾經宣告買回自家股票的公司為研究樣本，輔以選出與買回樣本同時間的相同數量「未買回樣本」，透過1-way ANOVA測試與鑑別分析探討影響公司宣告股票買回的因素符合哪些假說的推論結果。此外，依據各項假說，進ㄧ步利用1-way ANOVA測試和複迴歸分析找出與公司事件宣告後股價異常報酬率之間的關係，接著以1-way ANOVA檢視最後一部份研究主題。經由上述的實證分析，本研究獲得以下主要結論：
1.公司買回自家的股票平均而言對於股價有正面的影響效果。
2.以上市公司而言，影響公司宣告股票買回的假說包括了：自由現金流量假說、個人所得稅節稅假說與財務槓桿假說。以上櫃公司而言則包括：自由現金流量假說、個人所得稅節稅假說與資訊信號假說。
3.以上市公司而言，股票買回宣告後，股價的正向異常報酬與：自由現金流量假說、管理者的誘因假說呈現相關關係。上櫃公司則包括：自由現金流量假說。
4.本次是否再度宣告股票買回會受前次買回的正向累積異常報酬率所影響。
Stock price reactions on stock repurchase announcements among publicly traded corporations have been widely studied over 40 years in United States. Several hypothesizes were established and provide logical reasons for why corporations buy back their own stocks. References show large proportion of positive effect on post-announcement stock price after stock repurchase announcements from empirical researches. It is since 2000 that corporations are allowed to repurchase their own stocks legally in Taiwan. Although many efforts were put in surveying the post-announcement stock price reactions, few focused on examining how corporations’ repurchase decision would be influenced by different hypothesizes. Moreover, whether or not previous repurchase outcome may affect future repurchase judgments met contradict conclusion from recent studies. This research aims on exploring the two main topics which form 7 hypothesize.
Data collecting from Taiwan Economic Journal (TEJ) database, Commercial Times and Economic Daily News contains publicly traded corporations had ever made stock repurchase announcement except financial and government institutions. The period of the study was from Aug. 6, 2000 to Jul. 31, 2004 and total number of announced corporations included was 832 listed on the Taiwan Security Exchange with 236 listed on the OTC separately. Hypothesis 1 to 6 were tested both from individual model using 1-way ANOVA Analysis and integrated model using Discriminate Analysis on Hypothesis 1 to 5, Event Study Analysis on Hypothesis 6. Hypothesis 7 was also verified with 1-way ANOVA Analysis.
The empirical results show supports in several hypothesize which reflect corporations did concern free cash flow amount, leverage level, stock underpriced and dividend payout level issues when making repurchase announcement. The stock price after announcement has certain degree of moving correlation toward the same direction as free cash flow level and managerial stockholding level. Finally, previous repurchase outcome was found holding opposite relation with future repurchase judgments. |
| Reference: | 中文部份
1.毛治文，內部關係人持股比例及其變動與上市公司購回庫藏股之關連性研究，中國文化大學會計研究所未出版碩士論文，1998年6月。
2.王智慧，台灣公司買回自己股票的財富效果及其決定因素之實證研究，國立高雄第一科技大學金融營運研究所碩士論文，2002年6月。
3.李宗祥，上市公司買回本公司股份之研究，國立臺灣大學財務金融學研究所碩士論文，2000年6月。
4.吳俊欽，庫藏股實施的宣告對股票報酬的影響–以臺灣股票市場為例，逢甲大學經濟學系碩士班碩士論文，2003年6月。
5.吳綉華，公司宣告實施庫藏股效應之再檢視，朝陽科技大學財務金融系碩士論文，2003年6月。
6.沈中華、李建然，事件研究法－財務與會計實證研究必備，台北：華泰文化事業公司，2000年。
7.林玉成，上市公司庫藏股宣告資訊內涵及及操作策略之分析，國立高雄第一科技大學財務管理研究所碩士論文，2000年6月。
8.林秀蓉，我國上市公司購回庫藏股宣告效果之實證研究，國立臺北大學企業管理學系碩士論文，2000年6月。
9.林淑芸，上市上櫃公司買回庫藏股之經濟效果與經營風險之研究，國立政治大學行政管理碩士學程碩士論文，2001年6月。
10.林懋民，多次實施庫藏股買回宣告效果之研究，銘傳大學管理科學研究所碩士論文，2001年6月。
11.林樹源，我國上市上櫃公司實施庫藏股之策略研究，淡江大學商管學院高階主管管理碩士學程碩士論文，2001年6月。
12.林輝棖，管理當局傳遞訊息管道之選擇-庫藏股宣告與財務預測更新，中原大學會計學系碩士論文，2004年6月。
13.周文賢，多變量統計分析—SAS/STAT之應用，台北：智勝文化，2002年。
14.高寶勝，股票購回動機與訊號假說之驗證，國立中山大學財務管理研究所碩士論文，2002年6月。
15.張莉莉，我國上市上櫃公司買回庫藏股意願及次數決定因素之研究，國立台北大學會計學系碩士論文，2000年6月。
16.陳世新，我國上市公司購回庫藏股資訊內涵之實證研究，國立政治大學財務管理學系碩士論文，2001年6月。
17.陳隆麒，當代財務管理，台北：華泰文化事業公司，1999年。
18.莊博勝，以內部人交易資訊與營運績效探討庫藏股購回之長期報酬，國立高雄 第一科技大學財務管理系碩士論文，2003年6月
19.游朝旭，庫藏股制度實施初期對於股價影響之探討，國立中山大學財務管理學研究所碩士論文，2000年6月。
20.游貞旋，庫藏股宣告對同業股價影響之實證研究，國立成功大學國際企業研究所碩士論文，2001年6月。
21.游祥泰，股票購回資料內涵之研究：以台灣股票市場為例，逢甲大學企業管理研究所碩士論文，2002年6月。
22.楊文振，股票買回對股價行為之影響：考量宣告效果與執行效果下的實證結果，朝陽科技大學財務金融系碩士論文，2001年6月。
23.潘玉娟，台灣企業庫藏股購回動機與溢價決定因素綜合評析，國立中山大學財務管理研究所碩士論文，2000年6月。
24.劉振榮，資訊變數對庫藏股宣告效果影響之研究，私立東海大學管理碩士在職專班碩士論文，2002年6月。
英文部分
1.Bagnoli M., R. Gordon, and BL. Lipman, “Stock Repurchase as a Takeover Defense,” The Review of Financial Studies,Vol.2,No.3 (1989): 423-443.
2.Bagwell, Laurie S., “Share Repurchase and Takeover Deterrence,” The RAND Journal of Economics, Vol.22, No.1, (Spring 1991): 72-88.
3.Baker, H. Kent, Gary E. Powell, and E. Theodore Veit, “Why Companies Use Open-market Repurchases-A Managerial Perspective,” The Quarterly Review of Economics and Finance 43, (2003): 483-504.
4.Bhagat, S and R. Jefferis, Jr., “The Causes and Consequences of Takeover Defense-Evidence from Greenmail” Journal of Corporate Finance 1, (1994): 201-231.
5.Brigham, Eugene F. and Danald H. Woods, “Stockholder Distribution-Share Repurchase or Dividends,” Journal of Financial and Quantitative Analysis, Vol.1, No.1, (Mar., 1966): 15-26.
6.Dann, L., “Common Stock Repurchases: An Analysis of Returns to Bondholders and Stockholders,” Journal of Financial Economics, 9, No.2, (1981): 113-29.
7.Denis, David J., “Defensive Changes in Corporate Payout Policy: Share Repurchases and Special Dividends,” Journal of Finance, 45 (Dec., 1990): 1433- 1456.
8.De Jonga, Abe, Ronald Van Dijkb, and Chris Veld, “The Dividend and Share Repurchase Policies of Canadian Firms：Empirical Evidence Based on an Alternative Research Design,” International Review of Financial Analysis 12, (2003): 349-377.
9.Dittmar, Amy K., “Why Do Firms Repurchase Stock,” Journal of Business, Vol.73, No.3, (Jul., 2000): 331-355.
10.D’Mello, R., and P.K. Shroff, “Equity Undervaluation and Decisions Related to Repurchase Tender Offers： An Empirical Investigation,” Journal of Finance, Vol.55, No.5, (Oct., 2000): 2399-2424.
11.Elton, E.J., and M.J. Gruber, “The Effect of Share Repurchase on the Value of the Firm,” Journal of Finance, Vol.23, No.1, (Mar., 1968): 135-149.
12.Fenn, G.W., and N. Liang, “Good News and Bad News about Share Repurchases,” Finance and Economics Discussion Series, (1997).
13.Fenn, G.W., and N. Liang, “Corporate Payout Policy and Managerial Stock Incentives,” Journal of Financial Economics 60, (2001):45-72.
14.Green, Richard C. & Hollifield, Burton, “The Personal-tax Advantages of Equity,” Journal of Financial Economics 67, (2003):175–216.
15.Grullon, G. and D. Ikenberry, “What Do We Know About Stock. Repurchases?,” Journal of Applied Corporate Finance, (Spring, 2000):31-51.
16.Grullon, G. and R. Michaely, “Dividends, Share Repurchases, and the Substitution Hypothesis,” Journal of Finance, Vol.LVII, No.4, (Aug., 2002): 1649-1684.
17.Grullon, G., and R. Michaely, “The Information Content of Share Repurchase Programs,” Journal of Finance, Vol.LIX, No.2, (Apr., 2004): 651-680.
18.Hovakinian, A., Opler, T. and Titman, S., “The Debt-Equity Choice,” Journal of Financial and Quantitative Analysis, Vol.36, No.1, (Mar., 2001): 1-24.
19.Hertzel, M., and J. Prem, “The Effects of Stock Repurchases on Rival Firms,” Journal of Accounting & Economics, 14, No. 3, (1991): 253-75.
20.Ikenberry, David, J. Lakonishok, and T. Vermaelen, “Market Underreaction to Open Market Share Repurchases,” Journal of Financial Economics 39 (1995): 181-208.
21.Jagannathan, M. and C. Stephens, “Motives for Multiple Open-market Repurchase Programs,” Financial Management 32, (2003): 71-91.
22.Jensen, M.C., “Agency Costs of Free Cash Flow, Corporate Finance, and Takeover,” The American Economic Review, Vol.76, No.2, (May, 1986): 323-329.
23.Lie, Erik and Heidi J. Lie, “The Role of Personal Taxes in Corporate Decisions：An Empirical Analysis of Share Repurchases and Dividends,” Journal of Financial and Quantitative Analysis, Vol.34, No.4, (Dec., 1999): 533-552.
24.Masulis, Ronald, W., “Stock Repurchase by Tender Offer：An Analysis of the Causes of Common Stock Price Changes,” Journal of Finance, Vol.35, No.2, (May, 1980): 305-319.
25.Maxwell, William F. and Clifford S. Stephens, “The Wealth Effects of Repurchases on Bondholders,” Journal of Finance, Vol.LVIII, No.2, (Apr., 2003): 1649-1684.
26.Mikkelson, W., “Convertible calls and security returns,” Journal of Financial Economics 9, (1981):237-264.
27.Ofer A. and Thakor A., “A Theory of Stock Price Responses to Alternative Corporate Cash Disbursement Methods：Stock Repurchases and Dividends,” Journal of Finance, Vol.42, No.2, (Jun., 1987): 365-394.
28.Otchere, Isaac, and Matthew Ross, “Do Share Buy Back Announcements Convey Firm-specific or Industry-wide Information-A Test of the Undervaluation Hypothesis,” International Review of Financial Analysis 11, (2002): 511-531.
29.Perfect, Steven B., David R. Peterson, and Pamela P. Peterson, “Self Tender Offers-The Effects of Free Cash Flow, Cash Flow Signalling, and The Measurement of Tobin`s q,” Journal of Banking and Finance 19 (1995): 1005 -1023.
30.Richardson S., “Stock Repurchases： A Test of the Free Cash Flow Hypothesis,” Unpublished Paper, University of Pennsylvania Wharton School (Aug., 2002).
31.Sarkar, K. Salil, and SingRu Hoe, “Long Term versus Short Term Stock Repurchase Announcements,” The University of Texas at Arlington Finance and Real Estate Department, Working Paper, (Oct., 2003).
32.Stephens, C., and M. Weisbach, “Actual Share Reacquisitions in Open- Market Repurchase Programs,” Journal of Finance, Vol.LIII, No.1, (1998): 313-333.
33.Stewart, Samuel, Jr., “Should a Corporation Repurchase Its Own Stock,” Journal of Finance, Vol.31, No.3, (Jun., 1976): 911-921.
34.Vafeas, Nikos, and O. Maurice Joy, “Open Market Share Repurchases and the Free Cash Flow Hypothesis,” Economics Letters 48 (1995): 405-410.
35.Vermaelen, T., “Common Stock Repurchases and Market Signalling: An Empirical Study.” Journal of Financial Economics, 9, No.2, (1981): 139-183.
36.Vermaelen, T., “Repurchase Tender Offers, Signaling, and Managerial Incentives,” The Journal of Financial and Quantitative Analysis, Vol.19, No.2, (Jun., 1984): 163-181. |
| Description: | 碩士
國立政治大學
企業管理研究所
91355003
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0913550031 |
| Data Type: | thesis |
| Appears in Collections: | [企業管理學系] 學位論文
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
