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    题名: 庫藏股買回宣告效果再探討：以台灣上市櫃公司為例
    A further examination on the option to repurchase stock: Evidence from Taiwan
    作者: 張芥寧
    Chang, Chieh Ning
    贡献者: 徐燕山
    Hsu, Yenshan
    張芥寧
    Chang, Chieh Ning
    关键词: 庫藏股買回
    事件研究法
    Stock Repurchase
    Event Study
    日期: 2009
    上传时间: 2016-05-09 15:16:10 (UTC+8)
    摘要: This thesis adopts an option approach to examine the stock price reaction to the stock repurchase announcements for both Exchange-listed and Over-the-Counter-listed companies in Taiwan from August 2000 to June 2009. We modify Ikenberry and Vermaelen`s (1996) information-asymmetry-based exchange option hypothesis further into a call option hypothesis to accommodate the unique practice in the Taiwanese stock repurchase program. In addition, we conduct robustness tests by including the variables for both information signaling and free cash flow hypotheses which are supported by prior studies.

    First, we find positive abnormal returns around announcement day, which is similar to previous study. Second, our cross-sectional results support our call option hypothesis, which predicts that the positive abnormal return is positively related to risk-free interest rate, time to maturity and target buyback share fraction. And the abnormal return is negative to the size and market-to-book value of the announcing firm, which are consistent with the signaling hypothesis. However, we do not find any strong evidence for the free cash flow hypothesis.
    參考文獻: Adams, G. L., J. C. Brau, et al. (2007). "REIT Stock Repurchases: Completion Rates, Long-Run Returns, and the Straddle Hypothesis." Journal of Real Estate Research 29(2): 115-135.
    Angel, J. J., G. L. Gastineau, et al. (1997). "Using Exchange-Traded Flex Put Options in Corporate Stock Repurchase Programs." Journal of Applied Corporate Finance 10(1): 109-113.
    Black, F. and M. Scholes (1973). "The Pricing of Options and Corporate Liabilities." The Journal of Political Economy 81(3): 637-654.
    Chen, S.-Y. (2006). The Study of Option to Stock Repurchases and Corporation Valuation. Department of Finance and Institute of Finance and Information, National Kaoshiung University of Applied Sciences. Master: 93.
    Comment, R. and G. A. Jarrell (1991). "The Relative Signaling Power of Dutch-Auction and Fixed-Price Self-Tender Offers and Open-Market Share Repurchases." The Journal of Finance 46(4): 1243-1271.
    Dann, L. Y. (1981). "Common stock repurchases: An analysis of returns to bondholders and stock holders." Journal of Financial Economics 9(2): 113-138.
    Dittmar, A. K. (2000). "Why Do Firms Repurchase Stock?" The Journal of Business 73(3): 331-355.
    Fenn, G. W. and N. Liang (1997). "Good News and Bad News About Share Repurchases." Financial and Economics Discussion Series, Board of Governors of the Federal Reserve System.
    Grullon, G. and R. Michaely (2004). "The Information Content of Share Repurchase Programs." The Journal of Finance LIX(2): 651-680.
    Ikenberry, D., J. Lakonishok, et al. (1995). "Market Underreaction to Open Market Share Repurchases." Journal of Financial Economics 39: 181-208.
    Ikenberry, D. L. and T. Vermaelen (1996). "The Option to Repurchase Stock." Financial Management 25(4): 9-24.
    Jensen, M. C. (1986). "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers " The American Economic Review 76(2): 323-329.
    Lie, E. (2000). "An Empirical Study of Incremental Cash Disbursements." The Review of Financial Studies 13(1): 219-247.
    Margrabe, W. (1978). "The Value of an Option to Exchange One Asset for Another." Journal of Finance XXXIII(1): 177-186.
    Vermaelen, T. (1981). "Common stock repurchases and market signaling: An empirical study." Journal of Financial Economics 9(2): 139-183.
    Wu, M.-C. and N.-Y. Wang (2006). "The Study of Stock Repurchase Announcement Effects: An Exchange Option Approach." Taiwan Banking and Finance Quarterly 7(3): 35-51.
    描述: 碩士
    國立政治大學
    財務管理研究所
    96357005
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096357005
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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