美國金融控股公司公開市場宣告買回庫藏股股價反應之再探討

A Reexamination of Market Reaction to U.S. Bank Holding Company Share Repurchase Announcements

李美瑩(Mei-Ying Lee)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.02365

摘要

自八零年代美國修法放寬公司買回庫藏股之限制起，庫藏股之買回漸漸成為公司分配閒置現金流量與股東的主要方法之一。許多文獻研究庫藏股買回的動機並提出許多假說，如：向市場傳達公司股價低估的訊息、分配現金流量研究庫藏股、避免惡意併購、調整公司資本結構等。因為銀行業的特性與政府管制因素，過去庫藏股的相關研究多排除銀行業於樣本外。因此，本研究即以事件研究法，針對美國金融控股公司探討其宣告買回庫藏股是否引起股價之異常變動，並建立迴歸模型分析股價異常變動與各買回動機之關聯性。
本篇論文使用西元1994到2006年之380家美國銀行買回庫藏股之相關資料為研究樣本。實證結果證實，當宣告買回前之股價越低、股價市值佔帳面值比率越低、公司規模越小、資本適足率越高，則宣告買回庫藏股時，累積異常報酬越大。

關鍵字

金融控股公司 ； 庫藏股 ； 事件研究法 ； 累積異常報酬 ； 資本適足率 ； 自由現金流量 ； 併購

並列摘要

This paper examines the short-run market reaction to the U.S. bank holding company share repurchase announcements by using the event study methodology and conducts further regression analysis. In previous literatures, there are several motives which may affect the repurchase announcement: to substitute dividends; to signal the undervaluation of the bank’s stock; to deter the takeover threat; to adjust capital structures and to payout excess free cash flows. This study further analyzes three new hypotheses: the business cycle, the accounting loan default variables and loan composition. From the empirical result, we find that the announcement period returns are negatively related to the prior period returns, size and market-to-book ratio, but are positively related to first tier and total capital ratios. Taken together, the empirical result support many of our hypotheses and it highly supports the undervaluation signaling effect. However, it does not support the free cash flow hypothesis and takeover deterrence hypothesis. Our sample includes repurchase announcements between 1994 and 2006.

並列關鍵字

Bank holding company ； Stock repurchase ； Event study ； Cumulative abnormal returns ； Capital adequacy ratio ； Free cash flow ； Takeover

參考文獻

1.Bagwell, L.S., 1991. Share repurchases and takeover deterrence. Journal of Economics, Vol.22, pp. 72-88.

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