庫藏股宣告對股票持有者與債券持有者之財富互動變化

本文以庫藏股計劃宣告為研究對象，首次同時涵蓋債券、股票與公司價值三層面分析發現，庫藏股研究中的著名理論如信號發射與財富移轉兩種假說，並未適用於有債券資料樣本的臺灣庫藏股事件之中，其預期報酬方向完全相反。特別的發現是，幾乎國內外實證文獻均指出庫藏股計劃對公司是正面的好消息，然而一旦只觀察具有債券資料樣本時，卻出現了股票負向與債券正向的異常報酬，形成前所未有的庫藏股特殊現象。最後在特性變數分析方面，同樣出現有無債券資料樣本時結論為相反現象，顯示出分析公司任何財務決策效果時，納計債券報酬的重要性，否則可能作出有失偏頗的預期。

關鍵字

庫藏股；事件研究；公司債

並列摘要

In theory, we used to seen that the task of manager's financial decisions is to maximize firm value, and it is equal to maximize stock value. However, we assert this phrase under a restrictive set of conditions. This study analyzes abnormal bond, stock, and firm returns around repurchase announcements in Taiwan. We find the excess bond return is statistically significant, and forms the change of firm value is not the same as stock value. We also find evidence inconsistent with both signaling and wealth redistribution in the firm with stock and bond returns. Particularly, prior research has documented positive abnormal stock returns around the announcement of repurchase program. Once we just observe the firm with stock and bond returns, it appears a myth we never seen before with negative abnormal stock returns and positive abnormal bond returns. It shows the importance of bond return to assess financial decisions.