多次買回庫藏股之公司特性及其市場反應

Firm Characteristics of Multiple Share Repurchases and the Market Reactions

林有志(Yu-Chih Lin) ； 林靜雯(Ching-Wen Lin) ； 佘遠志(Yuan-Chih She)

《華人前瞻研究》 2卷1期 (2006/05) Pp. 1-24

https://doi.org/10.6428/JCTF.200605.0001

摘要

自庫藏股制度實施之後，公司紛紛自市場買回自家公司的股票。庫藏股制度是自願性的，公司唯有在買回的效益大於買田的成本時才會實施，過去文獻對買回庫藏肢的動機及市場反應有深入探討，但對於多次實施庫藏股之動機相關研究較少。本研究以395個宣告實施庫藏股之上市上櫃公司為樣本，以序列羅吉斯模型(Ordered Logistic Model)做多變量分析來檢視買回庫藏股頻率與公司特性之關連性並檢視多次購回庫藏股之市場反應。
研究結果顯示，購回庫藏股之頻率與公司規模、前期市場報酬率及實際購回比率呈顯著正相關；購回庫藏股之頻率與內部人持股比例、市價淨值比、宣告購回比率呈顯著負相關。實證結果大致支持政治成本假說、資訊不對稱假說、價值低估假說及操作策略假說。
在市場反應方面，實證結果與預期相符，在短期（日）及較長期（月）之累積平均異常報酬上，不同購回組別間確實存在差異，經常購回者之異常報酬最小，甚少購回者之異常報酬最大。

關鍵字

庫藏股 ； 購回頻率 ； 序列羅吉斯模型

並列摘要

Companies are allowed to repurchase stock recently and many companies announced to buy back their stock from open market. Because share repurchase is voluntary, companies will do it only when the benefit is greater than the relative cost. Prior studies have shed light on the motivations of share repurchases and its market reactions. However, multiple share repurchases are seldom addressed. This study uses ordered logistic regression to test the firm characteristics of multiple repurchases and examines the market reactions.
The results show that the frequency of repurchase announcements are positively related to size, prior return and percentage of shares outstanding actually repurchased and negatively related to insider holding, price to book value ratio and the percentage of shares sought at the time of announcement. These results are generally consistent with our political cost, information asymmetry, undervaluation and repurchase strategy.
For the stock market reactions, the results indicate that although on average all repurchases appear to be viewed favorably by the market, infrequent repurchases are greeted with a much stronger positive reaction.

並列關鍵字

Stock repurchases ； Repurchase frequency ； Ordered logistic model