臺灣上市公司庫藏股票買回宣告效果與買回目的之研究

Study on the Stock Repurchase Announcements and the Repurchase Purposes of Listed Corporations in Taiwan

齊德彰(Der-Jang Chi) ； 吳書慧(Shu-Hui Wu) ； 蔡宗儒(Zong-Ru Tsai)

《文大商管學報》 12卷1期 (2007/06) Pp. 109-137

https://doi.org/10.30163/BR.200706.0005

摘要

在股票市場的操作上，上市公司常常以買回庫藏股票做為提昇公司股價的手段。許多學者的實證研究結果也顯示，買回庫藏股票會有提昇公司股價的效果。「證券交易法」第28條之2也列示了庫藏股票買回的三種目的：一、轉讓股份予員工；二、配合認股權及可轉換證券之發行股權轉換之買回；及三、維護公司信用及股東權益等。本研究針對臺灣股票市場上市公司宣告買回庫藏股票對股價的效應及股票買回目的進行探討，以事件研究法來探討股價變動的狀況，並以一般化自我回歸條件異質變異模式(GARCH model)進行市場模式迴歸係數的估計。樣本選取期間自89年8月9日至94年12月31日止，以不同年度之第一次宣告買回庫藏股票的公司為樣本，且其在庫藏股票買回宣告之前150天必須已是上市公司。本研究實證結果發現：(1)非電子業在庫藏股票買回宣告前後其累積平均異常報酬率(CAR)顯著大於電子業；(2)庫藏股票買回目的為維護股東權益與公司信用為申報目的之公司，其累積平均異常報酬率顯著大於以股權轉換為申報目的之公司；(3)在非電子業中，維護公司信用及股東權益的累積異常報酬反應大於轉讓股份予員工的累積平均異常報酬；(4)在電子業中，不同庫藏股票買回目的對股價反應並無顯著差異；(5)在庫藏股票買回為轉讓予員工之目的下，宣告前電子業之累積異常報酬較非電子業更被低估，在宣告後非電子業與電子業累積平均異常報酬率反應並無顯著差異；及(6)在庫藏股票買回為維護公司信用及股東權益之目的下，非電子業的累積平均異常報酬率（股價）反應較電子業為高。本研究之實證結果可提供給上市公司管理當局及相關學術研究參考。

關鍵字

庫藏股股票 ； 事件研究法 ； 一般化自我回歸條件異質變異模式GARCH model ； 市場模式 ； 累積平均異常報酬率Average CAR

並列摘要

Stock repurchase (Treasury Stock) is a stock market operation often employed by listed corporations as a means to upgrade corporate stock prices. Findings of the empirical studies of many authors revealed that stock repurchase could trigger an increase in the stock prices of a corporation. The Article 28-2 of Securities Exchange Act stipulates three purposes of stock repurchase: (1) to transfer stock ownership to employees; (2) to cooperate with the repurchase of issued stock of stock subscription and convertible bonds; (3) to maintain the company's credibility and stockholders' equity. This study delved into the impacts of the stock repurchase announcements of corporations listed in the Taiwan stock market on the stock prices of these corporations, as well as the purposes behind such stock repurchase moves. An analysis of the stock price fluctuation patterns through the Event Study method was conducted. Moreover, an estimation of the market model regression coefficient was conducted using the Generalized Autoregressive Conditional Heteroscedasticity Model (GARCH model). Sample selection period was from August 9, 2000 to December 31, 2005. Data gathered to serve as study samples were the first stock repurchase announcement of listed corporations announced in the different year periods. Another selection criterion required that corporations making the stock repurchase announcement should have become listed corporations at least 150 days before the date of the announcement.
The empirical analysis of this study revealed the following: (1) The Cumulative Average Abnormal Returns (average CAR) of non-electronic corporations exceeds that of electronic corporations by a significant margin during the period preceding and following the repurchase announcement. (2) The declared purposes of stock repurchase move were mainly to maintain the company's credibility and stockholders' equity. The CAR of the corporation exceeds that of corporations conducting repurchases for stock equity transfer purposes by a significant margin. (3) In the non-electronic industry, the CAR response to repurchase announcements aimed to maintain the company's credibility and stockholders' equity exceeded the CAR from stock transfers to employees. (4) In the electronic industry, no significant difference was noted in the stock price response to stock repurchase announcements regardless of the purposes behind such announcements. (5) Under the stock repurchases conducted to enable the transfer of stock ownership to employees, it was found that in comparison with the non-electronic industry, the CAR in the electronic industry before the announcement was understated. However, after the repurchase announcement was made, no significant difference was noted in the CAR response in both the non-electronic and electronic industries. (6) Under the stock repurchases conducted to maintain the company's credibility and stockholders' equity, in both the non-electronic and electronic industries, no significant difference was noted in the CAR response prior to the announcement; however, after the announcement, the CAR response of the non-electronic industry was far greater than the CAR response of the electronic industry.
The empirical findings of the study are aimed to provide government authorities governing listed corporations and other related academic studies with a future study reference.

並列關鍵字

Stock Repurchase ； Treasury Stock ； Event Study Method ； Generalized Autoregressive Conditional Heteroscedasticity Model GARCH model ； Market Model ； Cumulative Average Abnormal Returns Average CAR

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