美國金融控股公司公開市場宣告買回庫藏股之股價反應

自八零年代初期美國修法放寬公司買回庫藏股之規定起，公司買回庫藏股即日益普及，並持續到九零年代，其中又以公開市場買回為主，占公司所有庫藏股買回計畫金額之九成以上，然而先前庫藏股的研究大多排除金融與保險業，認為其買回動機可能因行業特性、特別之法令規定而有所不同。本文即以事件研究法，針對美國金融控股公司探討其宣告買回庫藏股之「事件」是否引起其股價之異常變動，並建立迴歸模型以分析股價異常變動與各買回動機之關聯性。實證結果如下：一、股票市場反映了宣告買回庫藏股所隱含的訊息內涵，金融控股公司股價有顯著的累積異常報酬。二、宣告買回前之股價越低、股票市值佔帳面值比率越低、公司系統風險越低、資本適足率越高、資產證券化活動越多、具有潛在被併購之可能，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；迴歸分析；累積異常報酬

並列摘要

This paper examines the short-run market reaction to the U.S. bank holding company share repurchase announcements by using a standard event study methodology and conducts further regression analysis to generalize the motives affecting short-run abnormal return from previous literatures. It is found that the announcement period returns are strongly and negatively related to the prior period returns, size, market-to-book ratio, and beta value, but are positively related to first tier capital ratio, the degree of securitization activities and the potential threat of a takeover. Taken together, though the empirical result supports many prior hypotheses, it strongly favors the undervaluation signaling effect. However, it does not seem to support the free cash flow hypothesis. Our sample includes repurchase announcements between 1995 and 2005.

並列關鍵字

Bank Holding Company ； Stock Repurchase ； Event Study ； Regression Analysis ； Cumulative Abnormal Returns

參考文獻

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

Denis, D., 1990. Defensive changes in corporate payout policy: share repurchases and special dividends, Journal of Finance, Vol. 45, pp. 1433-1456

Dittmar, Amy K., 2000. Why Do Firms Repurchase Stock? Journal of Business, Vol. 73, No. 3, pp. 331-355

Fenn, G., Liang, N., 2000. Corporate payout policy and managerial stock incentives.Journal of Financial Economic 60, 45-72.

Grullon, G., Ikenberry, R. 2000. What do we know about stock repurchases? Journal of Applied Corporate Finance, Vol. 13, pp. 31-51

國際替代計量

美國金融控股公司公開市場宣告買回庫藏股之股價反應

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