- 學位論文
允許公司交叉持股下實施庫藏股對股價影響之研究
The Impact of Open Market Repurchase on Stock Prices During The Period Subsidiary’s Trading of Parent Stocks Was Permitted
摘要
基於美國與台灣對上市公司流通在外股份之規定迥異，本文考量子公司購回母公司股份（STPS）之效應，特將公開市場買回（OMR）庫藏股之上市公司，細分為不同階段下（第一階段：Aug. 2000 – Nov. 2001；第二階段：Dec. 2001 – Sept. 2003）之不同群組，如OMR I, OMR+STPS, OMR II, 及純STPS等，以便於各式假說之比較與驗證。實證結果顯示：1). 無論有無實施STPS，所有OMR群組在宣告OMR後，皆可為公司帶來正的異常報酬（AR）. 2). 在STPS遭禁止之前(Nov. 12, 2001)，OMR+STPS組之AR大於OMR I組。 3). 第二階段中OMR II組之AR小於第一階段中之OMR I 及OMR+STPS 兩組的ARs. 4). 第一階段中之OMR I 及OMR+STPS 實施OMR之動機與股價低估假說相符，但OMR II則不然，顯示兩階段之間唯一差別之STPS，使兩階段之群組有本質上的差異。 5). OMR群組中僅OMR+STPS發現其前期權益報酬(ROE)，與累積異常報酬（CAR）在迴歸分析中呈現負相關，而在OMR I及OMR II中，則呈現預期之正相關，說明了STPS對OMR之股價反應的深切影響。 6). 在第一階段STPS群組中，在宣告後未見正的CAR之趨勢，與護盤假說相符。
並列摘要
Subject to the different governing laws and regulations of firms’ outstanding stocks between U.S.A and Taiwan, this study addresses several themes by considering particularly the role and effect of Subsidiaries’ Trading of Parents’ Stocks (STPS). Subgroups of OMR firms as of OMR I, OMR+STPS, OMR II, and pure STPS group in different phases (phase I: Aug. 2000 – Nov. 2001; phase II: Dec. 2001 – Sept. 2003) are formed to compare and examine various hypotheses in this study. Empirical results show that 1). with or without STPS, all OMRs can bring positive abnormal return (AR) after announcements of the firms. 2). the AR of OMR+STPS is larger than that of OMR I in phase I before STPS was prohibited (Nov. 12, 2001). 3). the AR of OMR II in phase II is found to be smaller than those of OMR I and OMR+STPS in phase I. 4). the motive of OMR groups in phase I in this study is found to be consistent with hypothesis of undervaluation, but OMR II is not found so, which illustrates that there indeed exists some inherent discrepancies between OMRs in phase I and phase II given the only difference is STPS in between. 5). the ROE (return on equity) in previous quarter prior to OMR announcements is found negatively correlated with CAR (cumulative abnormal return) in regression only for OMR+STPS, while the ROEs of other OMR I and OMR II without STPS are found positively correlated with CARs, which again illustrates the deep influence of STPS to the stock prices in terms of OMRs. 6). positive CAR trend of pure STPS group in phase I after purchase announcements is not found, which is consistent with the hypothesis of stock price maintenance.