庫藏股收回對台股報酬率影響之研究

An Empirical Study of the Relationship between Stock Repurchase and Stock Returns in Taiwan

黃婷鈺(Ting-Yu Huang)

指導教授 ： 黃志典

國立臺灣大學/管理學院/國際企業學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.10545

摘要

本研究探討異常報酬率與以下六個變數的關係: 帳面市值比, 宣告買回比率, 買回目的, 現金買回比率, 買回金額上限, 與執行率。 此樣本採自從2001年一月至2008年十二月, 並分為以下四組資料來探討庫藏股買回對不同類股報酬率的影響: 上市公司, 上市公司的金融類股, 上市公司的食品類股, 上市公司的營建類股 研究結果如下:
1. 對上市公司來說, 庫藏股買回期間, 帳面市價比, 買回目的, 現金買回比例與異常報酬呈正向相關。
2. 對上市公司金融股來說, 庫藏股買回期間, 帳面市值比與異常報酬呈正向相關。
3. 對上市公司食品股來說, 庫藏股買回期間, 最大買回金額上限與異常報酬呈正向相關。
4. 對上市公司營建股來說, 庫藏股買回期間, 執行比率與異常報酬呈正向相關。

關鍵字

庫藏股 ； 宣告買回 ； 現金買回 ； 買回目的 ； 最大買回 ； 淨值市價比 ； 買回金額

並列摘要

This study investigates the relationship between abnormal return and book to market ratio, the announced repurchase ratio, repurchase purpose, cash to stock repurchase value ratio, maximum monetary amount of stock repurchase and execution ratio. The sample, from January 2001 to December 2008, is divided into four groups, treasury stocks of listed companies, the financial-sector treasury stocks of listed companies, the food-sector treasury stocks of listed companies, and the construction-sector treasury stocks of listed companies to analyze different effects among companies in different sectors. Findings of this study are as follows:
1. For treasury stocks of all listed companies, the “book-to-market ratio,” “repurchase purchase,” and “cash to stock repurchase value ratio” are positively related to the abnormal return during the stock repurchase period.
2. For financial-sector treasury stocks, the “book-to-market ratio” is significantly and positively related to abnormal return during the stock repurchase period.
3. For food-sector treasury stocks, the “maximum montary amount of stock repurchase” is positively and significantly related to abnormal return during the stock repurchase period.
4. For construction-sector treasury stocks, the “execution ratio” is significantly and positively related to abnormal return during the stock repurchase period.

並列關鍵字

stock repurchase ； announced repurchase ratio ； cash to stock repurchase value ratio ； repurchase purpose ； book to market ratio ； maximum monetary amount

參考文獻

1. Cheng, Kuei-Hui, 2000, The Information Content of Stock Repurchase: Investor's Perspective, Unpublished Master Thesis, Graduate Institute of Accounting. (National Cheng-Chi University).

13. Lie, E., 2005, Operating Performance Following Open Market Share Repurchase Announcements, Journal of Accounting and Economics, 411-436.

2. Chiu, Chien-Lin, 2000, Stock Repurchases and Information Signaling: An Empirical Study in Taiwan Market, Unpublished Master Thesis, Graduate Institute of Business Adminstration. (Chung Gung University).

1. Black, F. and M. Scholes, 1974, The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns, Journal of Financial Economics, 1-22.

2. Clifford P.S. and M.S.Weisgach, 1998, Actual Share Reacquistions in Open Market Repurchase Programs, The Journal of Finance, 313.