- 學位論文
台灣財務受限公司股票回購後長期績效探討
Long-term stock price performance of financial constrained firms after share repurchases
摘要
國內、外學者大多對認為公司宣告股票回購是在向投資人傳遞利多消息。股票回購除了隱含回購公司價值被低估的資訊，也傳遞出對公司未來營運前景樂觀之預期，同時也可降低代理成本、調整資本結構或緩和每股盈餘之稀釋。作為重要的股利分配政策和資本營運手段，股票回購有利於形成公司和投資者雙贏的格局。然而，當參與股票回購的公司面臨財務受限時，就必須考慮此舉是否能夠達到股價提升的預期效果。有鑑於此，本研究在探討公司股份回購後長期績效時，考量進財務受限因子。 本文以財務受限為切入點，首先以WW指數將全樣本區分為受限組及非受限組，再使用Fama & French三因子模型進行迴歸分析，發現市場風險溢酬(Rm-Rf)、規模風險溢酬(SMB)和淨值市價比風險溢酬(HML)，對兩組別皆有顯著解釋能力。此外，此迴歸式的截距項顯著，代表有其他因子可以解釋股票報酬，於是透過縱橫資料迴歸模型分析，將Fama & French三因子模型加入財務受限因子並套用於全樣本個股資料中，驗證出財務受限確實對股價報酬有顯著影響。最後，使用累積平均異常報酬法(CAR)及買進持有異常報酬法(BHAR)計算受限組與非受限組公司一年、兩年及三年期之長期累積異常報酬，結果顯示，台灣上市上櫃製造業公司在股票回購後有顯著正向報酬，且此積極效應維持了至少三年。其中，非財務受限之公司長期績效表現顯著優於財務受限者。
並列摘要
Lots of researchers supported that the announcement of share repurchases was good news for investors. Share repurchases might be a sign that the value of repurchasing firms was underestimated or a signal of optimistic expectation for the future. Also, share repurchases could solve agency problem, improve capital structure and avoid earnings be diluted. Share repurchase is a vital mean of capital operation and dividend policy. However, the leverage effect and the degree of financial constraint should not be ignored when we exam the long-term stock price performance after share repurchases. This paper used WW index to separate whole sample into constrained and unconstrained two groups. Then, Fama & French three-factor model was applied and it told that these factors were significantly strong in explaining stock returns. Next, the financial constrained factor was put into panel data regression and was proven to be significant in explaining stock return. Finally, this paper used cumulative average return (CAR) and buy-and-hold abnormal return (BHAR) to calculate and compare the long-term abnormal return for each two groups. The result shows that in Taiwan, the listing companies in manufacturing industry had positive abnormal return after share repurchases. Also, the unconstrained firms had better long-term stock returns.