庫藏股實施二次長期成效評估

Long Term Stock Performance for Twice Repurchases in Taiwan

張惠雯(Hui-Wen Chang)

指導教授 ： 林允永

共同指導教授 ： 李進生(Chin-Shen Lee)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00675

摘要

本研究主要是以台灣股票市場，上市公司來檢驗公司在透過公開市場買回自家股票時，對股價是否存在顯著性的長期績效，本研究以民國2001年1月1日至 2006 年12月31日間，宣告實施庫藏股二次的上市公司為樣本，利用市場模式模型及簡單迴歸分析進行庫藏股的長期績效的檢驗，將公司樣本分為全體產業、電子產業及非電子產業三組；另按累計異常報酬與買回目的、買回比率、週轉率、公司規模、買回股數佔公司已發行股份總數比率、及股價淨值比等不同變數迴歸分析的結果，來探討庫藏股是否存在顯著性的長期績效。本研究預期公司在宣告實施庫藏股交易迄日一年及三年後，應存在有顯著性、正的長期異常報酬。另外，透過不同買回目的檢驗，預期證實以維護股東權益為目的買回宣告，市場會給予較高的長期績效報酬。 由於台灣地區法令上的規定，公司透過公開市場買回自家股票須在兩個月內結束，而且須揭露，因此可以觀察到公司在計畫結束後的實際執行情況。本研究也預期當股價被低估時，公司的經理人會提高庫藏股的執行比率。此外，本研究預期電子產業，其實際執行比率相對較高，且執行比率的高低與股價績效報酬在短期上並沒有顯著性的差異，但就長期而言，執行比率較高的公司其長期績效應表現較佳。

關鍵字

異常報酬 ； 累計異常報酬 ； 事件研究法 ； 市場模型 ； 庫藏股

並列摘要

The main purpose of this thesis is to examine the long-term performance of the stock of firms that announcement open market repurchases for twice during the period from Jan. 2001 to Dec. 2006 in Taiwan. I use market model and simple regression model to analysis and examine the long-term performance of twice repurchases. Besides, I divide the sample into three groups：The whole industries, the electronic and non-electronic industries. Furthermore, I use dependent variable – cumulative abnormal return ( CAR ) and independent variables – announced repurchase purposes、repurchase ratio、turnover、capital size、repurchase stock share ratio and price to book value by simple regression model to examine whether any positive effects could sustain in the long run. This study predicts that there are positive performance and long-term abnormal performance after announcing open market repurchases at the end of transaction date for one and three years. In addition, different repurchase purposes also influence the long-term performance of stock repurchases. Firms are required to complete a repurchase within two months of the announcement in Taiwan. Moreover, firms are required to announce all open repurchases and to report the number of shares actually repurchased at the end of the repurchase period. These unique data enable us to better understand what factors drive repurchases. Besides, this study also predicts that completion rates are higher in case that under-valuation may be a primary motive for the repurchase.
Furthermore, this study predicts that electronic industry’s completion rate is higher than other industries. When price rises, managers tend to buy fewer shares whereas a drop in price triggers an increase for repurchase activities. This sensitivity to stock price suggests that under-valuation is an important consideration for buying back.

並列關鍵字

Abnormal Returns ； Cumulative abnormal Returns ； Event Study Methodology ； Market Model ； Treasury Stock

參考文獻

3.杜曉芬 2006 - 「探討庫藏股購回之長期報酬」，中興大學財務金融研究所碩士論文。

1.Banz, R.W. 1981, The relationship between return and market value of common stocks,

Journal of Financial Economics 9,3 -18.

2.Bartov, E, 1991, “ Open-market stock repurchases as signals for earnings and risk changes”, Jounnal of Accounting and Economics, 14, 275-294.

3.Cable, J. and K. Holland., “Regression vs. Non-regression Models of Normal Returns: Implications for Event Studies, “ Economics Letters, vol.64,1999, 81-85