以台灣經驗檢定公開市場股票買回宣告之自由現金流量假說

自從89年6月30日經立法院三讀通過證券交易法修正條文，並經總統於同年7月19日公佈後，財政部證券暨期貨管理委員會(以下簡稱證期會)於同年8月7日發佈「上市上櫃公司買回本公司股份辦法」。自此，我國正式開始實施庫藏股制度。因此，探討自由現金流量假說在台灣是否成立便是一可探討之議題。本研究針對1185間實施庫藏股買回的公司做自由現金流量假說的探討，研究期間為89年8月9日至96年12月31日。利用市場模式(Market Model)作為預期報酬的衡量模式，並配合累積異常報酬法(Cumulative Abnormal Return, CAR)來計算庫藏股之短期股價異常報酬。再利用迴歸分析公司之買回目的、市價淨值比、自由現金流量、預計買回比例，對累積異常報酬率的關係。結論如下：一、台灣低成市價淨值比公司對於自由現金流量假說確實成立。二、公司預計買回的比例愈高，累積異常報酬率愈大。三、公司市價淨值比愈低，累積異常報酬率愈大。四、公司自由現金流量愈高，累積異常報酬率愈大。

關鍵字

自由現金流量假說；庫藏股；異常報酬；累積異常報酬

並列摘要

An open-market share repurchase system has been in operation in Taiwan since August of 2000. In this study, the effect on stock returns of 1185 share repurchase announcements in Taiwan was empirically examined. The results indicate that the free cash-flow hypothesis is able to explain those effects, particularly for low-growth companies. Moreover, companies with a higher buy-back ratio, higher free cash-flow, or lower market-to-book ratio, exhibit greater cumulative abnormal returns from repurchase announcements.

並列關鍵字

Free Cash Flow Hypothesis ； Treasury Stock ； Abnormal Return ； Cumulative Abnormal Returns

參考文獻

Chen, M. , C. L. Chen and W.H. Chen (2004). The announcement effects of restricted open market share repurchases: experience from Taiwan. Review of Pacific Basin Financial Markets and Policies, 7(3), 335-354

Dittmar, A.K. (2000). Why do firms repurchase stock? Journal of Business, 73(3), 331-355.

Howe, K.M. , J. He and G.W. Kao (1992). One-time cash flow announcements and free cash-flow theory: share repurchases and special dividends. Journal of Finance, 5, 1963-1975.

Isagawa, N. (2000). Open-market stock repurchase and stock price behavior when management values real investment. The Finance Review, 35, 98-108.

Jensen, M. (1986). Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76, 323-329.

國際替代計量

以台灣經驗檢定公開市場股票買回宣告之自由現金流量假說

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