- 學位論文
企業公開市場股票買回宣告後的長期股票報酬績效
The Effects of Open Market Stock Repurchases on the Long-Term Stock Return
摘要
由國外探討庫藏股長期股價績效之相關文獻可知，國外學者普遍認為市場對於企業的股票買回宣告在短期內有反應不足的現象，因而使得股票買回宣告之異常報酬在長期才會完全顯現出來。再加上國內對於庫藏股長期股價績效之相關文獻較為缺乏，因此本研究以民國 89 年 8 月至民國 96 年 8 月為研究期間，採用事件研究法(Event Study)實證分析國內企業宣告買回股票後是否存在長期異常報酬。實證結果彙整如下： 一、企業宣告買回股票後長期仍然有顯著為正的異常報酬，表示市場對於企業自公開市場買回股票宣告在短期內有反應不足的現象。 二、電子業的長期異常報酬顯著低於其他產業，並且電子業的長期異常報酬顯著高於金融保險業，表示企業宣告買回股票之長期異常報酬會因為產業別的不同而產生顯著之差異。 三、首次買回公司的長期異常報酬顯著高於非首次買回公司。 四、買回目的為維護公司信用及股東權益者，市場會給予較買回目的為轉讓股份予員工者為高的長期異常報酬。 五、規模越小、淨值市價比越高、宣告買回股票後的執行率越高以及短期累積異常報酬越高之公司，其長期異常報酬會越高。
並列摘要
According to international research, markets underreact to stock repurchase announcements in the short-term, subsequently leading to abnormal returns in the long-term. The present study examines long-term returns on stocks in Taiwan after stock repurchase announcements from August 2000 to August 2007. The findings show that on average, abnormal returns for a 2-year buy and hold after open market stock repurchase announcements were significantly positive. Further, long-term abnormal returns differ significantly across industries and vary depending on the purpose of the repurchase. Moreover, companies which executed a repurchase for the first time, were smaller in size, had higher book-to-market and executive ratios, or had higher short-term abnormal returns could obtain higher long-term abnormal returns after repurchase announcements.