The stock performance of share repurchase in the long-term: base on different repurchase methods

宣告股票購回股價長期績效-在不同的買回方法下

張凱炫(Kai-Hsuan Chang)

指導教授 ： 周德瑋

元智大學/管理學院/財務金融學系/碩士(2005年)

摘要

根據Dann(1981), Vermaelen(1981), Asquith and Mullins(1986), and Comment and Jarell(1991)的實證研究，在根據訊號發射理論的假設下，宣告購回股票後，股價確實有顯著的異常報酬，此篇主要在討論在不同的買回方法下，宣告買回後股價的長期績效，樣本期間為1987到2000年在美國NYSE、AMEX與NASDAQ交易之公司，在我們的研究中主要是用四種模型來衡量異常報酬，分別是CAR、BHAR、Fama-French three-factor model and four-factor model.

關鍵字

股票購回，三種購回方法，宣告效果

並列摘要

According to the empirical study (Dann(1981), Vermaelen(1981), Asquith and Mullins(1986), and Comment and Jarell(1991)), the firms will have significant abnormal return after repurchase announcement based on signaling hypothesis. But we want to search the stock performance of share repurchase in the long-term: base on different repurchase methods. The samples we set are firms traded on the NYSE, AMEX, or NASDAQ between 1987 and 2000 was collected from the Security Data Company. In my study, we used four models to calculate long-term abnormal stock returns. First, we used CAR approach to calculate abnormal returns. Second, we measure a firm’s long-run performance by buy-and hold method. Third, we use the three- factor model of Fama and French (1993) to estimate long-run average abnormal returns. Finally, we used the three-factor model which adds a momentum factor to construct the four- factor model.

並列關鍵字

repurchase, signaling effect, three of repucahse methods

參考文獻

Asquith, P., and D. Mullins, 1986, Signaling with Dividends, Stock Repurchases, and Equity Issues. Financial Management, 15, 27-44,

Barber Brad M. and John D. Lyon, 1996, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372.

Bagwell, Laurie, 1992, Dutch auction Repurchase: Analysis of Shareholder Heterogeneity, Journal of Finance 47, 71-105

Comment, Robert and Gregg A. Jarrell, 1991, The Relative Signaling Power of Dutch-Auction And Fixed-Price Self-Tender Offers And Open-Market Share Repurchase, Journal of Finance 46, 1243-1272.

Chou, De-Wai and Lin, J. R. Philip, 2003, False Signals from Stock Repurchase Announcements: Evidence from Earnings Management and Analysts’ Forecast Revisions.