股票購回之績效表現的實證研究-根據公司不同購回目的

Stock Performance of Share Repurchase Based on Different Purpose

張立群(LI-CHUN 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

此篇文章研究在不同股票購回目的下，長期的股票表現有何不同。樣本為1992年到2003年間在美國NYSE、AMEX與NASDAQ交易之公司，我們將樣本分為自稱股價被低估而宣告股票買回與一般目的買回。首先我們使用CAR、BHAR、Fama-French三因子與四因子模型分別計算出各自的異常報酬。我們發現不管樣本是否自稱股價被低估而宣告買回之長期異常報酬皆顯著為正，其結果與Ikenberry, Lakonishok and Vermaelen (1995)一致。
接下來，我們使用Wilcoxon Two-Sample Test探討不同購回目的之間股票績效差異。結果顯示強調股價被低估而宣告股票購回的公司其長期績效表現比一般目的購回的公司表現為差。此現象可以藉由De-Wai Chou, J. R. Philip Lin (2003) 所提出的論點解釋，即以公開市場進行股票購回的公司通常會傳遞錯誤訊息給投資大眾，特別是強調股價被低估的公司。

關鍵字

股票購回

並列摘要

We examine the long-term performance of share repurchase based on different purposes, relatively, with a self-styled reason of undervaluation and general corporate purpose. At first, we calculate the abnormal returns by using CAR, BHAR, the Fama-French three-factor model and four-factor model. Both samples with a self-styled reason of undervaluation and with a self-styled reason of general corporate purpose have positive significantly abnormal returns in long-term following announcements of share repurchase. Our result is consistent with Ikenberry, Lakonishok and Vermaelen (1995).
Moreover, we use the Wilcoxon Two-Sample Test to detect what the differences in buy-and-hold abnormal returns. We find that firms emphasize the reason of share repurchase is due to undervalued the long term stock performance after announcements of share repurchase is worse then others. This phenomenon could be explained by false signals posed by De-Wai Chou, J. R. Philip Lin (2003). They posed that open-market share repurchase programs have been used to send a false signal to the marketplace, by emphasizing an undervalued equity. On the other hand, firms emphasize the reason of share repurchase is due to undervalued were not really undervalued. Therefore, their long-term performance is worse then firms’ with a self-styled reason of general corporate purpose.

並列關鍵字

stock repurchase

參考文獻

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