- 學位論文
股票購回過度反應-行為財務之實證研究
An Empirical Study of Behavioral Finance on Overreaction of Stock Repurchases
摘要
摘要 行為財務學理論與實證說明了，促使股票價格偏離基本價值的原因，當投資人高估資訊的準確度及自我解讀資訊的能力時，容易產生過度自信，由於投資人對私有資訊的過度反應和對公開資訊反應不足，而產生了股票短期報酬的連續動能，隨著公開資訊最終證明消息靈通者的行為偏誤，就會出現股票長期報酬的反轉。 本研究試以行為財務之DHS模型中過度自信及自我歸因偏誤假設下，來探討投資人在股票購回資訊釋出後對於股價的反應，同時根據產業別、宣告的資訊內容等變數，來探討不同變數間公司宣告股票購回後股票報酬是否有顯著的差異。以2002年1月至2006年12月為研究期間，申請股票購回之上市公司為樣本，以事件研究法驗證日資料，用市場模式之最小平方法進行估計，觀察宣告前後股價走勢。實證結果發現： 1、股票購回宣告前，消息靈通者並没有事先獲得消息，造成股價上漲。股票購回執行期間，因消息靈通者會因自我歸因偏誤而繼續買入股票，再加上消息不靈通者加入追價行列，平均異常報酬率持續為正之假說獲得支持。股票購回執行期間結束累積平均異常報酬率開始下降，支持股價終究會反轉修正回歸基本價值。 2、分組方面，在宣告股票購回後，產業別、購回目的、購回次數及預定購回率四個配對組在各窗口期之累積平均異常報酬率皆有顯著差異。非電子業高於電子業；維護目的高於非維護目的；很少購回高於時常購回；高預定購回高於低預定購回之組別。
並列摘要
Abstract Through behavioral finance theory and empirical study, which impel stock price deviated from basic reason of value. When investors over-evaluate the accuracy of information and ability to understand information oneself, they are easy to produce the overconfidence due to their over-reactions and under-reactions in response to open information to privately owned information, and has produced the continuous kinetic energy of the stock short-term remuneration. As the disclosing information finally proves the behavior of the well-informed one that is partial by mistake, and then present the overturning of stock long-term remuneration. This dissertation used the assumptions of the overconfidence and biased self-attribution and oneself in DHS model with behavioral finance, probe into investing people in the stock repurchases and the response to the stock price back after information is released. At the same time, according to such parameters as the information content declared of the industry etc., probe into a company of different parameters and declare whether the stock remuneration has apparent differences after stocks are bought back. Take the studying from January 2002 to December 2006 for example, apply for listed company that stock repurchases sample, and we use the event study method to survey daily data, the OLS method to estimate the stock betas. Observe and declare the before and after tendency of the stock price, which are found in this result of study: 1. The stock repurchases before the announcement, the informed investors are not obtaining news in advance, because the stock price goes up. The repurchase duration continue buying the stock because the informed investors will return due to the biased self-attribution. In addition, the un-informed investors of news join and chase the ranks of the price; the average returns are sustained and supported for the positive hypothesis. The stock repurchases to finish accumulating the average returns and beginning to drop while carrying out, support the stock price to overturn and revise and return to basic value eventually. 2. As for grouping respect, after declaring stocks are bought back, the industry buy purpose back, buy number of times back and schedule person who buy back four mate group in every window accumulation average unusual rate of returns of issue for difference of showing. It is not the electron industry that is higher than the electron industry; it is higher than not safeguarding the purpose to safeguard the purpose; seldom buy back and higher than often buying back; scheduled to buy back and is higher than the low group scheduled to buy back high.