市場流動性與股票購回之關聯性研究：以台灣為例

The Relationship Between Market Liquidity and Stock Repurchase: Investigation of Taiwan

李宜玲(I-Ling Lee)

指導教授 ： 陳達新

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

過去的文獻指出，股票購回與股利間的金額比值已由1980年的13.1%上升到2000年的113.1%，顯示出公司支付政策逐漸由股票購回取代股利之發放。然而過去的研究多數是探討公司宣告股票購回後的事件研究，鮮少探討市場流動性對於公司制定股票購回或股利發放之決策。本研究的目的主要探討市場流動性如何影響股票購回與現金股利發放政策之間的替代效果，有鑑於公司較不易因市場與經營情況而更改現金股利發放政策，因此本文將著重於市場流動性與股票購回之間的關聯性。本研究以台灣非金融保險業之上市上櫃公司為研究樣本，研究期間為2001年1月1日至2007年12月31日，分別使用羅吉斯迴歸模型、普通最小平方迴歸模型及Tobit迴歸模型，來探討市場流動性對於公司支付政策的影響。
實證結果發現市場流動性在公司管理階層制定支付政策時，扮演著相當重要的決定因素，而對於制定股票購回政策的影響力大於制定現金股利政策的影響力。當市場流動性越高時，公司管理階層會偏好採用股票購回來替代股利發放政策。因市場流動性高時，股票購回對市場所產生的價格衝擊較小，且股票購回具有租稅利益及較佳的財務彈性，故經理人會較偏向採行股票購回政策。但當市場流動性不足以吸收價格衝擊時，經理人就會放棄股票購回所帶來的租稅利益及較佳的財務彈性，進而採取發放股利的政策。

關鍵字

市場流動性 ； 股票購回 ； 現金股利替代效果

並列摘要

A past research found that the ratio of the amount of stock repurchase to the amount of dividend has risen from 13.1% in 1980 to 113.1% in 2000. That means stock repurchase has substituted for dividend step by step. However, most past researches discussed the announcement of stock repurchase of firms and few researches discussed the effect of market liquidity to payout policy. This paper discussed that how market liquidity affect the substation between stock repurchase and dividend. Because a firm is not easy to change dividend policy for its operating situation, this paper would largely discussed the relationship between market liquidity and stock repurchase. Our samples are OTC and listed companies in Taiwan announced from 2001/01/01 to 2007/12/31, except for financial and insurances sectors. We use logistic regression model, OLS regression model, and Tobit regression to investigate the effect of market liquidity to payout policy.
We found that market liquidity plays an important role for corporate manager when making payout policy and the effect of using stock repurchase is larger than using dividend. Corporate manager prefer stock repurchase to dividend when market liquidity is higher. Manager prefers stock repurchase because of the impact on price is lower which caused by stock repurchase under the condition of high market liquidity. Stock repurchase also has higher financial flexibility and tax deduct, so manager would prefer stock repurchase. If the market liquidity is not high enough to absorb the impact of price, manager will pay dividend instead of stock repurchase.

並列關鍵字

market liquidity ； share repurchases ； cash dividends ； substitution effect

參考文獻

吳明政、王南喻 (2006)，「從獲利交換價值觀點檢視台灣上市公司庫藏股之購回效應」，台灣金融財務季刊，第七卷第三期，35-51頁。

林卓民、王凱立、吳宗保 (2003)，「台灣上市公司購回庫藏股目的決定因素-多元名義分對數模型之應用」，台灣管理學刊，第五卷第二期，339-360頁。

Amihud, Y. (2002), “Illiquidity and stock returns: cross-section and time series results”, Journal of Financial Markets, 5, 31–56.

Bagwell, L.S. (1992), “Dutch auction repurchases: An analysis of shareholder heterogeneity”, Journal of Finance, 47, 71–105.

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