公開市場股票購回均衡模型研究:  價格資訊、市場流動性與私有資訊價值

本研究引用微觀市場理論建構出公開市場股票購回之市場均衡模型，模型之建構係參照Kyle(1985)所提出的市場均衡模型發展得到。本研究發展之公開市場股票購回均衡模型可以解釋市場流動性與私有資訊價值如何影響公開市場中的股票價格的變動，因此本研究所提出的模型可以針對市場流動性、公司私有訊息價值與均衡公開市場股票價格等進行完整的分析與探討。實證分析係以2003到2013年間香港恆生指數中上市公司曾實施公開市場股票購回的公司進行研究，實證結果與本研究所購建的公開市場股票購回均衡模型一致。

關鍵字

市場流動性；價格資訊；市場均衡模型；公開市場股票購回；私有訊息

並列摘要

This study pioneers to develop a market equilibrium model of open market share repurchases (OMRs) within micro-structure theory to explain how the market liquidity and firms’ private information to influence the outstanding share price in equilibrium. The model setup is alone the line of Kyle(1985) to apply on the OMRs so that it is able to provide a complete analysis among the three OMRs’ characteristics- market liquidity, firms’ private information and the change of outstanding share price. The empirical investigation sampled Hang-Seng listed companies which executed open market share repurchases from 2003 to 2013 in Hong Kong. The results are coincide with the developed market equilibrium at this study.

並列關鍵字

Private information ； Market liquidity ； Market equilibrium model ； Open market share repurchases ； Private Information

參考文獻

1. Amihud, Y. and Mendelson, H., 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.

2. Black, F., 1971, Toward a Fully Automated Exchange, Financial Analysts Journal 27, 29-34.

3. Brennan, M. J. and Subrahmanyam, A., 1996, Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Prices, Journal of Financial Economics, 41, 441-464.

4. Brockman, P. and Chung, D.Y., 2001, Managerial timing and corporate liquidity：evidence from actual share repurchases, Journal of Financial Economics 61,417-448.

5. Cook, D.O., Krigman, L., and Leach, J.C., 2004, On the timing and execution of open market repurchases, Review of Financial Studies 17, 463-498.

國際替代計量

公開市場股票購回均衡模型研究: 價格資訊、市場流動性與私有資訊價值

未授權

主題瀏覽