公司治理對庫藏股宣告效果之影響

The Impact of Corporate Governance on Announcement Effect of Stock Repurchase

曾妙齡(Miao-Ling Zeng)

指導教授 ： 王朝仕

國立臺中科技大學/商學院/企業管理系碩士班/碩士(2017年)

摘要

本研究探討當臺灣上市、櫃公司宣告股票購回時，投入公司治理的程度，是否對於公司股價之累積異常報酬率有所影響。研究期間自1999年至2016年，先採事件研究法驗證公司實施股票購回後，其股價短期與長期之反應，再引用Chen, Kao, Tsao and Wu(2007)之研究，依其提出四個公司治理構面變數，所形成公司治理評等指標(Corporate Governance Index, 簡稱CG _Index)，將公司區分為高度公司治理、中度公司治理及低度公司治理，並透過多元迴歸模型來驗證公司治理之程度與宣告實施股票購回計畫後，不同期間平均累積異常報酬率之關係。
實證結果顯示宣告股票購回前股價被低估，宣告後短期具有正向反應，長期下則股價將調整至合理價格。本研究建構之公司治理評等指標對於宣告股票購回後之累積異常報酬未達統計上之顯著性，推論可能原因，由於我國證券市場以散戶為主，當投資人接收到股票購回計畫之消息，並轉化為其股價被低估之訊息，所誘發的是投資人投機的心理，其投資準則未考量該公司投入治理的程度，此結果呼應學者提出的有限注意力，即投資人在處理資訊能力是有限的，投資人必須透過某些資訊的傳遞來提高對資產的注意力，成交量異常高、報酬率異常高（低）以及被媒體報導次數增加（或是公司訊息被媒體揭露）等三個指標將吸引投資人的注意力，也因投資人非理性之投資行為，行為財務學成為近代學者關注之焦點。

關鍵字

公司治理 ； 股票購回 ； 異常報酬 ； 事件研究法 ； 行為財務學

並列摘要

This research was to discuss whether the investment amount of corporate governance has impacts on CAR (Cumulative Abnormal Returns) of stock price during the announcement of stock repurchase. This research adopted event study from 2006 to 2009 to examine the short-term and long-term reactions of the stock price after the stock repurchase announcement. We referenced the corporate governance index established by Chen, Kao, Tsao and Wu (2007), which divides companies into high corporate governance, moderate corporate governance, and low corporate governance. Through the multiple regression model, the degree of corporate governance and the relations between the CAR at different times were verified after the implementation of the stock repurchase program.
The empirical results indicated that the stock price was undervalued before the announcement of the stock repurchase. There was a short-term positive reaction after the announcement, and the stock price returned to a reasonable level in the long-term. There was no statistical significance in the CAR of the corporate governance index constructed for this study after the announcement of the stock repurchase. It is inferred that, due to Taiwan’s private equity-based securities market, when investors received
news of the stock purchase plan and the stock prices were converted into undervalued price signals, the investors’ speculative psychology was triggered without considering the extent of the company's commitment to corporate governance in their investment criteria. This result echoed the limited attention proposed by scholars, that is, the limited capacity of the investors in processing information. Investors must raise attention on their assets through the transmission of certain information. The three indicators that easily attract investors’ attention are usually high level of trading volume, unusually high (low) returns, and increased media coverage (or company information exposed by the media). The irrational investment behaviors of investors have made behavioral finance the focus of attention of modern scholars.

並列關鍵字

Corporate governance ； Stock repurchases ； Abnormal Return ； Event study ； Behavioral finance

參考文獻

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