庫藏股買回宣告效果及其影響因素之研究

The Announcemnet Effect of the Stock Repurchases and Its Influencing Factors - An Event Study in Taiwan

李志莉(Lee-Chin Li)

指導教授 ： 陳建宏 ； 戴錦周

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

本研究以事件研究法探討國內上市公司宣告庫藏股買回，對公司股價之反應，並檢視產業別、買回目的、市場情勢對宣告效果的影響，以及進一步探討公司宣告買回庫藏股後執行率、預定買回率、投資成長率、淨值市價比等公司特徵變數對宣告效果的影響。由研究結果發現：在公司宣告庫藏股買回後，全體樣本、電子業、金融業在宣告次日產生顯著為正的異常報酬率，而其他產業在宣告當日產生顯著為正的異常報酬率。買回目的為轉讓員工之異常報酬率，顯著低於買回目的為維護公司信用及股東權益之異常報酬率。多頭市場及盤整市場之異常報酬率，顯著低於空頭市場之異常報酬率。電子業之異常報酬率，顯著低於其他產業之異常報酬率。關於公司特徵變數的影響，預定買回率、淨值市價比愈高的公司，其宣告效果越顯著；投資成長率愈高的公司，其宣告效果愈小；執行率對宣告效果則無顯著影響。

關鍵字

累積異常報酬率 ； 事件研究法 ； 庫藏股買回宣告效果

並列摘要

The effect of the announcement of stock repurchases by the event study methodology to investigate on firms’ values of public listed companies in Taiwan. These results hold after being controlled for other variables (industries, purposes of repurchase, the market circumstance) that could explain the announcement effect. As well as further discusses the company to announce after scheduled repurchase ratio, the execution rate, the investment growth rate, book to market ratio and so on company characteristic variables to announce the effect the influence. The findings are as follows: Significant and positive abnormal returns are found during the two day of the all sample, electronics industry and the financial industry announcement of the stock repurchases, Significant and positive abnormal returns are found during the first day of the other industries. The repurchase purpose is “transferring shares to employees“ of the abnormal returns is lower than “conserving company’s credibility and equity capital “. Bull market and plate entire market abnormal returns are lower than bear market. The electronics industry of abnormal returns is lower than other industries. The announcing firms’ stock prices are positively influenced by scheduled repurchase ratio, book to market ratio, An investment growth rate higher company, its announcement effect is smaller; The execution rate to announced that the effect is not significant.

並列關鍵字

The Announcement Effect of the Stock Repurchases ； Event study ； Cumulative average abnormal returns

參考文獻

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