企業股票購回政策之研究：訊號放射假說再驗證

A Reexamination the Information Content of Share Repurchase Programs

廖昱嵐(liao yu lan)

指導教授 ： 陳更生

亞洲大學/管理學院/國際企業研究所/碩士(2007年)

摘要

公司為處置自由現金流量問題不外乎利用盈餘分配、發放股票股利、購回庫藏股等方式。而近年來，公司於公開市場購回庫藏股之比例已經漸漸多於股利發放。根據Gustavo Grullon and Ronimichaely（2004）利用COMPUSTAT 資料庫分析顯示，在1984 至2000 年間，多數公司在購回庫藏股上花費約占其總年收益的26%。在這之中，有90%的購回計畫是透過公開市場所執行。此外，1999 至2000 年間，部份企業在第一次執行購回庫藏股上之花費比重較其股息發放上來得更多。
在以往購回庫藏股的文獻中，宣告購回有兩項主要原因：第一項為「訊號假說」，第二項原因為「自由現金假說」。以美國股票市場為實證對象的文獻皆顯示，訊號放射假說較受到公司及投資者所重視。因為公司的股票購回宣告對投資人而言，大多屬於正面的資訊，所以會帶來正的股價異常報酬。
本研究採事件分析法，延續Gustavo Grullon and Ronimichaely（2004）之分析方法，以市場模式結合累積平均異常報酬(CAR)、資產獲利率(ROA)、銷售利潤(ROS)、調整後的現金資產(ROCAA)、資產獲利率現金流量（CFROA），檢視不同變數間對宣告效果之差異。研究除了觀察上市上櫃公司在股票購回後營運績效是否改善外，也將檢測公司宣告股票購回之後的執行狀況，是否能代表經理人對公司前景的信心，並支持訊號假說之論點。
研究結果顯示，我們無法找到公司購回庫藏股後，在盈利方面明顯成長的證據。研究指出，由宣告購回的三天(-1,0,1)檢驗公司之營運績效以及宣告前後六年之營運績效，皆無法明確證明，已購回公司的營運績效比宣告購回前來得好。

關鍵字

庫藏股購回、訊號或資訊假說、營運績效

並列摘要

In recent years open-market share repurchase programs have become an important payout method for many U.S. firms. According to data from COMPUSTAT, between 1984 and 2000 corporations spent approximately 26 percent of their total annual earnings on repurchases. Over 90 percent of these repurchases were open-market repurchase programs. Also, in 1999 and 2000, for the first time in history, industrial corporations spent more money on share repurchases than they did on dividends. Our objective in this paper is to better understand the economic motivations behind the decision to repurchase shares.
Two major reasons for repurchasing shares are analyzed in the theoretical literature. The first one is 「Information or signaling hypothesis」, the other one is free cash flow hypothesis. Regard stock market of U.S.A. as documents studied to show, the signal radiates the hypothesis is relatively paid attention to by the firm and investor. Mostly Investors think this is a good information, about the firm to Share Repurchase it will bring the unusual remuneration of the positive profit.
This research bases on the measures for Gustavo Grullon and Ronimichaely (2004), test the CAR, ROA, ROS, ROCAA, CFROA. The result of study is, it is obviously grows up in profit after the firm to share repurchase, this paper can’t find. Research shows, the operation performance of firm to announcement of the share repurchase program by over the past three days, and six years beginning-and ending-period, this paper find that the post –repurchase betas are lower than the pre repurchase betas, but that the changes are small. It is cannot find any evidence that repurchasing firms experience a growth in profitability.

並列關鍵字

Share Repurchase, Signaling Hypothesis, Free Cash Flow Hypothesis, Operating Performance

參考文獻

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