上市公司買回庫藏股資訊傳遞效果之探討

The Information Transmission Effect of Stock Repurchase for Listed Companies

李亮君(Lian-Chun Lee) ； 李顯儀(Hsien-Yi Lee) ； 吳幸姬(Hsing-Chi Wu) ； 李欣微(Hsin-Wei Lee)

《東吳經濟商學學報》 68期 (2010/03) Pp. 61-89

https://doi.org/10.29735/SJEB.201003.0003

摘要

本文之研究目的有二，一在探討公司買回庫藏股，是否會增加投資人的注意，使得資訊傳遞反應會領先沒有買回庫藏股的公司？其次，探討買回庫藏股比例較大的公司，是否愈能吸引投資人的關注，使得資訊傳遞反應會領先買回比例較小的公司？實證結果發現有與無買回庫藏股的投資組合，對資訊傳遞反應並無顯著差異，但有實際買回庫藏股且比例較大的投資組合對訊息的反應是領先無買回庫藏股的投資組合。此外，發現宣告買回比例較大與宣告買回比例較小的投資組合間對資訊傳遞反應並無顯著差異；但實際買回比例較大的投資組合對資訊傳遞反應卻是領先實際買回比例較小的投資組合。此結果隱含著實際買回庫藏股比例之多寡，應會影響投資人之關注程度。

關鍵字

庫藏股 ； 資訊傳遞 ； VAR檢定 ； 日內報酬

並列摘要

This study has two purposes. One is to explore whether firms' stock repurchase increase Investors' attention, which may make the response to information transmission faster than firms with no stock repurchase. The other is to see if the firms with high proportion of stocker purchase increase investors' attention, which may make the response to information transmission faster than firms with low proportion of stock repurchase. The empirical findings indicate that firms with stock repurchase cannot speed up information transmission, but the portfolio with higher proportion of actual stock repurchase are faster in response to information transmission than those with no stock repurchase. In addition, the proportion of announced stock repurchases to its capital cannot affect the speed of information transmission, but the portfolio with higher proportion of actual stock repurchase are faster in response to information transmission than the lower ones. These results imply that the proportion of actual stocker purchases of firm can affect investors' degree of attention.

並列關鍵字

Treasury stock ； information transmission ； VAR test ； intra-day returns

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