庫藏股買回、盈餘衝擊的影響-追蹤資料的樣本選擇模型運用

廖哲慶(Che-Ching Laio)

指導教授 ： 余士迪 ； 郭啟賢

國立清華大學/科技管理學院/計量財務金融系/碩士(2009年)

摘要

過去探討庫藏股買回的研究大多單一討論是否購回庫藏股的決定或是決定購回庫藏股的數量。且在分析樣本時，未考慮到樣本為追蹤資料，使得分析出來的結果可能會有誤差。本研究將公司決定是否實施庫藏股的買回的決定和買回庫藏股的數量同時考量，並且利用追蹤資料模型，分析庫藏股購回的決定因子，進一步觀察兩個決定中有無相關性。其次，測試公司經理人是否利用資訊不對稱讓公司能在較佳的時點實施庫藏股買回。
在本研究中，主要採用Kyriazidou(1997)的panel data sample selection model對公司是否買回庫藏股的決定因素以及公司買回庫藏股數量的決定因素作分析，並且比較利用Pooled sample selection model以及利用Tobit model分析庫藏股買回數量的決定因子兩者之間是否有差異。
　　結果發現，公司是否買回庫藏股以及公司買回庫藏股數量的兩個決定間確實存在相關性，表示若只研究公司買回庫藏股數量的因素，則估計出來的參數會有不一樣的結果產生。在是否購買庫藏股決策方面，我們發現現金比率(Cash)、負債比率(Leverage)及市值/淨值比(MKBK)為最重要的決定因素。此外，在面臨購回庫藏股金額之決策時，負債比率(Leverage)扮演最關鍵角色。也就是經理人員最在乎購回庫藏股對財務結構影響。另外，我們也發現公司規模越大的公司，購回的金額也較小公司為高。最後，對於盈餘衝擊對庫藏股買回的影響沒有顯著的關係，表示公司經理人似乎不會在事前了解自己內部的資訊，在較佳的時點購回庫藏股。

關鍵字

庫藏股買回 ； 樣本選擇模型 ； 盈餘衝擊

並列摘要

The past studies only separately examine the determinants of repurchase decision and those of repurchase amount. In practice, however, firms are very likely to consider the two decisions simultaneously. Therefore, prior studies probably ignore the characteristics of simultaneous decision, leading to suspicious conclusions. We consider both the decision and the amount of stock repurchase, and use the panel data model to analyze the determinants of stock repurchases. Second, we test whether the company’s managers make use of inside information in the timing of repurchase decision.
We find that the decision whether to repurchase is correlated with the decision how much to repurchase, therefore the omission of either one decision when analyzing the data could lead to difference result. Second, we find cash ratio, leverage, and MB ratio are the most important factors in firm’s decision of repurchase. In addition, leverage play the key role when determining the dollar amount of repurchase. That is, financial structure is firm’s main concern when facing the repurchase decision. Moreover, we also find the larger firm size is, the greater amount of stock firm repurchase
Finally, we find earning shock is not significantly associated with stock repurchases, suggesting that earnings shock plays no role in the decision of repurchase.

並列關鍵字

stock repurhase ； panel data sample selection model ； earning shock

參考文獻

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