公司擇時能力對購回宣告可信度影響之分析

The Impact of the Company 's Market Timing on the Credibility of Repurchase Announcement.

彭曉茹(Shiao-Ru Peng)

指導教授 ： 黃漢青

中原大學/商學院/財務金融研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700239

摘要

本研究以台灣2001年至2016年之公開發行之上市上櫃公司股票購回為研究樣本，探討擇時能力對於於實際購回比例、內部人交易與買入持有報酬之影響，並根據Dittmar and Field(2015)的Relative repurchase price (RRP)來衡量公司進行股票購回時之擇時能力的強弱。結果顯示擇時能力越強的公司，宣告之實際購回比例越低，規模較大的上市公司較可能利用股票購回作為護盤工具；擇時能力越強的公司，內部人淨買回愈多，內部人確實可以知悉公司股票購回時的價格資訊，此外，擇時能力較強的上櫃公司，其內部人淨買回交易對於未來買入持有報酬影響較大。本研究亦發現在台灣規模較小公司之股票購回可信度較高，且其內部人的交易較具訊息，未來的買入持有報酬也較高。

關鍵字

股票購回；擇時能力；購回比例；內部人交易；買入持有報酬

並列摘要

In this study, we explore the influence of market timing on the actual repurchase ratio, insider trading and buy-and-hold abnormal returns by the sample of the Listed and the OTC firms in Taiwan from 2001 to 2016. According to Dittmar and Field (2015), we use relative repurchase price (RRP) to measure the strength of market timing abilities when firm repurchases its own stock. We find that the stronger market timing ability is associated with the lower actual repurchase ratio. The Listed firms with larger market values are more likely to use stock repurchase as a tool of supporting their stock prices. The stronger market timing ability is accompanied with the greater insider net buying. Thus, insiders can indeedly know the company’s future information when firms repurchased. In addition, when market timing abilities of the OTC firms are stronger, their insiders net buy transaction will have greater influence on future buy-and-hold abnormal returns. We also find that the firms with smaller market values have lower credibilities of stock repurchase, the more information contents of insider transactions and the more future buy-and-hold abnormal returns.

並列關鍵字

share repurchase； market timing； actual repurchase ratio； insider trading ； buy-and-hold abnormal returns

參考文獻

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