本研究探討台灣上市上櫃公司買回庫藏股之長期效益及影響因素,採用買進並持有異常報酬(buy-and-hold abnormal returns)估計公司買回庫藏股三年之異常報酬,以民國89年8月9日至民國94年12月31日之間曾宣告買回庫藏股之公司為樣本,並依宣告庫藏股次數將樣本分類為不常宣告、偶爾宣告和經常宣告三組樣本。實證結果彙整如下: 一、 買回庫藏股的長期效益 公司買回庫藏股享有長期正向異常報酬,宣告買回庫藏股的訊息,需要長時間才能被市場完全反應完畢。若以公司實施庫藏股次數為樣本分類基準,進一步發現實施庫藏股次數愈少的樣本組,長期平均異常報酬愈大。 二、 影響買回庫藏股之長期異常報酬大小之因素 發現市場對高淨值市價比的公司有顯著反應,意謂市場相信這類型公司的股價被低估程度愈大;市場對高庫藏股執行率有顯著反應,公司預計買回與實際買回庫藏股之數量差異愈小,庫藏股宣告的傳遞效果愈強烈。 實證結果顯示在經常買回庫藏股樣本組裡,內部人持股比率愈高,買回庫藏股的長期異常報酬率愈高 ;公司獲利能力愈佳,買回庫藏股的長期異常報酬率愈高,但是在其餘二組樣本組裡卻沒有顯著結果。
The purpose of the study is to investigate the long- run excess returns of Taiwan listed firms and their determinants to the stock repurchase announcements. The study computes the three-year abnormal returns by assuming the buy-and-hold strategy. The sample includes the firms that had announced stock repurchase plans from August 2000 to December 2005. The sample firms are partitioned into three groups: infrequent, occasional and frequent groups. Major empirical results are summarized as the following. First of all, the repurchasing firms enjoyed long-run positive abnormal returns after the stock repurchase announcements. In other words, the signaling effects of the stock repurchase announcements need an extended period of time to be fully reflected. Moreover, the less frequent a firm to repurchase its stock, the larger the long-run abnormal average returns. Secondly, the study finds that the long-run market reaction to the announcement is significantly associated with the firm’s book value to market price ratio and actual repurchase rate. The results also indicate that insider ownership and firm’s profitability are positively associated with long-run abnormal returns in the frequent repurchase group, but significant results are not found in the other groups.