我國庫藏股制度之實證研究：資訊效果與資訊傳遞動機

Abstract

本研究旨在檢視我國上市公司實施庫藏股計畫之資訊效果與資訊傳遞動機。首先，本研究有三項在資訊效果方面之發現。(一)當公司宣告買回庫藏股時，市場反應顯著為正，顯示公司的庫藏股決策具有正面的資訊效果。在本文的研究期間內，由於非金融保險業仍可透過子公司買回母公司股票來護盤，而金融保險業則否，故對於僅能買回庫藏股票維護股價的金融保險業而言，其資訊效果較強。(二)以宣告期間前後各30天的股價績效進行比較，發現宣告後的累積異常報酬顯著高於宣告前的。在敏感性分析中亦發現排除母子公司交叉持股及庫藏股再次宣告之觀察值後，這類樣本執行截止日後的股價仍持續維持甚而上升。(三)測試宣告期間市場反應之影響因素時，發現若公司過去股價績效愈差與淨值市價比率愈高，則公司宣告時市場反應愈大。其次，在庫藏股決策影響因素上，本研究發現：控制相關變數後，庫藏股預定買回數量和公司未來盈餘成長及淨值市價比率成正相關，並和宣告前的股價績效成負相關。綜合上述兩方面的證據，本研究發現股價低估係公司宣告買回公司股票的重要動機，而市場投資人亦將此決策視為有利資訊。

This paper examines the information effect of stock repurchase announcements and whether signaling is the primary motivation for stock repurchase. As predicted, we find significantly positive market reactions to stock repurchase announcements, and this positive information effect is stronger for the banking and insurance industries. Also, we find the stock price performance over the post-announcement period is higher than that over the pre-announcement period. Further, the results show that the announcement return is associated positively with book-to-market ratio, but negatively with the prior stock return, indicating that repurchase announcements are treated as signals conveying undervaluation-related information by the market. Finally, we test the factors affecting a firm’s decision to repurchase stocks. Consistent with our prediction, the projected purchase size is related positively to current earnings change and book-to-market ratio, but negatively to the prior stock return. In sum, this paper provides evidence that signaling a firm’s positive information is the main motivation for stock repurchase.