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題名 以重複事件模型分析股票回購
The Determinants of stock repurchse: cox proportional hazard model作者 許雯筑
Hsu, Wen Chu貢獻者 謝淑貞
Shieh, Shwu Jane
許雯筑
Hsu, Wen Chu關鍵詞 股票回購
重複事件
Stock Repurchase
Cox Proportional hazard Model日期 2008 上傳時間 9-May-2016 11:26:19 (UTC+8) 摘要 以往重複事件分析法主要用於醫學與科學領域，近來學者逐漸將其應用至經濟、商學、社會科學等領域，本篇論文採用重複事件分析法，分析S&P 500公司股票回購的行為，回顧過去學者對股票回購之研究，我們檢視公司執行股票回購的三大原因，根據我們的實證結果發現公司可能會以股票回購作為影響公司資本結構的工具，再者亦可能用以減低剩餘資金，然而，本篇論文的實證結果較不支持訊號發射理論。
In this study, we apply Cox proportional hazard model in recurrent event analysis, which usually used in medical and science studies, to analyze the determinants of the stock repurchase events of S&P 500 companies. We investigate three main incentives that companies conduct stock repurchase. The empirical results show that companies employ repurchase as a technique to alter capital structure. In addition, companies conduct stock repurchase to distribute excess capital. In contrast, there are little evidences to support signaling undervaluation.參考文獻 Andersen et al., 1993. Statistical models based on counting process. Nework: springer-Verlag. Amy K. Dittmar, 2000. Why do firms repurchase stock? Journal of Business 73, 331-355. Bagwell, Laurie S., and Shoven, John B., 1988. Share repurchases and acquisitions: An analysis of which firms participate. In Alan J. Auerbach (ed.) corporate Takeovers: Causes and Consequences. Chicago: University of Chicago Press. Cox, D., 1972a. Regression models and life tables (with discussion), J. Roy. Statist. Soc.34. 187-220. Doukas, J., Kim, C., Pantzalis, C., 2000. Security analysis, agency costs, and company characteristics. Financial Analysts Journal 56 (6), 54–63. Edsel A. Peña et al., 2006. Semiparametric inference for a general class of models for recurrent events. Journal of Statistical planning and Inference 137, 1727-1747 Eddey, P.H., Lee, K.W., Taylor, S.L., 1996. What motivates going private? An analysis of Australian firms. Accounting and Finance 36 (1), 31–50. Fama, Eugene F., and French, Kenneth R, 1992. The cross section of expected stock returns. Journal of Finance 47, 427-465. Fama, E. F., and French K. R., 1995. Size and book-to-market factors in earnings and returns. The Journal of Finance 50, 131-155. Henock Louis, Hal White, 2007. Do managers intentionally use repurchase tender offers to signal private information? Evidence from firm financial reporting behavior. Journal of Financial Economics 85, 205-223 Hovakimain. A., 2004. The role of target leverage in security issues and repurchases. Journal of Business 77, 1041-1071. Haugen, Robert A., 1995 The new finance: The Case against Efficient Market. Englewood Cliffs, N. J.: Prentice Hall. Hougaard, P., 2000. Analysis of multivariate survival data. Hovakimain. A., Opler. T., Timan. S., 2001. The debt-equity choice. Journal of Financial and Quantitative Analysis 36, 1-24 Ikenberry, David, Lakonishok, Josef, and Vermaelen, Theo, 1995. Market underreaction to open-market share repurchase. Journal of Financial Economics 39, 181-208 Jason D. Mitchell, Grace V. Dharmawan, 2007. Incentives for on-market buy-back: Evidence from a transparent buy-back regime. Journal of Corporate Finance 13, 146-169. Jensen, Michael C, 1986. Agency costs of free-cash-flow, corporate finance, and takeovers. American Economic Review 76, 323-329. L.J. Wei, D. Y. Lin, 1989. Regression analysis of multivariate incomplete failure time data by modeling marginal distributions. Journal of American Statistic Association 84, 1065-1073 Lin, D. Y., and Wei, L. J., 1989. The robust inference for the Cox proportional hazards model. Journal of the American Statistical Association 84, 1074-1078 Lakonishkok, Josef, Sheleifer, Andrei, and Vishny Robert, 1994. Constrain investing, extrapolation and risk. Journal of Finance 49, 1541-78 Malcolm Baker and Jeffrey Wurgler, 2002. Market timing and capital structure. Journal of finance 57, 1-32. Miller, Merton H., and Franco Modigliani, 1961, Dividend policy, growth and the valuation of shares, Journal of Business 34, 411–433 Miller, Merton H., and Kevin Rock, 1985, Dividend policy under asymmetric information, Journal of Finance 40, 1031–1051. Nohel, Tom, and Vefa Tarhan, 1998. Share repurchases and firm performance: New evidence on the agency costs of free cash flow, Journal of Financial Economics 49, 187–222. Opler, T., Titman, S., 1993. The determinants of LBO activity: free cash flow versus financial distress costs. Journal of Finance 48 (5), 1985–1999. Opler, Tim and Titman, Sheridan, 1996. The debt-equity choice: An analysis of issuing firms. Working paper. Columbus: Ohio State University. Persons, J.C., 1997. Heterogeneous shareholders and signaling with share repurchases. Journal of Corporate Finance 3 (3), 221–249. Peña, E. A., Hollander, M., 2004. Models for recurrent events in reliability and survival analysis. Kluwer Academic Publishers, 105-123 (Chapter 6). Rosenberg, B., Kenneth, R., and Ronald, L., 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management 11, 9-17. Rondeau, V., Commenges, D., and Joly, P., 2003. Maximum penalized likelihood estimation in a gamma-frailty model. Lifetime Data Analysis 9, 139–153. Therneau, T. M., and Hamilton, S. A., 1997. rhDNase as an example of recurrent event analysis. Statistics in Medicine 16, 2029-2047. Therneau, T. M., and Grambsch, P. M., 2000. Modeling survival data: extending the Cox model. Vermaelen, Theo,1981. Common stock repurchases and market signaling: An empirical study, Journal of Financial Economics 9, 139–183. Vermaelen, Theo, 1984. Repurchase tender offers, signaling and managerial incentives, Journal of Financial and Quantitative Analysis 19, 163–181 Vermaelen, T., 1981. Common stock repurchases and market signaling: an empirical study. Journal of Financial Economics 9 (2), 139–183. 描述 碩士
國立政治大學
國際經營與貿易學系
95351023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095351023 資料類型 thesis dc.contributor.advisor 謝淑貞 zh_TW dc.contributor.advisor Shieh, Shwu Jane en_US dc.contributor.author (Authors) 許雯筑 zh_TW dc.contributor.author (Authors) Hsu, Wen Chu en_US dc.creator (作者) 許雯筑 zh_TW dc.creator (作者) Hsu, Wen Chu en_US dc.date (日期) 2008 en_US dc.date.accessioned 9-May-2016 11:26:19 (UTC+8) - dc.date.available 9-May-2016 11:26:19 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 11:26:19 (UTC+8) - dc.identifier (Other Identifiers) G0095351023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94659 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 95351023 zh_TW dc.description.abstract (摘要) 以往重複事件分析法主要用於醫學與科學領域，近來學者逐漸將其應用至經濟、商學、社會科學等領域，本篇論文採用重複事件分析法，分析S&P 500公司股票回購的行為，回顧過去學者對股票回購之研究，我們檢視公司執行股票回購的三大原因，根據我們的實證結果發現公司可能會以股票回購作為影響公司資本結構的工具，再者亦可能用以減低剩餘資金，然而，本篇論文的實證結果較不支持訊號發射理論。 zh_TW dc.description.abstract (摘要) In this study, we apply Cox proportional hazard model in recurrent event analysis, which usually used in medical and science studies, to analyze the determinants of the stock repurchase events of S&P 500 companies. We investigate three main incentives that companies conduct stock repurchase. The empirical results show that companies employ repurchase as a technique to alter capital structure. In addition, companies conduct stock repurchase to distribute excess capital. In contrast, there are little evidences to support signaling undervaluation. en_US dc.description.tableofcontents ABSTRACT 1 I. INTRODUCTION 4 II. LITERATURE REVIEW 6 2.1 EXCESS CAPITAL INCENTIVE 6 2.2 CAPITAL STRUCTURE INCENTIVE 7 2.3 INFORMATION SIGNALING INCENTIVE 8 III. METHODOLOGY 9 3.1 COX PROPORTIONAL HAZARD MODEL 9 3.1.1 Basic Model 9 3.1.2 WLW Model 11 3.1.3 Robust Variance 12 3.1.4 Frailty Effect 12 3.2 A GENERAL CLASS MODEL 13 3.2.1 The Model 13 3.2.2 Estimator of Parameters 15 3.3 DIAGNOSTICS 16 3.4 STOCK REPURCHASE ANALYSIS 17 IV. EMPIRICAL RESULTS 21 4.1 SAMPLE SELECTION AND DATA DESCRIPTION 21 4.2 MODEL ESTIMATIONS 22 4.3 HAZARD AND SURVIVAL FUNCTIONS 24 4.4 MODEL DIAGNOSTICS 25 V. CONCLUSION 33 REFERENCES 34 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095351023 en_US dc.subject (關鍵詞) 股票回購 zh_TW dc.subject (關鍵詞) 重複事件 zh_TW dc.subject (關鍵詞) Stock Repurchase en_US dc.subject (關鍵詞) Cox Proportional hazard Model en_US dc.title (題名) 以重複事件模型分析股票回購 zh_TW dc.title (題名) The Determinants of stock repurchse: cox proportional hazard model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Andersen et al., 1993. Statistical models based on counting process. Nework: springer-Verlag. Amy K. Dittmar, 2000. Why do firms repurchase stock? Journal of Business 73, 331-355. Bagwell, Laurie S., and Shoven, John B., 1988. Share repurchases and acquisitions: An analysis of which firms participate. In Alan J. Auerbach (ed.) corporate Takeovers: Causes and Consequences. Chicago: University of Chicago Press. Cox, D., 1972a. Regression models and life tables (with discussion), J. Roy. Statist. Soc.34. 187-220. Doukas, J., Kim, C., Pantzalis, C., 2000. Security analysis, agency costs, and company characteristics. Financial Analysts Journal 56 (6), 54–63. Edsel A. Peña et al., 2006. Semiparametric inference for a general class of models for recurrent events. Journal of Statistical planning and Inference 137, 1727-1747 Eddey, P.H., Lee, K.W., Taylor, S.L., 1996. What motivates going private? An analysis of Australian firms. Accounting and Finance 36 (1), 31–50. Fama, Eugene F., and French, Kenneth R, 1992. The cross section of expected stock returns. Journal of Finance 47, 427-465. Fama, E. F., and French K. R., 1995. Size and book-to-market factors in earnings and returns. The Journal of Finance 50, 131-155. Henock Louis, Hal White, 2007. Do managers intentionally use repurchase tender offers to signal private information? Evidence from firm financial reporting behavior. Journal of Financial Economics 85, 205-223 Hovakimain. A., 2004. The role of target leverage in security issues and repurchases. Journal of Business 77, 1041-1071. Haugen, Robert A., 1995 The new finance: The Case against Efficient Market. Englewood Cliffs, N. J.: Prentice Hall. Hougaard, P., 2000. Analysis of multivariate survival data. Hovakimain. A., Opler. T., Timan. S., 2001. The debt-equity choice. Journal of Financial and Quantitative Analysis 36, 1-24 Ikenberry, David, Lakonishok, Josef, and Vermaelen, Theo, 1995. Market underreaction to open-market share repurchase. Journal of Financial Economics 39, 181-208 Jason D. Mitchell, Grace V. Dharmawan, 2007. Incentives for on-market buy-back: Evidence from a transparent buy-back regime. Journal of Corporate Finance 13, 146-169. Jensen, Michael C, 1986. Agency costs of free-cash-flow, corporate finance, and takeovers. American Economic Review 76, 323-329. L.J. Wei, D. Y. Lin, 1989. Regression analysis of multivariate incomplete failure time data by modeling marginal distributions. Journal of American Statistic Association 84, 1065-1073 Lin, D. Y., and Wei, L. J., 1989. The robust inference for the Cox proportional hazards model. Journal of the American Statistical Association 84, 1074-1078 Lakonishkok, Josef, Sheleifer, Andrei, and Vishny Robert, 1994. Constrain investing, extrapolation and risk. Journal of Finance 49, 1541-78 Malcolm Baker and Jeffrey Wurgler, 2002. Market timing and capital structure. Journal of finance 57, 1-32. Miller, Merton H., and Franco Modigliani, 1961, Dividend policy, growth and the valuation of shares, Journal of Business 34, 411–433 Miller, Merton H., and Kevin Rock, 1985, Dividend policy under asymmetric information, Journal of Finance 40, 1031–1051. Nohel, Tom, and Vefa Tarhan, 1998. Share repurchases and firm performance: New evidence on the agency costs of free cash flow, Journal of Financial Economics 49, 187–222. Opler, T., Titman, S., 1993. The determinants of LBO activity: free cash flow versus financial distress costs. Journal of Finance 48 (5), 1985–1999. Opler, Tim and Titman, Sheridan, 1996. The debt-equity choice: An analysis of issuing firms. Working paper. Columbus: Ohio State University. Persons, J.C., 1997. Heterogeneous shareholders and signaling with share repurchases. Journal of Corporate Finance 3 (3), 221–249. Peña, E. A., Hollander, M., 2004. Models for recurrent events in reliability and survival analysis. Kluwer Academic Publishers, 105-123 (Chapter 6). Rosenberg, B., Kenneth, R., and Ronald, L., 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management 11, 9-17. Rondeau, V., Commenges, D., and Joly, P., 2003. Maximum penalized likelihood estimation in a gamma-frailty model. Lifetime Data Analysis 9, 139–153. Therneau, T. M., and Hamilton, S. A., 1997. rhDNase as an example of recurrent event analysis. Statistics in Medicine 16, 2029-2047. Therneau, T. M., and Grambsch, P. M., 2000. Modeling survival data: extending the Cox model. Vermaelen, Theo,1981. Common stock repurchases and market signaling: An empirical study, Journal of Financial Economics 9, 139–183. Vermaelen, Theo, 1984. Repurchase tender offers, signaling and managerial incentives, Journal of Financial and Quantitative Analysis 19, 163–181 Vermaelen, T., 1981. Common stock repurchases and market signaling: an empirical study. Journal of Financial Economics 9 (2), 139–183. zh_TW
