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題名 國內上市公司庫藏股買回宣告效果及其影響因素之研究
The Announcement Effect of the Stock Repurchases and Its Determinants作者 胡逸如
Hu, Yi-Ju貢獻者 鄭宇庭
Cheng, Yu-Ting
胡逸如
Hu, Yi-Ju關鍵詞 庫藏股宣告效果
事件研究法
累積異常報酬
代理問題
自由現金流量假說
Stock repurchase announcements effect
Event study methodology
Cumulative Abnormal Return
Agency problems
Free Cash Flow Hypothesis日期 2019 上傳時間 7-Aug-2019 17:12:25 (UTC+8) 摘要 本文係以2016年至2019年上市公司為研究樣本，以事件研究法探討國內上市公司宣告庫藏股買回對公司股價之宣告效應，研究目的除了驗證庫藏股買回宣告效果外，更藉由公司特性、主要關係人與庫藏股執行三構面檢視變數差異與對宣告效果之影響，給予利害關係人如政府、市場投資人、企業相關建議。實證結果發現上市公司宣告庫藏股買回後股價有顯著正向累積異常報酬。企業三構面各變數中，股價淨值比愈低、本益比愈高、現金資產比愈高，其宣告庫藏股後正向累積異常報酬愈高。股價淨值比低且每股盈餘低、負債比率高且現金資產比與申請金額佔流動資產比率較小、宣告前董監事合計質押比率高且負債比率較高現金資產比小之企業較容易有濫用庫藏股政策之代理問題。當宣告前董監事合計持股比率高之樣本公司，董監事更審慎使用庫藏股政策。企業若現金資產比高且負債比率與宣告前董監事合計質押比率、買回次數皆低之狀況下，實施庫藏股買回市場反應為正向，支持自由現金流量假說。
In this paper we empirically examine the effect of stock repurchase announcements on short-term stock return through event study methodology. The study is conducted on a sample of 206 public listed firms in Taiwan that announced open‐market stock repurchases from May 31th 2016 to June 1st 2019. Results show that stock repurchase announcements have a significant effect on stock return. Firms with lower PB ratio, lower PE ratio or higher cash-assets ratio earn more significant excess returns. The possibility of stock repurchase agency problems is higher while firms has low PB ratio with low EPS, high debt ratio with low cash-assets and announcement amount, high director equity pledge ratio and debt ratio with low cash-assets ratio. High director equity shareholding ratio represents sophisticated decision making on stock repurchase. In addition, the announcement effect is positive while company has high cash-assets ratio with low debt ratio, director equity pledge ratio and buyback frequency, which supports Free Cash Flow Hypothesis.參考文獻 參考文獻一、中文部分吳明政 & 王南喻. （2006）. 從獲取交換價值觀點檢視台灣上市公司庫藏股之購回效應. 台灣金融財務季刊, 7（3）, 35-51.沈中華 & 李建然. （2000）. 事件研究法: 財務與會計實證研究必備: 華泰文化.林卓民，王凱立 & 吳宗保. （2005）. 台灣上市公司購回庫藏股目的決定因素-多元名義分對數模型之應用. 台灣管理學刊, 5（2）, 339-360.郭敏華, & 洪舒雯. （2003）. 內部人持股變動與庫藏股宣告效果. 台灣金融財務季刊, 4（2）, 81-102.蔡柳卿 & 郭法雲. （2004）. 我國庫藏股制度之實證研究: 資訊效果與資訊傳遞動機. 會計評論（38）, 81-112.二、英文部分Almeida, H., Fos, V. & Kronlund, M. （2016）. The real effects of share repurchases. Journal of financial economics, 119（1）, 168-185.Bagwell, L. S. （1991）. Share repurchase and takeover deterrence. The Rand journal of economics, 72-88.Bagwell, L. S. & Shoven, J. B. （1988）. Share repurchases and acquisitions: An analysis of which firms participate. In Corporate takeovers: Causes and consequences （pp. 191-220）: University of Chicago Press.Barth, M. E. & Kasznik, R. （1999）. Share repurchases and intangible assets. Journal of Accounting Economics, 28（2）, 211-241.Comment, R. & Jarrell, G. （1991）. The relative signalling power of Dutch‐auction and fixed‐price self‐tender offers and open‐market share repurchases. 46（4）, 1243-1271.Dann, L. Y. （1981）. Common stock repurchases: An analysis of returns to bondholders and stockholders. Journal of financial economics, 9（2）, 113-138.Dittmar, A. K. （2000）. Why do firms repurchase stock. The Journal of Business, 73（3）, 331-355.Fama, E. （1998）. Market efficiency, long-term returns, and behavioral finance. Journal of financial economics, 49（3）, 283-306.Green, R. C. & Hollifield, B. （2003）. The personal-tax advantages of equity. Journal of Financial Economics, 67（2）, 175-216.Grullon, G. & Ikenberry, D. L. （2000）. What do we know about stock repurchases? Journal of Applied Corporate Finance, 13（1）, 31-51.Ikenberry, D., Lakonishok, J. & Vermaelen, T. （1995）. Market underreaction to open market share repurchases. Journal of financial economics, 39（2-3）, 181-208.Jagannathan, M. & Stephens, C. （2003）. Motives for multiple open-market repurchase programs. Financial management, 71-91.Jensen, M. C. （1986）. Agency costs of free cash flow, corporate finance, and takeovers. The American economic review, 76（2）, 323-329.Liu, C. S. & Ziebart, D. A. （1997）. Stock Returns and Open‐Market Stock Repurchase Announcements. 32（4）, 709-728.Masulis, R. W. （1980）. Stock repurchase by tender offer: An analysis of the causes of common stock price changes. The Journal of Finance, 35（2）, 305-319.Patell, J. M. （1976）. Corporate forecasts of earnings per share and stock price behavior: Empirical test. 246-276.Peterson, P. & economics. （1989）. Event studies: A review of issues and methodology. Quarterly journal of business, 36-66.Raad, E. & Wu, H. （1995）. Insider trading effects on stock returns around open‐market stock repurchase announcements: An empirical study. Journal of Financial Research, 18（1）, 45-57.Sinha, S. （1991）. Share repurchase as a takeover defense. Journal of FinancialQuantitative Analysis, 26（2）, 233-244.Stephens, C. P. & Weisbach, M. S. （1998）. Actual share reacquisitions in open‐market repurchase programs. The Journal of Finance, 53（1）, 313-333.Vermaelen, T. J. （1981）. Common stock repurchases and market signalling: An empirical study. Journal of financial economics, 9（2）, 139-183.Zhang, H. （2005）. Share price performance following actual share repurchases. 29（7）, 1887-1901. 描述 碩士
國立政治大學
企業管理研究所(MBA學位學程)
106363065資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106363065 資料類型 thesis dc.contributor.advisor 鄭宇庭 zh_TW dc.contributor.advisor Cheng, Yu-Ting en_US dc.contributor.author (Authors) 胡逸如 zh_TW dc.contributor.author (Authors) Hu, Yi-Ju en_US dc.creator (作者) 胡逸如 zh_TW dc.creator (作者) Hu, Yi-Ju en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 17:12:25 (UTC+8) - dc.date.available 7-Aug-2019 17:12:25 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 17:12:25 (UTC+8) - dc.identifier (Other Identifiers) G0106363065 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/125062 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 企業管理研究所(MBA學位學程) zh_TW dc.description (描述) 106363065 zh_TW dc.description.abstract (摘要) 本文係以2016年至2019年上市公司為研究樣本，以事件研究法探討國內上市公司宣告庫藏股買回對公司股價之宣告效應，研究目的除了驗證庫藏股買回宣告效果外，更藉由公司特性、主要關係人與庫藏股執行三構面檢視變數差異與對宣告效果之影響，給予利害關係人如政府、市場投資人、企業相關建議。實證結果發現上市公司宣告庫藏股買回後股價有顯著正向累積異常報酬。企業三構面各變數中，股價淨值比愈低、本益比愈高、現金資產比愈高，其宣告庫藏股後正向累積異常報酬愈高。股價淨值比低且每股盈餘低、負債比率高且現金資產比與申請金額佔流動資產比率較小、宣告前董監事合計質押比率高且負債比率較高現金資產比小之企業較容易有濫用庫藏股政策之代理問題。當宣告前董監事合計持股比率高之樣本公司，董監事更審慎使用庫藏股政策。企業若現金資產比高且負債比率與宣告前董監事合計質押比率、買回次數皆低之狀況下，實施庫藏股買回市場反應為正向，支持自由現金流量假說。 zh_TW dc.description.abstract (摘要) In this paper we empirically examine the effect of stock repurchase announcements on short-term stock return through event study methodology. The study is conducted on a sample of 206 public listed firms in Taiwan that announced open‐market stock repurchases from May 31th 2016 to June 1st 2019. Results show that stock repurchase announcements have a significant effect on stock return. Firms with lower PB ratio, lower PE ratio or higher cash-assets ratio earn more significant excess returns. The possibility of stock repurchase agency problems is higher while firms has low PB ratio with low EPS, high debt ratio with low cash-assets and announcement amount, high director equity pledge ratio and debt ratio with low cash-assets ratio. High director equity shareholding ratio represents sophisticated decision making on stock repurchase. In addition, the announcement effect is positive while company has high cash-assets ratio with low debt ratio, director equity pledge ratio and buyback frequency, which supports Free Cash Flow Hypothesis. en_US dc.description.tableofcontents 目錄第壹章 緒論 1第一節 研究背景 1第二節 研究動機與目的 2第三節 研究流程 3第貳章 文獻探討與回顧 5第一節 庫藏股制度立法背景與目的 5第二節 企業實施庫藏目的與效果 7第參章 研究方法與設計 12第一節 研究期間與樣本選擇 12第二節 研究架構 12第三節 操作性變數定義 13第四節 研究方法 15第肆章 實證結果與分析 23第一節 樣本敘述性統計 23第二節 事件研究分析結果 26第三節 三大構面變數的差異檢定 28第四節 迴歸分析結果 38第伍章 研究結論與建議 40第一節 研究結論與建議 40第二節 研究限制與未來研究建議 41參考文獻 43 zh_TW dc.format.extent 1009973 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106363065 en_US dc.subject (關鍵詞) 庫藏股宣告效果 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) 累積異常報酬 zh_TW dc.subject (關鍵詞) 代理問題 zh_TW dc.subject (關鍵詞) 自由現金流量假說 zh_TW dc.subject (關鍵詞) Stock repurchase announcements effect en_US dc.subject (關鍵詞) Event study methodology en_US dc.subject (關鍵詞) Cumulative Abnormal Return en_US dc.subject (關鍵詞) Agency problems en_US dc.subject (關鍵詞) Free Cash Flow Hypothesis en_US dc.title (題名) 國內上市公司庫藏股買回宣告效果及其影響因素之研究 zh_TW dc.title (題名) The Announcement Effect of the Stock Repurchases and Its Determinants en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻一、中文部分吳明政 & 王南喻. （2006）. 從獲取交換價值觀點檢視台灣上市公司庫藏股之購回效應. 台灣金融財務季刊, 7（3）, 35-51.沈中華 & 李建然. （2000）. 事件研究法: 財務與會計實證研究必備: 華泰文化.林卓民，王凱立 & 吳宗保. （2005）. 台灣上市公司購回庫藏股目的決定因素-多元名義分對數模型之應用. 台灣管理學刊, 5（2）, 339-360.郭敏華, & 洪舒雯. （2003）. 內部人持股變動與庫藏股宣告效果. 台灣金融財務季刊, 4（2）, 81-102.蔡柳卿 & 郭法雲. （2004）. 我國庫藏股制度之實證研究: 資訊效果與資訊傳遞動機. 會計評論（38）, 81-112.二、英文部分Almeida, H., Fos, V. & Kronlund, M. （2016）. The real effects of share repurchases. Journal of financial economics, 119（1）, 168-185.Bagwell, L. S. （1991）. Share repurchase and takeover deterrence. The Rand journal of economics, 72-88.Bagwell, L. S. & Shoven, J. B. （1988）. Share repurchases and acquisitions: An analysis of which firms participate. In Corporate takeovers: Causes and consequences （pp. 191-220）: University of Chicago Press.Barth, M. E. & Kasznik, R. （1999）. Share repurchases and intangible assets. Journal of Accounting Economics, 28（2）, 211-241.Comment, R. & Jarrell, G. （1991）. The relative signalling power of Dutch‐auction and fixed‐price self‐tender offers and open‐market share repurchases. 46（4）, 1243-1271.Dann, L. Y. （1981）. Common stock repurchases: An analysis of returns to bondholders and stockholders. Journal of financial economics, 9（2）, 113-138.Dittmar, A. K. （2000）. Why do firms repurchase stock. The Journal of Business, 73（3）, 331-355.Fama, E. （1998）. Market efficiency, long-term returns, and behavioral finance. Journal of financial economics, 49（3）, 283-306.Green, R. C. & Hollifield, B. （2003）. The personal-tax advantages of equity. Journal of Financial Economics, 67（2）, 175-216.Grullon, G. & Ikenberry, D. L. （2000）. What do we know about stock repurchases? Journal of Applied Corporate Finance, 13（1）, 31-51.Ikenberry, D., Lakonishok, J. & Vermaelen, T. （1995）. Market underreaction to open market share repurchases. Journal of financial economics, 39（2-3）, 181-208.Jagannathan, M. & Stephens, C. （2003）. Motives for multiple open-market repurchase programs. Financial management, 71-91.Jensen, M. C. （1986）. Agency costs of free cash flow, corporate finance, and takeovers. The American economic review, 76（2）, 323-329.Liu, C. S. & Ziebart, D. A. （1997）. Stock Returns and Open‐Market Stock Repurchase Announcements. 32（4）, 709-728.Masulis, R. W. （1980）. Stock repurchase by tender offer: An analysis of the causes of common stock price changes. The Journal of Finance, 35（2）, 305-319.Patell, J. M. （1976）. Corporate forecasts of earnings per share and stock price behavior: Empirical test. 246-276.Peterson, P. & economics. （1989）. Event studies: A review of issues and methodology. Quarterly journal of business, 36-66.Raad, E. & Wu, H. （1995）. Insider trading effects on stock returns around open‐market stock repurchase announcements: An empirical study. Journal of Financial Research, 18（1）, 45-57.Sinha, S. （1991）. Share repurchase as a takeover defense. Journal of FinancialQuantitative Analysis, 26（2）, 233-244.Stephens, C. P. & Weisbach, M. S. （1998）. Actual share reacquisitions in open‐market repurchase programs. The Journal of Finance, 53（1）, 313-333.Vermaelen, T. J. （1981）. Common stock repurchases and market signalling: An empirical study. Journal of financial economics, 9（2）, 139-183.Zhang, H. （2005）. Share price performance following actual share repurchases. 29（7）, 1887-1901. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900186 en_US
