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題名 不同減資事件前後的股價內涵資訊－ 股票報酬分解模型之應用
Implications of Stock Price Information Surrounding Capital Reduction Events: An Application of Stock Return Decomposition Model作者 黃天瑜
Huang, Tien-Yu貢獻者 盧敬植
Lu, Ching-Chih
黃天瑜
Huang, Tien-Yu關鍵詞 股票報酬分解模型
庫藏股減資
現金減資
彌補虧損減資
Stock return decomposition model
Capital reduction by stock repurchases
Cash refund capital reduction
Capital reduction to write off accumulated losses日期 2023 上傳時間 6-Jul-2023 17:00:34 (UTC+8) 摘要 本研究透過Vuolteenaho(2002)的股票報酬分解模型，發現公司在實施不同減資事件前後各有不同的股價內涵資訊。首先，在公司實施減資前一年的股價內涵資訊中，庫藏股減資與彌補虧損減資均具有顯著為正的預期報酬訊息與顯著為負的現金流量訊息，現金減資則為顯著為正的現金流量訊息。再者，公司實施不同減資事件後的宣告效果對股價內涵資訊之影響，庫藏股減資可使公司現金流量訊息在短期一年間大幅提高，並且使公司的預期報酬訊息長期維持較低水平；現金減資則是在短期一年內使公司預期報酬訊息大幅下降，長期則使現金流量訊息平均數與變異數均大幅下降；彌補虧損減資在減資後三年間使公司的預期報酬訊息與現金流量訊息均呈現增加之趨勢。
This study employs Vuolteenaho (2002) stock return decomposition model to examine the information content of stock prices before and after different capital reduction events. It found that prior to the capital reduction, both capital reduction by stock repurchases and capital reduction to write off accumulated losses had significant positive expected return news and significant negative cash-flow news in their stock price implications. Cash refund capital reduction had significant positive cash-flow news. Furthermore, the announcement effects of different capital reduction events had varying impacts on the information content of stock prices. Capital reduction by stock repurchases significantly increased the short-term cash-flow news within one year and maintained lower levels of expected return news in the long term. Cash refund capital reduction resulted in a significant decline in expected return news within one year, and a substantial decrease in both the average and variance of cash-flow news in the long term. Capital reduction to write off accumulated losses showed an increasing trend in both expected return and cash-flow news over the three years following the reduction.參考文獻 中文文獻1. 王瑪如, & 蕭君宇. (2013). 彌補虧損減資、現金減資與庫藏股減資之市場宣告效果. 會計評論, 57 卷, 頁105-135.2. 林有志, & 陳筱平. (2011). 現金減資之宣告效果. 當代會計, 12 卷(1 期), 頁31-56.3. 邱繼毅. (2004). 我國上市櫃公司減資行為之資訊內涵實證研究. (未出版之碩士論文). 國立中正大學, 嘉義縣.4. 施念恕. (2009). 減資選擇之決定因素與經營績效. (未出版之博士論文). 國立成功大學, 台南市.5. 張竹萱, 盧德康, & 林修葳. (2011). 彌補虧損減資與企業長期發展：南亞科技之個案研究. 東吳經濟商學學報, 頁83-117.6. 曾建達. (2005). 實施庫藏股對股價長期績效之影響. (未出版之碩士論文).國立交通大學, 新竹市.7. 鄭桂蕙. (2005). 庫藏股買回對股利發放之影響. 會計評論, 41 卷, 頁77-101.8. 魏慧珊, 洪韻雅, & 張牧依. (2017). 彌補虧損減資與營運績效. 南臺學報社會科學類, 2 卷(1 期), 頁25-40.英文文獻1. Bartov, E. (1991). Open-market stock repurchases as signals for earnings and risk changes. Journal of Accounting and Economics, 14(3), 275-294.2. Benartzi, S., Michaely, R., & Thaler, R. (1997). Do changes in dividends signal the future or the past? The Journal of Finance, 52(3), 1007-1034.3. Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal investment, growth options, and security returns. The Journal of Finance, 54(5), 1553-1607.4. Campbell, J. Y. (1991). A variance decomposition for stock returns. The economic journal, 101(405), 157-179.5. Cho, H., & Choi, S. (2015). what drives credit rating changes? A return decomposition approach. Asia‐Pacific Journal of Financial Studies, 44(6), 899- 931.6. Dann, L. Y. (1981). Common stock repurchases: An analysis of returns to bondholders and stockholders. Journal of financial Economics, 9(2), 113-138.7. Dann, L. Y., Masulis, R. W., & Mayers, D. (1991). Repurchase tender offers and earnings information. Journal of Accounting and Economics, 14(3), 217-251.8. Dittmar, A. K. (2000). Why do firms repurchase stock. The journal of Business, 73(3), 331-355.9. Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. The American economic review, 74(4), 650-659.10. Eisdorfer, A. (2007). The importance of cash‐flow news for financially distressed firms. Financial Management, 36(3), 33-48.11. Grullon, G., Michaely, R., & Swaminathan, B. (2002). Are dividend changes a sign of firm maturity? The journal of Business, 75(3), 387-424.12. Grullon, G., & Michaely, R. (2004). The information content of share repurchase programs. The Journal of Finance, 59(2), 651-680.13. Grullon, G., Michaely, R., Benartzi, S., & Thaler, R. H. (2005). Dividend changes do not signal changes in future profitability. The journal of Business, 78(5), 1659-1682.14. Hertzel, M., & Jain, P. C. (1991). Earnings and risk changes around stock repurchase tender offers. Journal of Accounting and Economics, 14(3), 253-274.15. Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of financial Economics, 39(2-3), 181-208.16. Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The American economic review, 76(2), 323-329.17. Kahle, K. M. (2002). When a buyback isn’ta buyback: Open market repurchases and employee options. Journal of financial Economics, 63(2), 235-261.18. Lie, E. (2005). Operating performance following open market share repurchase announcements. Journal of Accounting and Economics, 39(3), 411-436.19. Michaely, R., Rossi, S., & Weber, M. (2021). Signaling safety. Journal of financial Economics, 139(2), 405-427.20. Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The journal of Business, 34(4), 411-433.21. Miller, M. H., & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031-1051.22. Nissim, D., & Ziv, A. (2001). Dividend changes and future profitability. The Journal of Finance, 56(6), 2111-2133.23. Shao, J., & Rao, J. (1993). Jackknife inference for heteroscedastic linear regression models. Canadian Journal of Statistics, 21(4), 377-395.24. Trigeorgis, L. (1996). Real options: Managerial flexibility and strategy in resource allocation: MIT press.25. Vermaelen, T. (1981). Common stock repurchases and market signalling: An empirical study. Journal of financial Economics, 9(2), 139-183.26. Vuolteenaho, T. (2002). What drives firm‐level stock returns? The Journal of Finance, 57(1), 233-264.27. Wansley, J. W., Lane, W. R., & Sarkar, S. (1989). Managements` view on share repurchase and tender offer premiums. Financial Management, 97-110. 描述 碩士
國立政治大學
財務管理學系
110357017資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357017 資料類型 thesis dc.contributor.advisor 盧敬植 zh_TW dc.contributor.advisor Lu, Ching-Chih en_US dc.contributor.author (Authors) 黃天瑜 zh_TW dc.contributor.author (Authors) Huang, Tien-Yu en_US dc.creator (作者) 黃天瑜 zh_TW dc.creator (作者) Huang, Tien-Yu en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 17:00:34 (UTC+8) - dc.date.available 6-Jul-2023 17:00:34 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 17:00:34 (UTC+8) - dc.identifier (Other Identifiers) G0110357017 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145922 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 110357017 zh_TW dc.description.abstract (摘要) 本研究透過Vuolteenaho(2002)的股票報酬分解模型，發現公司在實施不同減資事件前後各有不同的股價內涵資訊。首先，在公司實施減資前一年的股價內涵資訊中，庫藏股減資與彌補虧損減資均具有顯著為正的預期報酬訊息與顯著為負的現金流量訊息，現金減資則為顯著為正的現金流量訊息。再者，公司實施不同減資事件後的宣告效果對股價內涵資訊之影響，庫藏股減資可使公司現金流量訊息在短期一年間大幅提高，並且使公司的預期報酬訊息長期維持較低水平；現金減資則是在短期一年內使公司預期報酬訊息大幅下降，長期則使現金流量訊息平均數與變異數均大幅下降；彌補虧損減資在減資後三年間使公司的預期報酬訊息與現金流量訊息均呈現增加之趨勢。 zh_TW dc.description.abstract (摘要) This study employs Vuolteenaho (2002) stock return decomposition model to examine the information content of stock prices before and after different capital reduction events. It found that prior to the capital reduction, both capital reduction by stock repurchases and capital reduction to write off accumulated losses had significant positive expected return news and significant negative cash-flow news in their stock price implications. Cash refund capital reduction had significant positive cash-flow news. Furthermore, the announcement effects of different capital reduction events had varying impacts on the information content of stock prices. Capital reduction by stock repurchases significantly increased the short-term cash-flow news within one year and maintained lower levels of expected return news in the long term. Cash refund capital reduction resulted in a significant decline in expected return news within one year, and a substantial decrease in both the average and variance of cash-flow news in the long term. Capital reduction to write off accumulated losses showed an increasing trend in both expected return and cash-flow news over the three years following the reduction. en_US dc.description.tableofcontents 第一章 緒論 8第一節 研究背景與動機 8第二節 研究流程 10第二章 文獻探討 12第一節 公司股票報酬分解 12第二節 公司減資相關假說 13第三節 公司減資前後的經營績效與風險變化 15第三章 研究方法 19第一節 研究假說 19第二節 實證方法 24第三節 樣本資料來源 31第四節 樣本敘述統計 35第四章 實證結果 40第一節 多元羅吉斯迴歸模型分析 40第二節 公司減資之宣告效果 44第五章 結論與建議 49第一節 研究結論 49第二節 研究建議 51參考文獻 52中文文獻 52英文文獻 53附錄 55附錄A：折現因子估計 55 zh_TW dc.format.extent 706804 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357017 en_US dc.subject (關鍵詞) 股票報酬分解模型 zh_TW dc.subject (關鍵詞) 庫藏股減資 zh_TW dc.subject (關鍵詞) 現金減資 zh_TW dc.subject (關鍵詞) 彌補虧損減資 zh_TW dc.subject (關鍵詞) Stock return decomposition model en_US dc.subject (關鍵詞) Capital reduction by stock repurchases en_US dc.subject (關鍵詞) Cash refund capital reduction en_US dc.subject (關鍵詞) Capital reduction to write off accumulated losses en_US dc.title (題名) 不同減資事件前後的股價內涵資訊－ 股票報酬分解模型之應用 zh_TW dc.title (題名) Implications of Stock Price Information Surrounding Capital Reduction Events: An Application of Stock Return Decomposition Model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文文獻1. 王瑪如, & 蕭君宇. (2013). 彌補虧損減資、現金減資與庫藏股減資之市場宣告效果. 會計評論, 57 卷, 頁105-135.2. 林有志, & 陳筱平. (2011). 現金減資之宣告效果. 當代會計, 12 卷(1 期), 頁31-56.3. 邱繼毅. (2004). 我國上市櫃公司減資行為之資訊內涵實證研究. (未出版之碩士論文). 國立中正大學, 嘉義縣.4. 施念恕. (2009). 減資選擇之決定因素與經營績效. (未出版之博士論文). 國立成功大學, 台南市.5. 張竹萱, 盧德康, & 林修葳. (2011). 彌補虧損減資與企業長期發展：南亞科技之個案研究. 東吳經濟商學學報, 頁83-117.6. 曾建達. (2005). 實施庫藏股對股價長期績效之影響. (未出版之碩士論文).國立交通大學, 新竹市.7. 鄭桂蕙. (2005). 庫藏股買回對股利發放之影響. 會計評論, 41 卷, 頁77-101.8. 魏慧珊, 洪韻雅, & 張牧依. (2017). 彌補虧損減資與營運績效. 南臺學報社會科學類, 2 卷(1 期), 頁25-40.英文文獻1. Bartov, E. (1991). Open-market stock repurchases as signals for earnings and risk changes. Journal of Accounting and Economics, 14(3), 275-294.2. Benartzi, S., Michaely, R., & Thaler, R. (1997). Do changes in dividends signal the future or the past? The Journal of Finance, 52(3), 1007-1034.3. Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal investment, growth options, and security returns. The Journal of Finance, 54(5), 1553-1607.4. Campbell, J. Y. (1991). A variance decomposition for stock returns. The economic journal, 101(405), 157-179.5. Cho, H., & Choi, S. (2015). what drives credit rating changes? A return decomposition approach. Asia‐Pacific Journal of Financial Studies, 44(6), 899- 931.6. Dann, L. Y. (1981). Common stock repurchases: An analysis of returns to bondholders and stockholders. Journal of financial Economics, 9(2), 113-138.7. Dann, L. Y., Masulis, R. W., & Mayers, D. (1991). Repurchase tender offers and earnings information. Journal of Accounting and Economics, 14(3), 217-251.8. Dittmar, A. K. (2000). Why do firms repurchase stock. The journal of Business, 73(3), 331-355.9. Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. The American economic review, 74(4), 650-659.10. Eisdorfer, A. (2007). The importance of cash‐flow news for financially distressed firms. Financial Management, 36(3), 33-48.11. Grullon, G., Michaely, R., & Swaminathan, B. (2002). Are dividend changes a sign of firm maturity? The journal of Business, 75(3), 387-424.12. Grullon, G., & Michaely, R. (2004). The information content of share repurchase programs. The Journal of Finance, 59(2), 651-680.13. Grullon, G., Michaely, R., Benartzi, S., & Thaler, R. H. (2005). Dividend changes do not signal changes in future profitability. The journal of Business, 78(5), 1659-1682.14. Hertzel, M., & Jain, P. C. (1991). Earnings and risk changes around stock repurchase tender offers. Journal of Accounting and Economics, 14(3), 253-274.15. Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of financial Economics, 39(2-3), 181-208.16. Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The American economic review, 76(2), 323-329.17. Kahle, K. M. (2002). When a buyback isn’ta buyback: Open market repurchases and employee options. Journal of financial Economics, 63(2), 235-261.18. Lie, E. (2005). Operating performance following open market share repurchase announcements. Journal of Accounting and Economics, 39(3), 411-436.19. Michaely, R., Rossi, S., & Weber, M. (2021). Signaling safety. Journal of financial Economics, 139(2), 405-427.20. Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The journal of Business, 34(4), 411-433.21. Miller, M. H., & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031-1051.22. Nissim, D., & Ziv, A. (2001). Dividend changes and future profitability. The Journal of Finance, 56(6), 2111-2133.23. Shao, J., & Rao, J. (1993). Jackknife inference for heteroscedastic linear regression models. Canadian Journal of Statistics, 21(4), 377-395.24. Trigeorgis, L. (1996). Real options: Managerial flexibility and strategy in resource allocation: MIT press.25. Vermaelen, T. (1981). Common stock repurchases and market signalling: An empirical study. Journal of financial Economics, 9(2), 139-183.26. Vuolteenaho, T. (2002). What drives firm‐level stock returns? The Journal of Finance, 57(1), 233-264.27. Wansley, J. W., Lane, W. R., & Sarkar, S. (1989). Managements` view on share repurchase and tender offer premiums. Financial Management, 97-110. zh_TW
