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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-Chihen_US
dc.contributor.author (Authors) 黃天瑜zh_TW
dc.contributor.author (Authors) Huang, Tien-Yuen_US
dc.creator (作者) 黃天瑜zh_TW
dc.creator (作者) Huang, Tien-Yuen_US
dc.date (日期) 2023en_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) G0110357017en_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) 110357017zh_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/#G0110357017en_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 modelen_US
dc.subject (關鍵詞) Capital reduction by stock repurchasesen_US
dc.subject (關鍵詞) Cash refund capital reductionen_US
dc.subject (關鍵詞) Capital reduction to write off accumulated lossesen_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 Modelen_US
dc.type (資料類型) thesisen_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