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題名 價格資訊性與公司回購決策對股價的敏感度
Price Informativeness and Share Repurchases Sensitivity to Stock Price
作者 徐緯澔
Hsu, Wei-Hao
貢獻者 湛可南
Chan, Konan
徐緯澔
Hsu, Wei-Hao
關鍵詞 股價資訊性
股票回購
管理者學習
Tobin’s Q
投資機會
支付政策
Stock Price Informativeness
Share Repurchases
Managerial Learning
Tobin’s Q
Investment Opportunities
Payout Policy
日期 2025
上傳時間 1-Sep-2025 16:37:02 (UTC+8)
摘要 本研究探討管理者在制定股票回購決策時，是否會納入股價中所蘊含的私人資訊。本文以Tobin’s Q 作為基於股價的訊號，檢驗股票回購對股價的敏感度是否會隨股價資訊性（Stock Price Informativeness, SPI）提高而增強。並進一步分析，較高的股價資訊性是否降低企業對內部現金流訊號的依賴，以及此學習效果是否在大型企業中更為顯著。 基於1994年至2024年間美國上市公司之面板資料，實證結果支持上述假說：（i）當股價資訊性較高時，股票回購與Tobin’s Q的負向關係顯著更強，顯示管理者會從股價中學習市場所揭示的新投資機會資訊，並據以調整股票回購決策；（ii）股價資訊性的提升亦降低企業對自由現金流訊號的依賴；（iii）大型企業的管理者學習效果更為明顯。主要結論經由Fama–MacBeth橫斷面估計與Logit模型之檢驗下仍具穩健性。 本研究的主要貢獻在於將管理者學習理論文獻延伸至股票回購決策，並提供一個以資訊條件為基礎的分配與投資機會關係之觀點。
This study examines whether managers incorporate private information from stock prices when setting share repurchase policy. Using Tobin’s Q as the price-based signal, we test whether higher stock price informativeness (SPI) strengthens the sensitivity of share repurchases to stock price. We also assess whether SPI reduces reliance on internal cash flow signal and whether the learning effect is stronger for larger firms. Panel evidence for U.S. public firms from 1994 to 2024 supports these predictions: (i) the negative relation between repurchases and Tobin’s Q is significantly stronger when SPI is high, demonstrating that managers learn from stock prices about newly revealed investment opportunities and adjust share repurchase decisions accordingly; (ii) managers place less weight on free cash flow in price information-rich settings; (iii) and the moderating role of SPI is more pronounced among large firms. Main results are robust to standard specification checks, including Fama–MacBeth estimates and a logit specification for repurchase incidence. The primary contribution of this study is to extend the managerial learning literature to share repurchase decisions and to provide an information-conditioned view of the relation between payout and investment opportunities.
參考文獻 Asker, J., Farre-Mensa, J., & Ljungqvist, A. (2015). Corporate investment and stock market listing: A puzzle? Review of Financial Studies, 28(2), 342-390. Bai, J., Philippon, T., & Savov, A. (2017). Have financial markets become more informative? Journal of Financial Economics, 122(3), 625-654. Ben-Nasr, H., & Alshwer, A. A. (2016). Does stock price informativeness affect labor investment efficiency? Journal of Corporate Finance, 38, 249-271. Bonaimé, A. A., Hankins, K. W., & Harford, J. (2020). Employee Stock Option Grants and Share Repurchases. Journal of Finance, 75(5), 2563–2608. Brav, A., Graham, J. R., Harvey, C. R., & Michaely, R. (2005). Payout policy in the 21st century. Journal of Financial Economics, 77(3), 483-527. Chan, K., & Chan, Y. K. (2014). Price informativeness and stock returns: Evidence from seasoned equity offerings. Journal of Financial Economics, 114(3), 501–519. Chen, Q., Goldstein, I., & Jiang, W. (2007). Price Informativeness and Investment Sensitivity to Stock Price. Review of Financial Studies, 20(3), 619–650. De Cesari, A., & Huang-Meier, W. (2015). Dividend changes and stock price informativeness. Journal of Corporate Finance, 35, 187-204. Dittmar, A. K. (2000). Why do firms repurchase stock? The Journal of Business, 73(3), 331–355. Durnev, A., Morck, R., Yeung, B., & Zarowin, P. (2003). Does greater firm-specific return variation mean more or less informed stock pricing? Journal of Accounting Research, 41(5), 797-836. Durnev, A., Morck, R., & Yeung, B. (2004). Value-enhancing capital budgeting and firm-specific stock return variation. Journal of Finance, 59(1), 65-105. Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. American Economic Review, 74(4), 650-659. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. Fama, E. F., & French, K. R. (2001). Disappearing dividends: changing firm characteristics or lower propensity to pay? Journal of Financial Economics, 60(1), 3-43. Farre-Mensa, J., Michaely, R., & Schmalz, M. C. (2014). Payout Policy. Annual Review of Financial Economics, 6, 75-134. Faulkender, M., & Wang, R. (2006). Corporate financial policy and the value of cash. Journal of Finance, 61(4), 1957-1990. Ferreira, D., Ferreira, M. A., & Raposo, C. C. (2011). Board structure and price informativeness. Journal of Financial Economics, 99(3), 523–545. Fresard, L. (2012). Cash holdings and stock price informativeness. Journal of Finance, 67(3), 985-1023. French, K. R., & Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics, 17(1), 5-26. Grullon, G., Paye, B., Underwood, S., & Weston, J. P. (2011). Has the propensity to pay out declined? Journal of Financial and Quantitative Analysis, 46(1), 1–24. Gutiérrez, G., & Philippon, T. (2016). Investment-less growth: An empirical investigation (NBER Working Paper No. 22897). National Bureau of Economic Research Jagannathan, M., Stephens, C. P., & Weisbach, M. S. (2000). Financial flexibility and the choice between dividends and stock repurchases. Journal of Financial Economics, 57(3), 355-384. Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76(2), 323-329. Kahle, K. M. (2002). When a buyback isn’t a buyback: Open market repurchases and employee options. Journal of Financial Economics, 63(2), 235-261. Kahle, K. M. (2017). Share repurchases, dividends, and firm characteristics. Journal of Financial Economics, 125(2), 236-259. Kahle, K. M., & Stulz, R. M. (2021). Is the US public corporation in trouble? Journal of Economic Perspectives, 35(3), 55-80. Lee, D. W., Shin, H.-H., & Stulz, R. M. (2021). Why does equity capital flow out of high Tobin’s q industries? The Review of Financial Studies, 34, 1867–1906. Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1-2), 215-260. Peyer, U., & Vermaelen, T. (2009). The nature and persistence of buyback anomalies. The Review of Financial Studies, 22(4), 1693–1745. Roll, R. (1988). R^2. Journal of Finance, 43(3), 541-566. 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
財務管理學系
112357037
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357037
資料類型 thesis
dc.contributor.advisor 湛可南zh_TW
dc.contributor.advisor Chan, Konanen_US
dc.contributor.author (Authors) 徐緯澔zh_TW
dc.contributor.author (Authors) Hsu, Wei-Haoen_US
dc.creator (作者) 徐緯澔zh_TW
dc.creator (作者) Hsu, Wei-Haoen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Sep-2025 16:37:02 (UTC+8)-
dc.date.available 1-Sep-2025 16:37:02 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2025 16:37:02 (UTC+8)-
dc.identifier (Other Identifiers) G0112357037en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/159341-
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) 112357037zh_TW
dc.description.abstract (摘要) 本研究探討管理者在制定股票回購決策時，是否會納入股價中所蘊含的私人資訊。本文以Tobin’s Q 作為基於股價的訊號，檢驗股票回購對股價的敏感度是否會隨股價資訊性（Stock Price Informativeness, SPI）提高而增強。並進一步分析，較高的股價資訊性是否降低企業對內部現金流訊號的依賴，以及此學習效果是否在大型企業中更為顯著。 基於1994年至2024年間美國上市公司之面板資料，實證結果支持上述假說：（i）當股價資訊性較高時，股票回購與Tobin’s Q的負向關係顯著更強，顯示管理者會從股價中學習市場所揭示的新投資機會資訊，並據以調整股票回購決策；（ii）股價資訊性的提升亦降低企業對自由現金流訊號的依賴；（iii）大型企業的管理者學習效果更為明顯。主要結論經由Fama–MacBeth橫斷面估計與Logit模型之檢驗下仍具穩健性。 本研究的主要貢獻在於將管理者學習理論文獻延伸至股票回購決策，並提供一個以資訊條件為基礎的分配與投資機會關係之觀點。zh_TW
dc.description.abstract (摘要) This study examines whether managers incorporate private information from stock prices when setting share repurchase policy. Using Tobin’s Q as the price-based signal, we test whether higher stock price informativeness (SPI) strengthens the sensitivity of share repurchases to stock price. We also assess whether SPI reduces reliance on internal cash flow signal and whether the learning effect is stronger for larger firms. Panel evidence for U.S. public firms from 1994 to 2024 supports these predictions: (i) the negative relation between repurchases and Tobin’s Q is significantly stronger when SPI is high, demonstrating that managers learn from stock prices about newly revealed investment opportunities and adjust share repurchase decisions accordingly; (ii) managers place less weight on free cash flow in price information-rich settings; (iii) and the moderating role of SPI is more pronounced among large firms. Main results are robust to standard specification checks, including Fama–MacBeth estimates and a logit specification for repurchase incidence. The primary contribution of this study is to extend the managerial learning literature to share repurchase decisions and to provide an information-conditioned view of the relation between payout and investment opportunities.en_US
dc.description.tableofcontents 1. Introduction 7 2. Literature Review and Hypothesis Development 9 2.1 The role of stock price informativeness in corporate decision-making 9 2.2 Corporate Payout Policy, Investment and Share Repurchases 11 2.3 Hypothesis Development 12 3. Data and Methodology 14 3.1 Empirical Model 14 3.2 Data 15 3.3 Variable Definitions and Measurement 16 3.4 Summary Statistics 18 4. Empirical Results 19 4.1 Stock Price Informativeness and the Repurchase-to-Q Sensitivity 19 4.2 Effect of Firm Size 20 4.3 Sensitivity to Cross-Sectional Correlations: The Fama–MacBeth Approach 21 4.4 Logit Regression: Stock Repurchase Likelihood and Managerial Learning 22 5. Conclusion 24 References 25 Appendix. Definition of the main variables used in the analysis 28zh_TW
dc.format.extent 531652 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357037en_US
dc.subject (關鍵詞) 股價資訊性zh_TW
dc.subject (關鍵詞) 股票回購zh_TW
dc.subject (關鍵詞) 管理者學習zh_TW
dc.subject (關鍵詞) Tobin’s Qzh_TW
dc.subject (關鍵詞) 投資機會zh_TW
dc.subject (關鍵詞) 支付政策zh_TW
dc.subject (關鍵詞) Stock Price Informativenessen_US
dc.subject (關鍵詞) Share Repurchasesen_US
dc.subject (關鍵詞) Managerial Learningen_US
dc.subject (關鍵詞) Tobin’s Qen_US
dc.subject (關鍵詞) Investment Opportunitiesen_US
dc.subject (關鍵詞) Payout Policyen_US
dc.title (題名) 價格資訊性與公司回購決策對股價的敏感度zh_TW
dc.title (題名) Price Informativeness and Share Repurchases Sensitivity to Stock Priceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Asker, J., Farre-Mensa, J., & Ljungqvist, A. (2015). Corporate investment and stock market listing: A puzzle? Review of Financial Studies, 28(2), 342-390. Bai, J., Philippon, T., & Savov, A. (2017). Have financial markets become more informative? Journal of Financial Economics, 122(3), 625-654. Ben-Nasr, H., & Alshwer, A. A. (2016). Does stock price informativeness affect labor investment efficiency? Journal of Corporate Finance, 38, 249-271. Bonaimé, A. A., Hankins, K. W., & Harford, J. (2020). Employee Stock Option Grants and Share Repurchases. Journal of Finance, 75(5), 2563–2608. Brav, A., Graham, J. R., Harvey, C. R., & Michaely, R. (2005). Payout policy in the 21st century. Journal of Financial Economics, 77(3), 483-527. Chan, K., & Chan, Y. K. (2014). Price informativeness and stock returns: Evidence from seasoned equity offerings. Journal of Financial Economics, 114(3), 501–519. Chen, Q., Goldstein, I., & Jiang, W. (2007). Price Informativeness and Investment Sensitivity to Stock Price. Review of Financial Studies, 20(3), 619–650. De Cesari, A., & Huang-Meier, W. (2015). Dividend changes and stock price informativeness. Journal of Corporate Finance, 35, 187-204. Dittmar, A. K. (2000). Why do firms repurchase stock? The Journal of Business, 73(3), 331–355. Durnev, A., Morck, R., Yeung, B., & Zarowin, P. (2003). Does greater firm-specific return variation mean more or less informed stock pricing? Journal of Accounting Research, 41(5), 797-836. Durnev, A., Morck, R., & Yeung, B. (2004). Value-enhancing capital budgeting and firm-specific stock return variation. Journal of Finance, 59(1), 65-105. Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. American Economic Review, 74(4), 650-659. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. Fama, E. F., & French, K. R. (2001). Disappearing dividends: changing firm characteristics or lower propensity to pay? Journal of Financial Economics, 60(1), 3-43. Farre-Mensa, J., Michaely, R., & Schmalz, M. C. (2014). Payout Policy. Annual Review of Financial Economics, 6, 75-134. Faulkender, M., & Wang, R. (2006). Corporate financial policy and the value of cash. Journal of Finance, 61(4), 1957-1990. Ferreira, D., Ferreira, M. A., & Raposo, C. C. (2011). Board structure and price informativeness. Journal of Financial Economics, 99(3), 523–545. Fresard, L. (2012). Cash holdings and stock price informativeness. Journal of Finance, 67(3), 985-1023. French, K. R., & Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics, 17(1), 5-26. Grullon, G., Paye, B., Underwood, S., & Weston, J. P. (2011). Has the propensity to pay out declined? Journal of Financial and Quantitative Analysis, 46(1), 1–24. Gutiérrez, G., & Philippon, T. (2016). Investment-less growth: An empirical investigation (NBER Working Paper No. 22897). National Bureau of Economic Research Jagannathan, M., Stephens, C. P., & Weisbach, M. S. (2000). Financial flexibility and the choice between dividends and stock repurchases. Journal of Financial Economics, 57(3), 355-384. Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76(2), 323-329. Kahle, K. M. (2002). When a buyback isn’t a buyback: Open market repurchases and employee options. Journal of Financial Economics, 63(2), 235-261. Kahle, K. M. (2017). Share repurchases, dividends, and firm characteristics. Journal of Financial Economics, 125(2), 236-259. Kahle, K. M., & Stulz, R. M. (2021). Is the US public corporation in trouble? Journal of Economic Perspectives, 35(3), 55-80. Lee, D. W., Shin, H.-H., & Stulz, R. M. (2021). Why does equity capital flow out of high Tobin’s q industries? The Review of Financial Studies, 34, 1867–1906. Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1-2), 215-260. Peyer, U., & Vermaelen, T. (2009). The nature and persistence of buyback anomalies. The Review of Financial Studies, 22(4), 1693–1745. Roll, R. (1988). R^2. Journal of Finance, 43(3), 541-566. Vermaelen, T. (1981). Common stock repurchases and market signaling: An empirical study. Journal of Financial Economics, 9(2), 139-183.zh_TW