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題名 庫藏股減資和現金減資宣告效果之比較
Comparison of The Announcement Effect of Stocks Repurchase and Cash Reduction
作者 林雅萍
Lin Ya Ping
貢獻者 徐燕山
林雅萍
Lin Ya Ping
關鍵詞 庫藏股減資
現金減資
減資因子
事件研究法
多元名義羅吉特迴歸模型
日期 2009
上傳時間 8-Dec-2010 01:54:21 (UTC+8)
摘要 本研究探討國內上市櫃公司庫藏股減資及現金減資宣告效果之比較。研究台灣2006年1月至2010年2月底之間進行庫藏股減資及現金減資的上市櫃公司，分別以事件研究法、多元迴歸分析（Multiple Regression Analysis）及多元名義羅吉特迴歸（Multinomial Logistic Regression）探討庫藏股減資及現金減資兩組樣本之宣告效果及影響宣告效果的因子，並進一步探究影響減資政策選擇的因素。本研究之實證結果發現：1.公司宣告庫藏股減資及現金減資在事件日當天皆具有顯著的正向宣告效果。2.公司宣告庫藏股減資與現金減資之間的累積異常報酬率無著顯著差異。3.以多元迴歸分析探討影響庫藏股減資及現金減資之間累積異常報酬率的因素，結果顯示減資比率顯著地影響累積異常報酬率，其餘本研究選取的公司規模、股價淨值比、負債比率、自由現金流量比率等解釋變數，無法顯著地影響累積異常報酬率。4.以多元名義羅吉特迴歸檢驗不同的解釋變數會造成公司傾向進行庫藏股減資或現金減資的減資政策，結果顯示規模愈大、股價淨值比愈高、自由現金流量比率高、減資比率高的公司，傾向使用現金減資；而負債比率高的公司，傾向使用庫藏股減資。
參考文獻 中文文獻
沈中華、李建然，2000，「事件研究法：財務與會計實證研究必備」，台北華泰書局。
林君曄，2008，「庫藏股宣告與目的變更探討」，政治大學財務管理研究所碩士論文。
吳明政、謝依婷，2007，「庫藏股買回效果之再探討-以細分所有上市上櫃公司各分類構面之實證研究」，台灣銀行季刊，第五十八卷第三期，268-291頁。
林瑋莉，2007，「台灣現金減資宣告效果之實證研究」，台灣大學財務金融研究所碩士論文。
周賓鳳與蔡坤芳，1997，「台灣股市日資料特性與事件研究法」，證券市場發展季刊，1-27頁。
莊宗勳，2007，「台灣上市公司現金減資與現金股利、庫藏股政策之實證研究」，中央大學財務金融研究所碩士在職專班論文。
許純華，2009，「台灣上市櫃公司減資後績效與減資類型之關聯性」，交通大學科技管理研究所碩士論文。
潘振偉，2008，「台灣上市櫃公司實施不同類型減資之實證分析」，政治大學財務管理研究所碩士論文。
賴明琪，2007，「影響公司減資之決定因素及減資宣告效果」，交通大學財務金融研究所碩士論文。
英文文獻
Baker, H. Kent, Patricia L. Gallapher and Karen E. Morgan, 1981, “Management’s
View of Stock Repurchase,” Journal of Financial Research 4, 233-247.
Binder, John J., 1998, “The Event Study Methodology Since 1969,” Review of
Quantitative Finance and Accounting 11, 111-137.
Dann, Larry Y., 1981, “Common Stock Repurchases : An Analysis of Returns to
Bondholders and Stockholders,” Journal of Financial Economics 9, 113-138.
Dittmar, A. K., 2000, “Why Do Firms Repurchase Stock? ” Journal of
Business 73, 331-355.
Grullon, Gustavo and Roni Michaely, 2004, “The Information Content of Share
Repurchase Programs,” Journal of Finance 59, 651-680.
Gujarati, Damodar N., 2003, “Basic Econometrics,” McGraw- Hill.
Hsu, Yenshan and Cheng-Yi Shiu, 2002, “IPO Underpricing and Information Proxy :
A Note,” Journal of Financial Studies 10, 63-88.
Ikenberry, David, Josef Lakonishok , and Theo Vermaelen, 1995, “Market
Underreaction to Open Market Share Repurchases,” Journal of Financial Economics 39, 181-208.
Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 2000, “Stock Repurchases
in Canada: Performance and Strategic Trading,” Journal of Finance 55,
2373-2397.
Isagawa, Nobuyuki, 2002, “Open-Market Repurchase Announcements and Stock
Price Behavior in Inefficient Markets,” Financial Management 31, 5-20.
Jagannathana, Murali Clifford P. Stephensa, and Michael S. Weisbachb, 2000,
“Financial Flexibility and The Choice Between Dividends and Stock Repurchases,” Journal of Financial Economics 57, 355-384.
Jensen, M. C., 1986, “Agency Costs of Free Cash Flow, Corporate Finance, and
Takeovers,” American Economic Review 76, 323-329.
Liu, C. S. and D. A. Ziebart, 1997, “Stock Returns and Open-Market Stock
Repurchase Announcements,” Financial Review 32, 709-728.
McNally, William J., 1999, “Open Market Stock Repurchase Signaling,” Financial
Management 28, 55-67.
Merdury, Prasad V., Linda E. Bowyer and Venkat Srinivasan, 1992, “Stock
Repurchases: A Multivariate Analysis of Repurchasing Firms,” Quarterly
Journal of Business and Economics 31, 21-44.
Nohel, Tom and Vefa Tarhan, 1998, “Share Repurchases an d Firm Performance：New
Evidence on The Agency Costs of Free Cash Flow,” Journal of Financial
Economics 49, 187-222.
Raad, Elias and H K Wu, 1995, “Insider Trading Effects on Stock Returns around
Open-Market Stock Repurchase Announcements: An Empirical Study,” Journal
of Financial Research 18, 45-57.
Stephens, Clifford P. and Michael S. Weisbach, 1998, “Actual Share Reacquisitions in
Open-Market Repurchase Programs,” Journal of Finance 53, 313-333.
Vermaelen, Theo, 1981,“Common Stock Repurchases and Market Signalling：An
Empirical Study,” Journal of Financial Economics 9, 139-183.
Wansley, James W., William R. Lane and Salil Sarkar, 1989, “Management’s View of
Share Repurchase and Tender Premiums,” Financial Management 18, 97-110.
Zhang, Hua, 2005, “Share Price Performance Following Actual Share Repurchases,”
Journal of Banking and Finance 29, 1887-1901.
描述 碩士
國立政治大學
財務管理研究所
97357012
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097357012
資料類型 thesis
dc.contributor.advisor 徐燕山zh_TW
dc.contributor.author (Authors) 林雅萍zh_TW
dc.contributor.author (Authors) Lin Ya Pingen_US
dc.creator (作者) 林雅萍zh_TW
dc.creator (作者) Lin Ya Pingen_US
dc.date (日期) 2009en_US
dc.date.accessioned 8-Dec-2010 01:54:21 (UTC+8)-
dc.date.available 8-Dec-2010 01:54:21 (UTC+8)-
dc.date.issued (上傳時間) 8-Dec-2010 01:54:21 (UTC+8)-
dc.identifier (Other Identifiers) G0097357012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/48963-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 97357012zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 本研究探討國內上市櫃公司庫藏股減資及現金減資宣告效果之比較。研究台灣2006年1月至2010年2月底之間進行庫藏股減資及現金減資的上市櫃公司，分別以事件研究法、多元迴歸分析（Multiple Regression Analysis）及多元名義羅吉特迴歸（Multinomial Logistic Regression）探討庫藏股減資及現金減資兩組樣本之宣告效果及影響宣告效果的因子，並進一步探究影響減資政策選擇的因素。本研究之實證結果發現：1.公司宣告庫藏股減資及現金減資在事件日當天皆具有顯著的正向宣告效果。2.公司宣告庫藏股減資與現金減資之間的累積異常報酬率無著顯著差異。3.以多元迴歸分析探討影響庫藏股減資及現金減資之間累積異常報酬率的因素，結果顯示減資比率顯著地影響累積異常報酬率，其餘本研究選取的公司規模、股價淨值比、負債比率、自由現金流量比率等解釋變數，無法顯著地影響累積異常報酬率。4.以多元名義羅吉特迴歸檢驗不同的解釋變數會造成公司傾向進行庫藏股減資或現金減資的減資政策，結果顯示規模愈大、股價淨值比愈高、自由現金流量比率高、減資比率高的公司，傾向使用現金減資；而負債比率高的公司，傾向使用庫藏股減資。zh_TW
dc.description.tableofcontents 摘要.................................................................................................................................i
     目錄............................................................................................................................... ii
     表目錄...........................................................................................................................iv
     圖目錄............................................................................................................................v
     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 研究架構與流程......................................................................................4
     第貳章 文獻探討..........................................................................................................6
     第一節 減資相關法規..........................................................................................6
     第二節 文獻探討................................................................................................12
     一、庫藏股減資..........................................................................................12
     二、現金減資..............................................................................................15
      第三節 研究假說..............................................................................................17
     第叁章 研究方法........................................................................................................18
     第一節 資料來源與樣本選取............................................................................18
     第二節 事件研究法............................................................................................19
     第三節 多元迴歸模型........................................................................................28
     第四節 多元名義羅吉特迴歸模型....................................................................30
     第肆章 實證結果與分析............................................................................................32
     第一節 宣告效果之實證結果............................................................................32
     第二節 敘述統計................................................................................................38
     第三節 實證結果與分析....................................................................................42
      一、多元迴歸分析......................................................................................42
      二、多元名義羅吉特迴歸模型分析..........................................................46
     第伍章 結論與建議....................................................................................................51
     第一節 研究結果................................................................................................51
     第二節 研究限制與建議....................................................................................52
     參考文獻......................................................................................................................53		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097357012en_US
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) 減資因子zh_TW
dc.subject (關鍵詞) 事件研究法zh_TW
dc.subject (關鍵詞) 多元名義羅吉特迴歸模型zh_TW
dc.title (題名) 庫藏股減資和現金減資宣告效果之比較zh_TW
dc.title (題名) Comparison of The Announcement Effect of Stocks Repurchase and Cash Reductionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文文獻zh_TW
dc.relation.reference (參考文獻) 沈中華、李建然，2000，「事件研究法：財務與會計實證研究必備」，台北華泰書局。zh_TW
dc.relation.reference (參考文獻) 林君曄，2008，「庫藏股宣告與目的變更探討」，政治大學財務管理研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 吳明政、謝依婷，2007，「庫藏股買回效果之再探討-以細分所有上市上櫃公司各分類構面之實證研究」，台灣銀行季刊，第五十八卷第三期，268-291頁。zh_TW
dc.relation.reference (參考文獻) 林瑋莉，2007，「台灣現金減資宣告效果之實證研究」，台灣大學財務金融研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 周賓鳳與蔡坤芳，1997，「台灣股市日資料特性與事件研究法」，證券市場發展季刊，1-27頁。zh_TW
dc.relation.reference (參考文獻) 莊宗勳，2007，「台灣上市公司現金減資與現金股利、庫藏股政策之實證研究」，中央大學財務金融研究所碩士在職專班論文。zh_TW
dc.relation.reference (參考文獻) 許純華，2009，「台灣上市櫃公司減資後績效與減資類型之關聯性」，交通大學科技管理研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 潘振偉，2008，「台灣上市櫃公司實施不同類型減資之實證分析」，政治大學財務管理研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 賴明琪，2007，「影響公司減資之決定因素及減資宣告效果」，交通大學財務金融研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 英文文獻zh_TW
dc.relation.reference (參考文獻) Baker, H. Kent, Patricia L. Gallapher and Karen E. Morgan, 1981, “Management’szh_TW
dc.relation.reference (參考文獻) View of Stock Repurchase,” Journal of Financial Research 4, 233-247.zh_TW
dc.relation.reference (參考文獻) Binder, John J., 1998, “The Event Study Methodology Since 1969,” Review ofzh_TW
dc.relation.reference (參考文獻) Quantitative Finance and Accounting 11, 111-137.zh_TW
dc.relation.reference (參考文獻) Dann, Larry Y., 1981, “Common Stock Repurchases : An Analysis of Returns tozh_TW
dc.relation.reference (參考文獻) Bondholders and Stockholders,” Journal of Financial Economics 9, 113-138.zh_TW
dc.relation.reference (參考文獻) Dittmar, A. K., 2000, “Why Do Firms Repurchase Stock? ” Journal ofzh_TW
dc.relation.reference (參考文獻) Business 73, 331-355.zh_TW
dc.relation.reference (參考文獻) Grullon, Gustavo and Roni Michaely, 2004, “The Information Content of Sharezh_TW
dc.relation.reference (參考文獻) Repurchase Programs,” Journal of Finance 59, 651-680.zh_TW
dc.relation.reference (參考文獻) Gujarati, Damodar N., 2003, “Basic Econometrics,” McGraw- Hill.zh_TW
dc.relation.reference (參考文獻) Hsu, Yenshan and Cheng-Yi Shiu, 2002, “IPO Underpricing and Information Proxy :zh_TW
dc.relation.reference (參考文獻) A Note,” Journal of Financial Studies 10, 63-88.zh_TW
dc.relation.reference (參考文獻) Ikenberry, David, Josef Lakonishok , and Theo Vermaelen, 1995, “Marketzh_TW
dc.relation.reference (參考文獻) Underreaction to Open Market Share Repurchases,” Journal of Financial Economics 39, 181-208.zh_TW
dc.relation.reference (參考文獻) Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 2000, “Stock Repurchaseszh_TW
dc.relation.reference (參考文獻) in Canada: Performance and Strategic Trading,” Journal of Finance 55,zh_TW
dc.relation.reference (參考文獻) 2373-2397.zh_TW
dc.relation.reference (參考文獻) Isagawa, Nobuyuki, 2002, “Open-Market Repurchase Announcements and Stockzh_TW
dc.relation.reference (參考文獻) Price Behavior in Inefficient Markets,” Financial Management 31, 5-20.zh_TW
dc.relation.reference (參考文獻) Jagannathana, Murali Clifford P. Stephensa, and Michael S. Weisbachb, 2000,zh_TW
dc.relation.reference (參考文獻) “Financial Flexibility and The Choice Between Dividends and Stock Repurchases,” Journal of Financial Economics 57, 355-384.zh_TW
dc.relation.reference (參考文獻) Jensen, M. C., 1986, “Agency Costs of Free Cash Flow, Corporate Finance, andzh_TW
dc.relation.reference (參考文獻) Takeovers,” American Economic Review 76, 323-329.zh_TW
dc.relation.reference (參考文獻) Liu, C. S. and D. A. Ziebart, 1997, “Stock Returns and Open-Market Stockzh_TW
dc.relation.reference (參考文獻) Repurchase Announcements,” Financial Review 32, 709-728.zh_TW
dc.relation.reference (參考文獻) McNally, William J., 1999, “Open Market Stock Repurchase Signaling,” Financialzh_TW
dc.relation.reference (參考文獻) Management 28, 55-67.zh_TW
dc.relation.reference (參考文獻) Merdury, Prasad V., Linda E. Bowyer and Venkat Srinivasan, 1992, “Stockzh_TW
dc.relation.reference (參考文獻) Repurchases: A Multivariate Analysis of Repurchasing Firms,” Quarterlyzh_TW
dc.relation.reference (參考文獻) Journal of Business and Economics 31, 21-44.zh_TW
dc.relation.reference (參考文獻) Nohel, Tom and Vefa Tarhan, 1998, “Share Repurchases an d Firm Performance：Newzh_TW
dc.relation.reference (參考文獻) Evidence on The Agency Costs of Free Cash Flow,” Journal of Financialzh_TW
dc.relation.reference (參考文獻) Economics 49, 187-222.zh_TW
dc.relation.reference (參考文獻) Raad, Elias and H K Wu, 1995, “Insider Trading Effects on Stock Returns aroundzh_TW
dc.relation.reference (參考文獻) Open-Market Stock Repurchase Announcements: An Empirical Study,” Journalzh_TW
dc.relation.reference (參考文獻) of Financial Research 18, 45-57.zh_TW
dc.relation.reference (參考文獻) Stephens, Clifford P. and Michael S. Weisbach, 1998, “Actual Share Reacquisitions inzh_TW
dc.relation.reference (參考文獻) Open-Market Repurchase Programs,” Journal of Finance 53, 313-333.zh_TW
dc.relation.reference (參考文獻) Vermaelen, Theo, 1981,“Common Stock Repurchases and Market Signalling：Anzh_TW
dc.relation.reference (參考文獻) Empirical Study,” Journal of Financial Economics 9, 139-183.zh_TW
dc.relation.reference (參考文獻) Wansley, James W., William R. Lane and Salil Sarkar, 1989, “Management’s View ofzh_TW
dc.relation.reference (參考文獻) Share Repurchase and Tender Premiums,” Financial Management 18, 97-110.zh_TW
dc.relation.reference (參考文獻) Zhang, Hua, 2005, “Share Price Performance Following Actual Share Repurchases,”zh_TW
dc.relation.reference (參考文獻) Journal of Banking and Finance 29, 1887-1901.zh_TW