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題名 影響公開市場股票購回之因素與異常報酬分析
作者 林良憲
貢獻者 林炯垚<br>劉玉珍
林良憲
關鍵詞 庫藏股
事件研究法
異常報酬
迴歸分析
日期 2001
上傳時間 18-Apr-2016 16:23:32 (UTC+8)
摘要 本文擬針對上市公司實行庫藏股的動機與成效作一深入的探討和分析，並從中找出影響其成效之因素。文中首先先以迴歸分析來測試剩餘資產假說、價值低估假說、最適槓桿率假說等是否成立，以了解在庫藏股制度剛開始實施的初期，影響公司宣告或購回庫藏股數量的原因為何。再者，我們用市場模式來求出公司購回股票是否能有超常報酬，且超常報酬在事件期分佈的情況為何，以做為實施庫藏股成效的依據。最後，則以超常報酬的迴歸模式來解釋影響公司購回庫藏股的超常報酬因素有哪些，並更進一步地指出哪一類公司較易產生超常報酬。以連結公司股票回購的動機，而對整體庫藏股實施初期的概況做一通盤而具體的了解。
參考文獻 1. 沈中華、李建然著，2000，事件研究法：財務與會計實證研究必備，一版，華泰。
2. 周文賢著，1999，統計學，初版，智勝文化。
3. 周文賢著，2000，多變量統計分析：SAS/STAT使用方法，待出版書。
4. 邱秋芳,1999,歐美日國公司取得自己股份制度簡介，證交資料第444期。
5. 黃志仁，2001，「子公司操作母公司股票—操作動機、宣告效果與內部人交易」，國立中央大學財務管理學系博士班論文，
6. 劉玉珍、高惠娟，1998，淺談庫藏股票制度，證券暨期貨管理第16卷第四期：1-12。
7. Asquith, Paul, and Mullins, David. 1986, “Signaling with dividends, stock repurchases, and equity issues”. Financial Management 15, no. 3 (Autumn): 27-44.
8. Bagwell, Laurie S. 1992,“Dutch auction repurchases: An analysis of shareholder heterogeneity”. Journal of Finance 47:71-105.
9. Bartov,E.1991,”Open-market stock repurchases as signals for earnings and risk changes”.Journal of Accounting Economics14:275-294.
10. Bergen Philip G.; Ofek, Eli; and Yermack, David L. 1996,” Managerial entrenchment and capital structure”. Journal of Finance 62:1411-38.
11. Brennan, M., and A. Thakor.1990,”Shareholder preferences and dividend policy” Journal of Finance 45:993-1018.
12. Comment, Robert, and Jarrell, Gregg A. 1991, “The relative signaling power of dutchauction and fixed-price self-tender offers and open-market share repurchases”. Journal of Finance 46:1243-71.
13. Dann, L.1981, “Common stock repurchases: An analysis of returns to stockholders and bondholders”. Journal of Financial Economics 9:113-138.
14. Denis, David; Denis, Diane; and Sarin, Atulya. 1994,” Information content of dividend changes: Cash flow, signaling, overinvestment, and dividend clienteles”. Journal of Financial and Quantitative Analysis 29:567-87.1qq1
15. Dittmar, Amy K., 2000 , “Why Do Firms Repurchase Stock?”, The Journal of Business 73:331-355
16. Erik, Li, and Heidi, J. Lie. 1999. "The role of personal taxes in corporate decisions: An empirical analysis of share repurchases and dividends". Journal of Financial and Quantitative Analysis, vol.34,4:533-52.
17. Franz D.R.,R.P.Rao and N. Tripathy,1995,”Informed trading risk and Bid-ask spread changes around open market stock repurchased in the NASDAQ market”,The Journal of Financial Research,Vol.XVIII,No.3:311-327.
18. Ikenberry, David; Lakonishok, Josef; and Vermaelen, Theo. 1995,”Market underreaction to open market share repurchases”. Journal of Financial Economics 39:181-208.
19. Ikenberry, David, and Vermaelen, Theo. 1996,”The option to repurchase stock”. Financial Management 25:9-24.
20. Ikenberry, David; Lakonishok, Josef; and Vermaelen, Theo. 2000,” Stock repurchases in Canada: Performance and strategic trading”. Journal of Finance 55:2373-97.
21. Jensen, M.C. and W.H.Meckling,1976,”Theory of the firm:Managerial Behavior, Agency costs,and Ownership structure,”Journal of Financial Economics 3:305-360.
22. Jensen, Michael C. 1986.”Agency costs of free cash flow”. American Economic Review 76: 323-29.
23. Lakonishok, Josef; Shleifer, Andrei; and Vishny, Robert. 1994.”Contrarian investing, extrapolation and risk”. Journal of Finance 49:1541-78.
24. Erik, Li, and Heidi, J. Lie.1999.” The role of personal taxes in corporate decisions: An empirical analysis of share repurchases and dividends”. Journal of Financial and Quantitative Analysis ,vol.34,4:533-52.
25. Netter, Jeffry M., and Mitchell, Mark L. 1989. “Stock-repurchase announcements and insider transactions after the October 1987 stock market crash”. Financial Management 18:84-96.
26. Opler, Tim, and Titman, Sheridan. 1996,”The debt-equity choice: An analysis of issuing firms”. Columbus: Ohio State University.
27. Stephens,C.P. and M.S. Weisbach, 1998, “Actual Share Reacquisitions in Open-Market Repurchase Programs,” Journal of Finance 53:313-333.
28. Testsekos, G. 1993. “Valuation effects of open market stock repurchases for financially weak firms”. Review of Financial Economics 2:29-42.
29. Vermaelen, Theo. 1981.”Common stock repurchases and market signaling: An empirical study”. Journal of Financial Economics 9:139-83.
描述 碩士
國立政治大學
企業管理學系
88355064
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001448
資料類型 thesis
dc.contributor.advisor 林炯垚<br>劉玉珍zh_TW
dc.contributor.author (Authors) 林良憲zh_TW
dc.creator (作者) 林良憲zh_TW
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:23:32 (UTC+8)-
dc.date.available 18-Apr-2016 16:23:32 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:23:32 (UTC+8)-
dc.identifier (Other Identifiers) A2002001448en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85278-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 88355064zh_TW
dc.description.abstract (摘要) 本文擬針對上市公司實行庫藏股的動機與成效作一深入的探討和分析，並從中找出影響其成效之因素。文中首先先以迴歸分析來測試剩餘資產假說、價值低估假說、最適槓桿率假說等是否成立，以了解在庫藏股制度剛開始實施的初期，影響公司宣告或購回庫藏股數量的原因為何。再者，我們用市場模式來求出公司購回股票是否能有超常報酬，且超常報酬在事件期分佈的情況為何，以做為實施庫藏股成效的依據。最後，則以超常報酬的迴歸模式來解釋影響公司購回庫藏股的超常報酬因素有哪些，並更進一步地指出哪一類公司較易產生超常報酬。以連結公司股票回購的動機，而對整體庫藏股實施初期的概況做一通盤而具體的了解。zh_TW
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
表目錄
圖目錄
第一章 緒論
第一節 研究背景與研究目的
第二節 簡介庫藏股法令
第三節 論文架構
第二章 文獻探討
第三章 研究方法
第一節 變數定義
第二節 研究模式
第三節 研究架構流程
第四章 實證結果分析
第一節 母體與樣本描述
第二節 影響股票購回的因素
第三節 股票購回超常報酬分析
第四節 影響股票購回超常報酬之因素
第五章 結論、研究限制與建議
第一節 結論與建議
第二節 研究限制
參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001448en_US
dc.subject (關鍵詞) 庫藏股zh_TW
dc.subject (關鍵詞) 事件研究法zh_TW
dc.subject (關鍵詞) 異常報酬zh_TW
dc.subject (關鍵詞) 迴歸分析zh_TW
dc.title (題名) 影響公開市場股票購回之因素與異常報酬分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. 沈中華、李建然著，2000，事件研究法：財務與會計實證研究必備，一版，華泰。
2. 周文賢著，1999，統計學，初版，智勝文化。
3. 周文賢著，2000，多變量統計分析：SAS/STAT使用方法，待出版書。
4. 邱秋芳,1999,歐美日國公司取得自己股份制度簡介，證交資料第444期。
5. 黃志仁，2001，「子公司操作母公司股票—操作動機、宣告效果與內部人交易」，國立中央大學財務管理學系博士班論文，
6. 劉玉珍、高惠娟，1998，淺談庫藏股票制度，證券暨期貨管理第16卷第四期：1-12。
7. Asquith, Paul, and Mullins, David. 1986, “Signaling with dividends, stock repurchases, and equity issues”. Financial Management 15, no. 3 (Autumn): 27-44.
8. Bagwell, Laurie S. 1992,“Dutch auction repurchases: An analysis of shareholder heterogeneity”. Journal of Finance 47:71-105.
9. Bartov,E.1991,”Open-market stock repurchases as signals for earnings and risk changes”.Journal of Accounting Economics14:275-294.
10. Bergen Philip G.; Ofek, Eli; and Yermack, David L. 1996,” Managerial entrenchment and capital structure”. Journal of Finance 62:1411-38.
11. Brennan, M., and A. Thakor.1990,”Shareholder preferences and dividend policy” Journal of Finance 45:993-1018.
12. Comment, Robert, and Jarrell, Gregg A. 1991, “The relative signaling power of dutchauction and fixed-price self-tender offers and open-market share repurchases”. Journal of Finance 46:1243-71.
13. Dann, L.1981, “Common stock repurchases: An analysis of returns to stockholders and bondholders”. Journal of Financial Economics 9:113-138.
14. Denis, David; Denis, Diane; and Sarin, Atulya. 1994,” Information content of dividend changes: Cash flow, signaling, overinvestment, and dividend clienteles”. Journal of Financial and Quantitative Analysis 29:567-87.1qq1
15. Dittmar, Amy K., 2000 , “Why Do Firms Repurchase Stock?”, The Journal of Business 73:331-355
16. Erik, Li, and Heidi, J. Lie. 1999. "The role of personal taxes in corporate decisions: An empirical analysis of share repurchases and dividends". Journal of Financial and Quantitative Analysis, vol.34,4:533-52.
17. Franz D.R.,R.P.Rao and N. Tripathy,1995,”Informed trading risk and Bid-ask spread changes around open market stock repurchased in the NASDAQ market”,The Journal of Financial Research,Vol.XVIII,No.3:311-327.
18. Ikenberry, David; Lakonishok, Josef; and Vermaelen, Theo. 1995,”Market underreaction to open market share repurchases”. Journal of Financial Economics 39:181-208.
19. Ikenberry, David, and Vermaelen, Theo. 1996,”The option to repurchase stock”. Financial Management 25:9-24.
20. Ikenberry, David; Lakonishok, Josef; and Vermaelen, Theo. 2000,” Stock repurchases in Canada: Performance and strategic trading”. Journal of Finance 55:2373-97.
21. Jensen, M.C. and W.H.Meckling,1976,”Theory of the firm:Managerial Behavior, Agency costs,and Ownership structure,”Journal of Financial Economics 3:305-360.
22. Jensen, Michael C. 1986.”Agency costs of free cash flow”. American Economic Review 76: 323-29.
23. Lakonishok, Josef; Shleifer, Andrei; and Vishny, Robert. 1994.”Contrarian investing, extrapolation and risk”. Journal of Finance 49:1541-78.
24. Erik, Li, and Heidi, J. Lie.1999.” The role of personal taxes in corporate decisions: An empirical analysis of share repurchases and dividends”. Journal of Financial and Quantitative Analysis ,vol.34,4:533-52.
25. Netter, Jeffry M., and Mitchell, Mark L. 1989. “Stock-repurchase announcements and insider transactions after the October 1987 stock market crash”. Financial Management 18:84-96.
26. Opler, Tim, and Titman, Sheridan. 1996,”The debt-equity choice: An analysis of issuing firms”. Columbus: Ohio State University.
27. Stephens,C.P. and M.S. Weisbach, 1998, “Actual Share Reacquisitions in Open-Market Repurchase Programs,” Journal of Finance 53:313-333.
28. Testsekos, G. 1993. “Valuation effects of open market stock repurchases for financially weak firms”. Review of Financial Economics 2:29-42.
29. Vermaelen, Theo. 1981.”Common stock repurchases and market signaling: An empirical study”. Journal of Financial Economics 9:139-83.		zh_TW