實施多次庫藏股之長期超額報酬研究

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Title:	實施多次庫藏股之長期超額報酬研究
Other Titles:	Multiple stock repurchase and long-term abnormal return
Authors:	張婉琴;Chang, Wan-chin
Contributors:	淡江大學財務金融學系碩士在職專班林允永;Lin, Yun-yung
Keywords:	庫藏股;事件研究法;超額報酬;Treasury Stock;Event Study Methodology;abnormal return
Date:	2008
Issue Date:	2010-01-11 01:02:31 (UTC+8)
Abstract:	本研究係觀察自民國90年1月1日至民國95年9月30日之間，多次【三次（含）以上】宣告買回庫藏股之我國上市公司，其於事件宣告後之一年期及三年期超額報酬情形；並利用事件研究法，進一步探討宣告買回比率、執行比率、股價淨值比、內部關係人持股比例、內部關係人質押比例，以及公司規模等變數對長期超額報酬之影響；同時觀察對於電子類股與非電子類股，以及不同買回目的之樣本公司的長期超額報酬是否會有不同的結果。實證結果發現，不論在何種樣本情形之下，宣告買回比率與一年期超額報酬皆呈現顯著的負相關，但對三年期超額報酬則不具顯著性，顯示公司若試圖僅以宣告庫藏股買回的方式為股價之拉抬，則市場投資者終將會對此種一而再、再而三的宣告產生訊號疲乏的結果。至於執行比率、股價淨值比、內部關係人持股比例、內部關係人質押比例，以及公司規模與多次實施庫藏股買回公司之一年期超額報酬或三年期超額報酬皆無顯著關係。 In this study, we discuss the long-term abnormal return after executing multiple stock repurchases on several listed companies in Taiwan. Afterwards, by applying the Event Study Methodology, we further discuss the relationship between the variables（including announced repurchase ratio, repurchase ratio, book-to-market ratio, the percentage of insider shareholding, the percentage of shares mortgaged by directors, and the scale of firms） and the Cumulative Abnormal Return （CAR）. The results are as follows：The correlation between the repurchase ratio and CAR for 1 year is significant negative, but it is not significant related to CAR for 3 years. The other variables are not significant related to CAR. It suggests that if a company attempts to increase its stock price merely by announcing stock repurchases, the repetitive announcements will eventually cause negligent effects on the market.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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