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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31625

    Title: 臺灣上市公司庫藏股購回之異常報酬分析與效率性檢定 : 以多因子模型為例
    Other Titles: The analysis of abnormal returns on purchasing treasury stocks in Taiwan-listed company and the efficient verification : by using multi-factor model
    台灣上市公司庫藏股購回之異常報酬分析與效率性檢定 : 以多因子模型為例
    Authors: 關慕廉;Kuan, Mu-lien
    Contributors: 淡江大學財務金融學系碩士班
    邱忠榮;Chiou, Jong-rong;林允永;Lin, Yun-yung
    Keywords: 異常報酬;規模溢酬;淨值市價比溢酬;過度反應因子;abnormal returns;size premium;book-to-market premium;overreaction factor
    Date: 2006
    Issue Date: 2010-01-11 01:03:56 (UTC+8)
    Abstract: 庫藏股法令的通過,對上市上櫃公司存在重大意涵。因上市上櫃公司可在股價低迷時,利用宣告買回庫藏股來發放利多消息。而傳統常以事件研究法之市場模型來估計庫藏股宣告後的異常報酬。然會影響個股報酬的因子可能不只一個,故本篇除了市場模型外,另使用加入市場因素、規模溢酬、淨值市價比溢酬的A模型,以及含有市場因素、規模溢酬、淨值市價比溢酬、過度反應因子的B模型,檢視這些因子的加入,是否能增加解釋個股報酬的能力。
    The passing of the law of treasury stock has an important meaning to Taiwan listed company. Because Taiwan-listed company can announce beneficial news by purchasing treasury stocks when their stock price are undervalued. However, the factor influencing stock returns may not the only one, so except of traditional market model, we use A model which includes market factor, size premium, book-to –market premium, and B model which includes market factor, size premium, book-to –market premium, as well as overreaction factor to check if these factors can increase the ability to explain the stock return.
    Our research finds that no matter what model is, the board of directors’ decision of purchasing treasury stocks will have a positive signaling effect. And in the purpose of purchasing treasury stocks, the companies who want to maintain company’s credit and stockholder’s rights will have higher cumulative abnormal returns than the companies who want to transfer the possession of stock shares to employees. Also, in the different industry, non-electronic industry’s cumulative abnormal returns is higher than electronic industry’s cumulative abnormal returns. In addition, because all models can’t reject treasury stock’s announce effect in our research period, we find that stock market in Taiwan is not a semi-strong efficient market. That is, if investors purchasing treasury stocks on announce day, in average, we can defeat TAIFEX and earn the positive return.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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