| 摘要: | 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。
研究結果發現：不管在哪個模型下，董事會購回庫藏股的決議皆會產生訊號發射效果，對股價產生正向效果。在購回目的上，以維護公司信用及股東權益為目的的累積平均異常報酬顯著大於轉讓股份與員工的累積平均異常報酬。而在不同產業類別中，非電子業的累積平均異常報酬顯著大於電子業的累積平均異常報酬。此外，不論A模型或B模型中，加入的規模溢酬、淨值市價比溢酬與過度反應因子皆無法增加解釋異常報酬的能力。此外，我們發現台灣股市並非一半強勢效率市場，因前述各模型皆無法拒絕台灣股市在研究期間內庫藏股的宣告效果，如投資者在公司宣告當日購買庫藏股，平均而言，均可打敗市場，獲得正向報酬。
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. |
