台灣上市公司多次實施庫藏股買回宣告效果

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Title:	台灣上市公司多次實施庫藏股買回宣告效果
Other Titles:	A revisit of announcement effect of multiple stock repurchases : an empirical analysis on the Taiwan stock exchange 臺灣上市公司多次實施庫藏股買回宣告效果
Authors:	鄒安鵬;Tsou, An-peng
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:	庫藏股;事件研究法;Fama-French三因子模型;過度反應因子;Treasure Stock;Event Study;Fama and French Three-Factor Model;Overreaction Factor
Date:	2006
Issue Date:	2010-01-11 01:04:28 (UTC+8)
Abstract:	本研究利用事件研究法探討國內於庫藏股制度實施以後，上市公司就執行庫藏股買回之宣告效果做相關之實證研究，並深入探討公司在宣告多次自有股份買回的情況之下，該宣告效果是否具有遞減之現象。而研究方法則是利用Fama & French (1993)三因子模型並加入過度反應因子LMW形成的四因子模型衡量股價異常報酬率。實證結果如下：上市公司宣告買回庫藏股，在宣告日前有顯著負的異常報酬產生，顯示股價有被低估的情形，在宣告日後，則是有顯著正的宣告效果存在。而就庫藏股實施多次的效果來看，多次庫藏股買回的累積平均異常報酬會呈現一個遞減效果，與林懋明(2001)的結果一致。關於各產業之宣告效果比較，在宣告日前，不同產業均存有負的異常報酬現象，惟金融業不具顯著性。在宣告日後，不同產業均存在顯著的正向異常報酬。再者，就庫藏股買回目的言之，公司買回目的為維護公司信用及股東權益的宣告效果較目的為轉讓予員工強。接著，買回佔有比大於2%的公司在事件期第-5及-4日時，其累積平均異常報酬較買回佔有比小於2%的公司小。而在第3、4及5日時，買回佔有比大於2%的公司較小於2%的公司大。最後，執行率高於50%的公司就第二次宣告效果來看，在宣告日前低估的情形改善了，在宣告日後，其正向宣告效果較執行率低於50%的公司強。 In this study, we applied the event study methodology to discuss the carrying-out announcement effects of stock repurchases for Taiwan’s listed companies. This study also focuses on the possibility of gradual decrease effects while companies announce the repurchases frequently. Our methodology uses four-factor model which formed with Fama and French three-factor model and overreaction factor LMW to measure abnormal return of stock. The conclusions of the study are presented： We find it that when TSE companies announced stock purchases, the announcement effects do exist according to the changes of abnormal return before and after the announcement. Namely, abnormal return was always negative significantly before announcement as a result of the stock price undervalued and the abnormal return was generally positive significantly after announcement. As for the announcement effects of stock repurchases, the cumulative average abnormal return of multiple stock repurchases decrease gradually that is consistent with Lin(2001). Compared with announcement effects among industries, different industries have negative abnormal return before announcement date, but only financial industry is not significant. And after announcement date, different industries have apparent positive abnormal return. And then, for announcement effect of repurchases purpose, the performance of the purpose of maintain firm’s credit and shareholder’s right is better than that of the purpose of transfer shares to employees. The cumulative average abnormal return of companies with high repurchases ratio is smaller than that of low repurchases ratio on date -5 and -4. Moreover, high repurchase ratio is higher than low one on date 3, 4 and 5. Finally, for second announcement effect, we find that the undervaluation of companies with high carry-out ratio has been improved before announcement date, and their positive announcement effect outperform companies with low carry-out ratio after announcement date.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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