公開市場股票再買回之研究

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姓名

池祥萱(Hsiang-Hsuan Chih) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

公開市場股票再買回之研究
(Two Essays on Open Market Repurchases)

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摘要(中)

第一篇論文主要是以2000年至2002年資料，實證檢視台灣上市公司公開市場股票再買回 (open market repurchases，OMR) 的公司特性、宣告績效、實際執行率以及宣告次數。主要實證結果如下：第一、公司價值被低估、現金流量較多、公司規模較大、內部人持股較少以及董事質押股票比率較高的公司較傾向宣告OMR。第二、台灣上市公司認為公司價值是以股價是否跌破淨值為低估標準。影響台灣OMR公司宣告期績效的決定因素就是公司價值被低估。第三、宣告OMR公司的管理當局似乎有策略性買回的情形，會因為公司股價下跌，買回更多的股數，也會因為公司股價上升就降低實際執行的意願。第四、在宣告次數方面，認為自己公司股票被低估的管理當局更有可能重覆宣告OMR，同時較充裕且穩定現金流量的公司較傾向重覆宣告OMR。另外，重覆宣告的公司平均每次實際執行較高。這可能顯示這些重覆宣告的公司將OMR視為公司既定政策。
第二篇論文分析公開市場股票再買回宣告是否值得信賴的信號。本文假設公司公開市場股票再買回（OMR）宣告的買回價格區間為向市場宣示公司買回的決心，而實際執行率才是公司真正的意圖。本文依買回價格區間與實際執行率的高低將公司分為四組，並假設「高宣告買回價格區間且低實際執行率」的OMR公司的目的在於拉抬公司股價，「高宣告買回價格區間且高實際執行率」的OMR公司屬於真正想買回庫藏股的公司，就市場對OMR宣告的反應作分析。實證結果顯示，對於只想拉抬股價，並不是真的要執行的OMR公司，市場認為其宣告的信號是不值得信賴的，因此評價較低；對於真正想買回庫藏股的OMR公司，市場認為其宣告的信號是值得信賴的，因此給予較高的評價。我們亦以公司轉讓比率來分析不同買回價格區間公司的行為。結果顯示，有「拉抬股價」傾向的公司，事後將股票轉讓給員工的機率最低，而真正想買回庫藏股的OMR公司，其轉讓比率最高。

摘要(英)

This study contains two essays about open market repurchases (OMR) in Taiwan.
Essay 1 examines several important issues about the open market repurchases in Taiwan, which are motives and firm characteristics of OMR firms, market performance and the determinants of completion rates and multiple announcements. The results can be summarized as follows. First, OMR firms are more likely to be undervalued, much larger, have more cash flow, significantly lower insider holdings and higher the pledged ratio of insider holdings. Second, undervaluation is the most popular reason why the firms announce OMR programs. Third, OMR firms’ managers have incentive to trade strategically. They buy more shares when prices fall and less shares when prices rise. Finally, undervaluation is more likely to be a motive for firms which announce OMR programs frequently, these firms tend to have higher and more stable cash flows, and higher completion rates. The result suggests that firms with multiple repurchase programs view OMR programs as a constant policy.
Essay 2 investigates whether open market repurchase announcement is a credible signal. In this essay, assumes that price ranges that the OMR firm announces conveys signals about the firm’s prospects and programs the OMR firm implements actually conveys signals about the firm intends. Samples are divided into four groups, and assumed OMR programs announcements by firms with “higher price range and lower completion rate” are credible; “higher price range and higher completion rate” are incredible. Empirical results show credible OMR firms’ announcements are greeted with a stronger positive reaction by the market. Further analyses indicate the credible OMR firms are the much more likely to transfer shares to employees than incredible OMR firms.

關鍵字(中)

★ 宣告績效
★ 公開市場股票再買回
★ 信號

關鍵字(英)

★ Market performance
★ Open market repurchases
★ Signal

論文目次

第一章前言 1
第二章公開市場股票再買回公司特性、績效與影響因子 6
1. 前言 6
2. 世界各國有關OMR的概況 9
2.1 美國 9
2.2 加拿大 10
2.3 英國 10
2.4 日本 11
2.5 台灣 12
3. 文獻回顧 12
3.1 宣告OMR公司的動機與財務特性 12
3.2 OMR公司的實際執行比率與宣告買回次數 18
4. 資料來源與資料特性 20
5. 宣告OMR公司的財務特性 21
5.1 摘要統計量 21
5.2 Logit 模型分析 23
6. 影響OMR宣告績效的因素 24
6.1 單變量分析 26
6.2 影響宣告績效的因素多變量分析 29
7. 實際執行比率與宣告買回次數的決定因素 31
7.1 宣告OMR公司實際執行的情況 31
7.2 Tobit 模型分析 32
7.3 買回次數的決定因素 33
8. 結論 34
參考文獻 37
第三章公開市場股票再買回宣告是值得信賴的信號嗎？ 59
1. 前言 59
2. 研究設計與研究假說 62
3. 資料來源與資料特性 65
4. OMR公司宣告和實際執行之間的差異 66
4.1 OMR公司的宣告績效 66
4.2 OMR公司宣告和實際執行之間的差異 68
5. OMR公司在不同區間的特性 74
5.1 第一類買回目的公司在不同區間的特性 74
5.2 第三類買回目的公司在不同區間的特性 75
6. 宣告買回價格的資訊內涵 76
6.1 宣告買回價格和宣告當日收盤價的關係 77
6.2 宣告買回最高價和最低價對宣告期績效的影響 78
7. 結論 80
參考文獻 83

參考文獻

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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2003-12-20

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