從股票價格區間探討股票買回活動之資訊內涵

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姓名

陳怡珮(Yi-pei Chen) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

從股票價格區間探討股票買回活動之資訊內涵
(Information Content of Share Repurchases through Price Range)

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摘要(中)

本研究旨在藉由臺灣之庫藏股法規，探討股票買回活動是否具有重要之資訊內涵。台灣之庫藏股法規最明顯與歐、美各國不同之處在於預定買回價格區間之宣告，而過去文獻針對股票買回活動之動機亦多有討論，但尚未有定論，因此本文研究目的為價格區間是否具有發現價格低估功能以及訊號放射效果。而估計股價超常報酬時，若使用市場模型(Market Model)或Fama-French三因子模型會導致大量樣本遺漏，且股票買回宣告前股價通常呈現明顯下跌的情況，如此可能會產生高估事後超常報酬之偏誤，因此本研究以市場調整模式(Market-adjusted Model)估計超常報酬，避免以上偏誤。研究結果顯示，預定買回之價格區間的確可同時傳遞過去價格低估與未來訊號放射之訊息。宣告較高價格區間上限之公司在宣告後會有較高之超常報酬；另一方面，由於公司宣告之價格區間下限可事先或事後彈性向下調整，無法規之強制性，因此無法有效傳遞價格低估之訊息。此外，相較於法定價格區間，公司宣告之買回價格區間具有較強烈之訊號效果，亦即藉由觀察宣告之預定買回價格區間與實際買回價格兩者之關係，可得知公司未來營運表現之相關訊息。本研究結果在實務上可供投資人對於公司進行股票買回宣告時之因應參考，且衡量超常報酬之模型對於一般投資人較為困難，若僅觀察公司宣告之價格區間，即可得知公司進行實際買回之決心及股價低估程度，對於降低投資人與公司間之資訊不對稱，提高公司資訊透明度，具有顯著助益。藉由本研究結果可知預定買回價格區間之宣告有其必要性，建議其他新興市場國家也可仿效台灣經驗，強制公司必須宣告預定買回之價格區間，並設置適當之價格區間衡量依據，以提高公司資訊透明度，降低內外之資訊不對稱程度，健全資本市場。

摘要(英)

In this study we analyze share repurchase programs, which are subject to specific legal restrictions in Taiwan, in order to determine whether the unique item repurchase price range conveys information regarding the degree of undervaluation and future prospects of a firm. We find that this price range does indeed convey such information, not only about the past but also the future. Undervaluation appears to be an important consideration for share repurchases, and analysis suggests that this notion is important and the information content of the price range indeed exists. This result in turn conveys favorable information regarding the repurchasing firm which can lead to a change in market expectations and serve as a signal of better future prospects. Companies having a higher upper bound of the repurchase price range will experience better future performance than companies that do not.

關鍵字(中)

★ 股票買回活動
★ 價格區間
★ 訊號放射
★ 價格低估

關鍵字(英)

★ share repurchases
★ price range
★ signaling
★ undervaluation

論文目次

CONTENT
中文提要 ………………………………………………………… i
ABSTRACT………………………………………………………… ii
ACKNOWLEDGMENT……………………………………………. iii
CONTENT……..…………………………………………………… iv
TABLE………………..……..…………………………………… v
1 INTRODUCTION…………………………………………. 1
2 SHARE REPURCHASE REGULATIONS…………………… 3
3 THEORY AND HYPOTHESES……………………………… 7
3.1 Classification Based on Price Range…………… 7
3.2 Undervaluation Hypothesis………………………… 8
3.3 Signaling Hypothesis……………………………… 10
4 METHODOLOGY…………………………………………… 13
4.1 Sample Description………………………………… 13
4.2 Calculation of Abnormal Returns………………… 15
5 EMPIRICAL MODELS……………………………………. 16
5.1 Model for Determining the Explanatory Power of the Price Range………………………………………………… 16
5.2 Model for Estimating Information Content of the Price Range……………………………………………………… 16
5.3 Model for Testing the Signaling Power of the Price Range ……………………………………………………… 18
6 EMPIRICAL RESULTS…………………………………… 19
6.1 Descriptive statistics…………………………… 19
6.2 Explanatory Power Test…………………………… 22
6.3 Tests of the Hypotheses…………………………… 23
7 CONCLUSION…………………………………………… 31
REFERENCES……………………………………………………… 33

參考文獻

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指導教授

洪榮華(Jung-hua Hung)

審核日期

2009-6-4

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