台灣上市公司庫藏股購回宣告效應之研究; The study of listed companys' stocks repurchases declaration effect in Taiwan

NCUIR > School of Management at National Central University > Graduate Institute of Business Administration > Electronic Thesis & Dissertation > Item 987654321/11687

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/11687

Title:	台灣上市公司庫藏股購回宣告效應之研究;The study of listed companys' stocks repurchases declaration effect in Taiwan
Authors:	李憲彥;Danny Lee
Contributors:	企業管理研究所
Keywords:	庫藏股購回宣告效應;事件研究法;累積異常報酬;stocks repurchases decalaration effect;event study;cumulative abnormal return
Date:	2005-06-09
Issue Date:	2009-09-22 14:28:49 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	論文提要及內容：本研究用事件研究法來分析庫藏股購回宣告效應，另外以t檢定、Scheffe檢定、複迴歸分析來檢定各因子是否對庫藏股購回宣告效應有影響。台灣的庫藏股購回宣告效應是相當地顯著的，可以清楚的觀察到顯著的異常報酬與累積異常報酬，另外，在制度實施的第一年有明顯的新近效果，但在第二年後庫藏股購回宣告效應就已穩定。從觀察代理變數對累積異常報酬的影響可以了解資訊不對稱程度越高者，庫藏股購回宣告效應越明顯，除了研發費用率一項並沒有發現顯著外，資本小、無形資產比例高、AR標準差大者的庫藏股購回宣告效應較明顯，資訊不對稱假說成立。股價淨值比較低者的庫藏股購回宣告效應較大，驗證了價值低估假說，但前期累積異常跌幅較小者的持續效果反而較大，還有待以後研究者做進一步的探討。本研究中的兩個代理變數並沒有發現資金充裕程度對庫藏股購回宣告效應的影響，與其他研究的不同代理變數有相同結論，可見得台灣市場不適用超額資金假說。宣告目的三的庫藏股購回宣告效應大於宣告目的一，其中有趣的是宣告目的一的宣告前累積異常跌幅是大於宣告目的三的，和宣告目的本身成了對比。股價指數多空亦影響了庫藏股購回宣告效應，股價指數空頭時效應最大，要注意的是這應該是因為股價指數空頭時有較低的股價淨值比。最後，產業別並沒有對庫藏股購回宣告效應產生影響，此結果與其他研究不同。 This study uses event study、t test、Scheffe test、multi-regression to test some factors to know how they affect the stocks repurchases decalaration effect. The results show that the stocks repurchases decalaration effect in Taiwan is very robust,besides in first year the CAR is much larger than other years and the effects become stable after the first year. After statistical tests,our conclusions are as follow: 1.The higher the degree of information asymmetry,the effect is greater. 2.Low Price/Net value stocks have greater effect. 3.The hyphothesis of excess capital is not suit for Taiwan market. 4.The effect of intension 3 is greater than intension 1. 5.When the market index is low,it is always has greater effect. 6.Our results do not find any evidence to surpport the hypothesis that different industries have different CAR.This conclusion is different from others.
Appears in Collections:	[Graduate Institute of Business Administration] Electronic Thesis & Dissertation

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