本研究探討當公司宣告股票購回時，其上下游產業對於此消息的市場反應。研究期間為1996年到2005年，架構於訊號假說及現金流量假說，將事件樣本依其與宣告公司的關聯性分為供應商、顧客以及競爭者。結果發現當公司宣告股票購回時，其競爭者、供應商、與顧客皆呈現負的異常報酬。對競爭者而言，負的異常報酬並不違反訊號假說與自由現金流量假說的假設，且競爭效果較傳染效果較為強烈；在現金流量假說，宣告公司缺乏投資機會的前提下，減少原料進口需求，供應商因而面臨負的股價反應。顧客反應在現金流量假說之下，當宣告公司缺乏投資機會，較少的進貨量亦有可能導致產品單位成本的上升，轉嫁予顧客亦成為額外負擔。最後，根據橫斷面回歸的分析，未發現具代表性的解釋因子，懷疑其他關於股票購回的假說或因子會更有解釋能力。 We investigate the upstream and downstream wealth effects of repurchase announcements from 1996 to 2005. We construct a data set that identifies the corporate customers, suppliers, and rivals and use this data set to examine their cumulative abnormal returns during the announcement period. The abnormal returns to the overall sample of rival, customer, and supplier are negative. The sub-sample of rivals provides an evidence to support the information signaling hypothesis and the free cash flow hypothesis. In addition, competitive effect is stronger than contagion effect. The negative abnormal return to the supplier is mainly due to the decline in demand of input when repurchasing firm lacks investment opportunities. For customer, we also observe negative price reaction. It is possible that repurchase firm which lack investment opportunities may lead the demand of input to decrease. Announcing firms may pass the extra cast to customers. That is likely the reason why customers will experience negative abnormal return under the free cash flow hypothesis. Finally, cross-sectional tests indicate that we cannot find a significant factor. This finding may suggest a future research on other factors or hypothesis of share repurchases would be more powerful in explaining the abnormal return.
