公開市場購回股票之研究

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姓名

余奕旻(Yi-Min Yu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

公開市場購回股票之研究
(Two Essays on Open Market Share Repurchases)

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摘要(中)

股票購回已成為財務文獻的熱門研究主題。當公司宣告其股票購回計劃，同時也會改變資訊環境，有資訊的投資者與無資訊的投資者可能因此而調整其投資決策，資訊交易風險因而可能有所不同。此外，股票購回的資訊效果不只是影響購回公司本身，亦可能循著供應鍵而影響著其他公司。因此，本文即以此二主題進行研究，以便對於更深刻的瞭解股票購回內涵提供貢獻。
第一篇係研究公開市場購回股票前後的資訊交易情況。研究結果顯示，股票購回的執行期間，資訊交易風險明顯地上升，並隨著執行結束而下降。這可能係因為部分的無資訊投資者預期股票購回的執行期間會有較高的資訊不確性，因而退出市場，留在市場中的無資訊交易者乃面臨著更有可能與有資訊交易者進行交易。
第二篇係研究公開市場股票購回對供應商的財富效果。研究結果顯示供應商有明顯的負向短期異常報酬。這可能係因為供應商察覺股票購回公司未來的獲利將下降，乃調整其投資決策以規避不利的影響。這個結果較符合自由現金流量假說。此外，本文亦發現股票購回公司與供應商間的關係密切與否對供應商的財富效果亦有影響。

摘要(英)

Share repurchases have been an intensely studied topic in finance literature. When a firm announces its buyback plan, it will change the firm’s information environment. Informed and uninformed investors are likely to adjust their investment decision. The risk of information trading around share repurchases may be different. Moreover, the information effect of share repurchase is not only on the repurchasing firm but also likely to spill over other firms along supply chain. Thus, this dissertation investigates the two issues and contributes to deeper understand the implication of open market share repurchases.
In the first essay, we examine the information trading around open market share repurchases. Our results show that the risk of information trading significantly increases during the repurchase execution period and reverts back in the post-expiration period. It is likely that some uninformed traders leave the market in the execution period, in anticipation of higher information uncertainties. Therefore, the remaining uninformed traders collectively face higher possibility of trading with informed traders.
In the second essay, we investigate the wealth effect of open market share repurchases on suppliers. The results show that suppliers have significantly negative short-run abnormal return. It is likely that, when suppliers perceive repurchasing firms’ profitability decline, they adjust their investment to avoid disadvantage. It is more consistent with free cash flow hypothesis. Moreover, we find that the relationship between repurchasing firms and their suppliers have impact on suppliers.

關鍵字(中)

★ 股票購回
★ 資訊不對稱
★ 資訊交易
★ 序列交易模型
★ 資訊發射
★ 自由現流量

關鍵字(英)

★ Share repurchase
★ Information trading
★ Information asymmetry
★ Sequential trading model
★ Information signaling
★ Free cash flow

論文目次

Contents ……………………………………………………………… i
List of Figures…………………………………………………….. v
List of Tables …………………………………………………... vi
Essay1：Information Trading around Open Market Share Repurchases: Evidence from the Taiwan Stock Exchange ... 1
1. Introduction ................................. 2
2. Literature Review and Development of Hypotheses 6
2.1. Information asymmetry around repurchase announcements .......................................... 7
2.2. Information asymmetry around repurchase expiration ............................................... 8
2.3. Hypothesis development......................... 9
3. Data and Methodology........................... 11
3.1. Data and sample selection...................... 11
3.2. Classification of trades....................... 12
3.3. The EKOP model and its applicability on the TSE 13
3.4. Parameter estimation and statistical tests..... 15
4. Empirical Results.............................. 15
4.1. Abnormal returns and trading characteristics around share repurchases................................ 15
4.2. Information trading risk around share repurchases ............................................... 19
4.3. New information events around share repurchases 20
4.4. Trading intensity of uninformed traders around share repurchases....................................... 20
4.5. The trading intensity of informed traders around share repurchases....................................... 21
5. Conclusion..................................... 21
References.............................................. 23
Appendix：Trade Process of EKOP and Its Likelihood Function ............................................... 26
A.1 The trading process............................ 26
A.2 The likelihood function........................ 28
Essay 2：The wealth effects of open market share repurchase on suppliers................................. 40
1. Introduction................................... 40
2. Literature review and hypotheses development... 43
2.1. Information signaling hypothesis............... 43
2.2. Free cash flow hypothesis...................... 45
3. Data and methodology........................... 47
3.1. Sample construction............................ 47
3.2. Short-run abnormal returns..................... 47
3.3. Operating performance and investment decision . 48
3.4. Long-run abnormal returns...................... 50
4. Empirical results.............................. 52
4.1. Summary statistics ............................. 52
4.2. Short-run abnormal return around repurchase announcement............................................ 53
4.3. Operating performance and investment of repurchasing firms and suppliers........................ 54
4.3.1. Operating performance repurchasing firms and suppliers ............................................... 54
4.3.2. Investment of repurchasing firms and suppliers ............................................... 55
4.4. Long-run abnormal return following repurchase announcement............................................ 56
4.5. Further empirical results...................... 57
4.5.1. Univariate analysis for short- and long-run abnormal returns........................................ 57
4.5.2. Univariate analysis for operating performance and investment.............................................. 61
4.6. Regression analysis............................ 62
5. Conclusion..................................... 65
References.............................................. 67

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指導教授

周冠男、葉錦徽
(Robin K. Chou、Jin-Huei Yeh)

審核日期

2011-1-10

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