宣告股票購回之日內市場反應

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姓名

李靜宜(Ching-Yi Li) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

宣告股票購回之日內市場反應
(Market Reactions to Repurchase Announcements--An Intraday Analysis)

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摘要(中)

本文利用1995至2004年之日內交易與報價資料及準確性之宣告時點檢驗市場對股票購回宣告之日內反應。
根據我們的樣本發現股票購回宣告具有資訊內涵，且市場具有效率性。股價在宣告訊息發布的ㄧ分鐘內上漲，交易強度增加。實際購回股票之公司具有些微較高的市場反應。投資人可在股票購回宣告前根據相關訊息交易可得到小額獲利。
宣告股票購回亦造成報價流動性的改變。包含股票購回宣告的半小時區間內，流動性下降，符合資訊不對稱假說，可觀察到價差增加、深度下降。

摘要(英)

We use intraday trade, quote data and exact announcement times to examine the within-day pattern of the market reactions surrounding repurchase announcements. The sample period is from 1995 to 2004.
We find that repurchase announcements samples have information content. The market incorporates repurchase announcements within one minute of initial release. The price response is positive and slightly stronger for firms with actual buyback. There is a significant increase in trading intensity within the event period. Investors who trade before the initial release earn small profit for compensating their effort in gathering information.
Quoted liquidity varies because of the repurchase announcements. The quoted spread increases and quoted depth decrease during the event period. The liquidity is decreasing and consistent with the information asymmetry hypothesis.

關鍵字(中)

★ 流動性
★ 宣告股票購回

關鍵字(英)

★ liquidity
★ repurchase announcement

論文目次

Table of Contents
1. Introduction 1
2 Hypothesis 5
2.1 Market efficiency Hypothesis 5
2.2 Actual Buyback Hypothesis 5
2.3 Information-asymmetry (liquidity decrease) Hypothesis 6
2.4 Competing-market-maker (liquidity increase)Hypothesis 7
3 Literature Review 8
4 Data and Methodology 10
4.1 Data 10
5 Methodology 14
5.1 The impact of repurchase announcement on price 14
5.2 The impact of repurchase announcement on liquidity 16
5.2.1 Univariate Test 16
5.2.2. Multivariate test 18
6 The impact of repurchase announcement on price and trading 19
6.1 Magnitude of price response 19
6.2 Speed of price response 22
6.3 Cross-sectional determinants of price impact 24
6.4 Trading profitability 28
6.5 Trading activity 30
7 The impact of repurchase announcement on liquidity 35
7.1 Univariate test results 35
7.2 Multivariate test results 39
8 Conclusion 43
Reference 46
Appendix A 48
Appendix B 49

參考文獻

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指導教授

周冠男、陳聖賢
(Robin K. Chou、Sheng-Syan Chen)

審核日期

2006-6-27

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