股票購回宣告對其競爭者及上下游產業之市場反應

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姓名

侯威宜(Wei-yi Hou) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

股票購回宣告對其競爭者及上下游產業之市場反應
(The Impact of Share Repurchase Announcements on Firm's Rivals, Suppliers, and Customers)

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摘要(中)

本文利用1997年到2007年的股票購回宣告事件檢驗其對宣告公司競爭者及上下游產業的市場反應。假說架構分為訊號發射以及自由現金流量假說。結果發現當公司宣告股票購回時，競爭者以及上下游產業皆呈現顯著負向反應，顯示競爭效果強度大於傳染效果。此外我們也發現不論是競爭效果或是傳染效果，皆會進一步擴散至上下游產業。對競爭者而言，股票購回宣告隱含產業的負面訊息，因此競爭者與下游產業皆會受到影響，而上游產業則沒有反應此一負面訊息。更進一步發現產業集中度明顯與市場反應成正向相關，高集中度產業有較強烈的市場反應，顯示購回宣告隱含面臨缺乏投資機會的負面訊息，因此並不違反自由現金流量假說。此外在橫斷面分析中，我們也發現宣告產業以及下游產業的市場集中度皆會影響下游產業的市場反應，然而對上游產業而言，只有上游產業本身的集中程度能解釋宣告購回所帶來的市場反應。

摘要(英)

We investigate the market reaction of the share repurchase announcements to firm’s rivals, customers, and suppliers from 1997 to 2007. The rivals and supply chain we identified is according to the benchmark input-output accounts and the data set is used to examine the market reaction during the announcement period. During different periods, all reactions we get are significantly negative. The subsample further indicates that competitive effect dominates contagion effect. Furthermore, we find both the positive and negative reaction could spread out to their supply chain. Under the two hypotheses: Information signaling and Free cash flow. We get results that the announcement will signal industry-wide negative information so that the rivals and customers will be negatively affected. And further we find that the concentration degree of the repurchasing industry will positively affect the rivals’ reaction. Therefore, we support the Free cash flow hypothesis. In addition, the customer’s reaction could be explained by both the concentration degree of the repurchasing and the customer industry. For supplier’s reaction, only the concentration of the supplier industry could explain.

關鍵字(中)

★ 上下游產業
★ 市場反應
★ 股票購回

關鍵字(英)

★ supply chain
★ market reaction
★ repurchase

論文目次

Abstract II
1. Introduction 1
2. Hypothesis 4
2.1 Information Signaling Hypothesis 4
2.1.1 Rivals 5
2.1.2 Customer 5
2.1.3 Supplier 6
2.2 Free Cash Flow Hypothesis 6
2.2.1 Rival 7
2.2.2 Customer 7
2.2.3 Supplier 7
3. Data sources, repurchase sample, suppliers and customers 9
3.1 Repurchase Sample 9
3.2 Rival, Customer, and Supplier 9
4. Methodology and empirical results 11
4.1 Measuring abnormal returns 11
4.2 Abnormal returns to the full sample 12
4.3 Empirical result of Information Signaling Hypothesis 16
4.4 Empirical result of Free Cash Flow Hypothesis 21
5. The cross-sectional analysis of cumulative abnormal return 32
5.1 Measure of independent variables 32
5.2 Cross-sectional results 32
6. Conclusion 38
Reference 40

參考文獻

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指導教授

周冠男(Kuan-Nan Chou)

審核日期

2009-6-29

推文