上市公司買回庫藏股資訊傳遞效果之探討

The Information Transmission Effect of Stock Repurchase for Listed Companies

10.29735/SJEB.201003.0003

李亮君(Lian-Chun Lee)；李顯儀(Hsien-Yi Lee)；吳幸姬(Hsing-Chi Wu)；李欣微(Hsin-Wei Lee)

庫藏股 ； 資訊傳遞 ； VAR檢定 ； 日內報酬 ； Treasury stock ； information transmission ； VAR test ； intra-day returns

東吳經濟商學學報

68期（2010 / 03 / 01）

61 - 89

繁體中文

本文之研究目的有二，一在探討公司買回庫藏股，是否會增加投資人的注意，使得資訊傳遞反應會領先沒有買回庫藏股的公司？其次，探討買回庫藏股比例較大的公司，是否愈能吸引投資人的關注，使得資訊傳遞反應會領先買回比例較小的公司？實證結果發現有與無買回庫藏股的投資組合，對資訊傳遞反應並無顯著差異，但有實際買回庫藏股且比例較大的投資組合對訊息的反應是領先無買回庫藏股的投資組合。此外，發現宣告買回比例較大與宣告買回比例較小的投資組合間對資訊傳遞反應並無顯著差異；但實際買回比例較大的投資組合對資訊傳遞反應卻是領先實際買回比例較小的投資組合。此結果隱含著實際買回庫藏股比例之多寡，應會影響投資人之關注程度。

This study has two purposes. One is to explore whether firms' stock repurchase increase Investors' attention, which may make the response to information transmission faster than firms with no stock repurchase. The other is to see if the firms with high proportion of stocker purchase increase investors' attention, which may make the response to information transmission faster than firms with low proportion of stock repurchase. The empirical findings indicate that firms with stock repurchase cannot speed up information transmission, but the portfolio with higher proportion of actual stock repurchase are faster in response to information transmission than those with no stock repurchase. In addition, the proportion of announced stock repurchases to its capital cannot affect the speed of information transmission, but the portfolio with higher proportion of actual stock repurchase are faster in response to information transmission than the lower ones. These results imply that the proportion of actual stocker purchases of firm can affect investors' degree of attention.

1. 李顯儀、吳幸姬(2005)。台灣股票市場中訊息的反應與傳遞效果之研究。輔仁管理評論，12(3)，71-94。
   連結：
2. Akhigbe, A.,J. Madura(1999).The industry effects regarding the probability of takeovers.Financial Review,34(3),1-18.
3. Asquith, P.,D. W. Mullins(1986).Equity issues and offering dilution.Journal of Financial Economics,15(4),61-89.
4. Badrinath, S. G.,J. R. Kale,T. H. Noe(1995).Of shepherds, sheep, and the cross-autocorrelations in equity returns.Review of Financial Studies,8(2),401-430.
5. Bagwell, L. S.(1992).Dutch auction repurchases: an analysis of shareholder heterogeneity.Journal of Finance,47(1),71-105.
6. Barber, B.,T. Odean(2001).Boy will boys: gender, overconfidence and common stock investment.Quarterly Journal of Economics,116(1),261-292.
7. Barth, M. E.,R. Kasznik(1999).Share repurchases and intangible assets.Journal of Accounting and Economics,28(2),211-241.
8. Bessembinder, H.,K. Chan,P. J. Seguin(1996).An empirical examination of information, differences of option and trading activity.Journal of Financial Economics,40(1),105-134.
9. Brennan, M. J.,N. Jegadeesh,B. Swaminathan(1993).Investment analysis and the adjustment of stock prices to common information.Review of Financial Studie,6(4),799-824.
10. Brown, D.,M. Ryngaert(1991).The mode of acquisition in takeovers: taxes and asymmetric information.Journal of Finance,46(2),653-669.
11. Chan, K.(1993).Imperfect information and cross-autocorrelation among stock returns.Journal of Finance,48(4),1211-1230.
12. Chordia, T.,B. Swaminathan(2000).Trading volume and cross-autocorrelations in stock returns.Journal of Finance,55(2),913-935.
13. Dickey, D. A.,W. A. Fuller(1979).Distribution of the estimators for autoregressive time series with a unit root.Journal of American Statistics Association,74,427-431.
14. Dittmar, A. K.(2000).Why do firms repurchase stock.Journal of Business,73(3),331-355.
15. Fargher, N. L.,R. A.Weigand(1998).Changes in stock price reaction of small firms to common information.Journal of Financial Research,21(1),105-121.
16. Foster, F. D.,S. Viswanathan(1993).The effect of public information and competition on trading volume and price volatility.Review of Financial Studies,6(1),23-56.
17. Holden, C.,A. Subrahmanyam(1992).Long-lived private information and imperfect competition.Journal of Finance,47(1),247-270.
18. Ikenberry, D.,J. Lakonishok,T. Vermaelen(2000).Stock repurchases in Canada: performance and strategic trading.Journal of Finance,55(5),2373-2397.
19. Jarrell, G. A.,R. Comment(1991).The relative signaling power of Dutch-auction and fixed-price self-tender offers and open-market share repurchases.Journal of Finance,46(4),1243-1272.
20. Jegadeesh, N.,S. Titman(1995).Overreaction, delayed reaction, and contrarian profits.Review of Financial Studies,8(4),973-993.
21. Jensen, M. C.(1986).Agency costs of free cash flow, corporate finance, and takeovers.American Economic Review,76(2),323-329.
22. Kahle, K. M.(2002).When a buyback isn't a buyback: open market repurchases and employee options.Journal of Financial Economics,63(2),235-261.
23. Lakonishok, J.,T. Vermaelen(1990).Anomalous price behavior around repurchase tender offers.Journal of Finance,45(2),455-477.
24. Liu, C. S.,D. A. Ziebart(1997).Stock returns and open-market stock repurchase announcements.Financial Review,32(3),709-728.
25. Lo, A.,C. MacKinlay(1990).When are contrarian profits due to stock market overreaction.Review of Financial Studies,3(2),175-205.
26. Masulis, R.W.(1980).Stock repurchase by tender offer: an analysis of the causes of common stock price changes.Journal of Finance,35(2),305-321.
27. McQueen, G.,M. Pinegar,S. Thorley(1996).Delayed reaction to good news and the cross-autocorrelation of portfolio returns.Journal of Finance,51(3),889-919.
28. Mitchell, M.,E. Stafford(2000).Managerial decisions and long-term stock price performance.Journal of Business,73(2),287-329.
29. Netter, J. M.,M. L. Mitchell(1989).Stock-repurchase announcements and insider transactions after the October 1987 stock market crash.Financial Management,18(1),84-96.
30. Nohel, T.,V. Tarhan(1998).Share repurchases and firm performance: new evidence on the agency costs of free cash flow.Journal of Financial Economics,49(2),187-222.
31. Pugh, W.,J. S. Jahera(1990).Stock repurchases and excess returns: an empirical examination.Financial Review,25(1),127-142.
32. Raad, E.,H. K. Wu(1995).Insider trading effects on stock returns around open-market stock repurchase announcements: an empirical study.Journal of Financial Research,18(1),45-57.
33. Sims, C. A.(1980).Macroeconometrics and reality.Econometrica,48(1),1-48.
34. Stephens, C. P.,M. J. Weisbach(1998).Actual share reacquisitions in open-market repurchase programs.Journal of Finance,53(1),313-334.
35. Vermaelen, T.(1981).Common stock repurchases and market signaling.Journal of Financial Economics,9(2),139-183.
36. Vermaelen, T.(1984).Repurchase tender offers, signaling, and managerial incentives.Journal of Financial and Quantitative Analysis,19(2),163-181.
37. Wansley, J. W.,W. R. Lane,S. Sarkar(1989).Management's view on share repurchase and tender offer premium.Financial Management,18(1),97-110.
38. Wickens, C. D.(1992).Engineering psychology and human performance.New York:Harper Collings.
39. Zhang, H.(2005).Share price performance following actual share repurchases.Journal of Banking and Finance,29(7),1887-1901.
40. 毛治文(1999)。碩士論文(碩士論文)。中文化大學會計研究所未出版之碩士論文。
41. 吳宗翰(2002)。碩士論文(碩士論文)。朝陽科技大學企業管理研究所未出版之碩士論文。
42. 李宗祥(2001)。碩士論文(碩士論文)。國立台灣大學財務金融學系研究所未出版之碩士論文。
43. 林玉成(2001)。碩士論文(碩士論文)。國立高雄第一科技大學財務管理研究所未出版之碩士論文。
44. 林敏愷(2001)。碩士論文(碩士論文)。國立臺灣大學會計學研究所碩士未出版之碩士論文。
45. 邱鍵麟(2001)。碩士論文(碩士論文)。長庚大學企業管理研究所未出版之碩士論文。
46. 陳世新(2001)。碩士論文(碩士論文)。國立政治大學財務管理研究所未出版之碩士論文。
47. 陳振遠、吳香蘭(2002)。台灣上市公司庫藏股購回宣告訊息內涵之研究。中山管理評論，10(1)，127-154。
48. 陳嘉惠、劉玉珍、林炯壵(2003)。公開市場股票購回影響因素分析。證券市場發展季刊，15(3)，27-62。
49. 游智賢、賴育志(2002)。訊息傳遞與投資人關注程度之探討。證券市場發展季刊，14(3)，1-26。
50. 黃美娟(2002)。碩士論文(碩士論文)。長庚大學企業管理研究所未出版之碩士論文。
51. 楊琬婷(2001)。碩士論文(碩士論文)。國立台灣大學財務金融研究所未出版之碩士論文。
52. 熊杏華(1996)。碩士論文(碩士論文)。國立中央大學財務管理研究所未出版之碩士論文。
53. 蔡柳卿、郭法雲(2004)。我國庫藏股制度之實證研究：資訊效果與資訊傳遞動機。會計評論，38，81-112。
54. 駱姿蓓(2001)。碩士論文(碩士論文)。國立中正大學企業管理研究所未出版之碩士論文。

1. 陳暉(2016)。庫藏股購回對公司員工之影響-以 W 公 司為例。。中原大學會計學系學位論文。2016。1-38。