Market Equilibrium of Open Market Share Repurchases: Price Information, Market Liquidity, and Firms' Private Information

公開市場股票購回均衡模型研究：價格資訊、市場流動性與私有資訊價值

10.6545/JFS.2015.23(2).1

許志成(Chih-Chen Hsu)；陳安行(An-Sing Chen)；李竟維(Jing-Wei Li)

公開市場股票購回 ； 市場均衡模型 ； 股票購回完成率 ； 市場流動性 ； 公司資訊 ； Open market share repurchases ； market equilibrium model ； completion rates ； market liquidity ； firms' information

財務金融學刊

23卷2期（2015 / 06 / 30）

1 - 18

英文

本文引用Kyle（1985）微觀市場模型檢視微觀市場因素與公司特性因素對公開市場股票購回後之購回績效。實證結果顯示實施公開市場股票購回之股票價格績效與股票購回完成率有長期正相關、與市場流動性有短期正相關。此外，公司財務槓桿與公司規模對於實施公開市場股票購回後之購回績效亦有所影響，尤其是公司規模因素。

This study examines stock price performance, conditional on the microstructure factors, completion rates, and market liquidity, following open market stock repurchases (OMRs) by employing Kyle's (1985) market equilibrium model. The investigation focuses on TAIEX listed companies which executed OMRs in Taiwan from 2000 to 2008. Results show a positive relationship between completion rates and stock price performance following OMRs in the long run, and a positive relationship between market liquidity and stock price performance following OMRs in the short run. Moreover, we find that a firm's leverage and size affect its stock price performance following OMRs, especially size.

1. Liu, Chi-Chun,Chen, Ni-Yun(2010).The impact of analysts' forecasts on share repurchases as signals for earnings.Journal of Financial Studies,18,1-25.
   連結：
2. Wang, Chu-San E.(2008).The relative signaling power of open-market and subsidiary share repurchases in Taiwan stock market.Journal of Financial Studies,16,1-60.
   連結：
3. Brockman, Paul,Chung, Dennis Y.(2001).Managerial timing and corporate liquidity: Evidence from actual share repurchases.Journal of Financial Economics,61,417-448.
4. Comment, Robert,Jarrell, Gregg A.(1991).The relative signaling power of dutch-auction and fixed-price self-tender offers and open-market share repurchases.Journal of Finance,46,1243-1271.
5. Cook, Douglas O.,Krigman, Laurie,Leach, Chris(2004).On the timing and execution of open market repurchases.Review of Financial Studies,17,463-498.
6. Dann, Larry Y.(1981).Common stock repurchases an analysis of returns to bondholders and stockholders.Journal of Financial Economics,9,113-138.
7. Fama, Eugene F.,French, Kenneth R.(1992).The cross-section of expect stock returns.Journal of Finance,47,427-465.
8. Ikenberry, David,Lakonishok, Josef,Vermaelen, Theo(2000).Stock Repurchases in Canada: Performance and strategic trading.Journal of Finance,55,2373-2398.
9. Ikenberry, David,Lakonishok, Josef,Vermaelen, Theo(1995).Market underreaction to open market share repurchases.Journal of Financial Economics,39,181-208.
10. Isagawa, Nobuyuki(2002).Open market repurchase announcements, actual repurchases, and stock price behavior in inefficient markets.Financial Management,31,5-20.
11. Isagawa, Nobuyuki(2000).Open market stock repurchase and stock price behavior when management values real investment.Finance Review,35,95-108.
12. Kyle, Albert S.(1985).Continuous auctions and insider trading.Econometrica,53,1315-1336.
13. Leng, Fei,Noronha, Gregory(2013).Information and long-term stock performance following open market share repurchases.Financial Review,48,461-487.
14. McNally, William J.(1999).Open market stock repurchase signaling.Financial Management,28,55-67.
15. McNally, William J.,Smith, Brian F.(2011).A microstructure analysis of the liquidity impact of open market repurchases.Journal of Financial Research,34,481-501.
16. McNally, William J.,Smith, Brian F.,Barnes, Thomas(2006).The price impacts of open market repurchase trades.Journal of Business Finance and Accocunting,33,735-752.
17. Stephens, Clifford P.,Weisbach, Michael S.(1998).Actual share reacquisitions in open market repurchase programs.Journal of Finance,53,313-333.
18. Vermaelen, Theo(1981).Common stock repurchases and market signaling.Journal of Financial Economics,9,139-183.