從獲取交換價值觀點檢視台灣上市公司庫藏股之購回效應

The Study of Stock Repurchase Announcement Effects: An Exchange Option Approach

10.6985/TBFQ.200609.0035

吳明政(Ming-Cheng Wu)；王南喻(Nan-Yu Wang)

股票購回 ； 選擇權定價模式 ； 資訊不對稱 ； 異常報酬 ； stock repurchase ； option pricing model ； information asymmetry ； abnormal return

台灣金融財務季刊

7卷3期（2006 / 09 / 01）

35 - 51

繁體中文

文獻上對於庫藏股股票購回之宣告效果進行實證研究者眾，本文有別於以往之做法，採取結合選擇權的評價方式，從另一個交換價值取得的觀點來進行股票購回效果的探討。對於台灣上市公司頻頻採用庫藏股買回制度來捍衛股價之現象，本文運用Ikenberry and Vermaelen(1996)的實證研究方法，採取Margrabe(1978)提出的交換選擇權來進行上市公司宣告股票購回的實證分析。研究期間自台灣實施庫藏股的首日2000年8月9日至2004年12月31日為止，對股價所產生的反應及其原因進行研究。實證結果得出，當台灣企業宣告庫藏股購回時，其股價確有顯著的正向反應、購回宣告所產生的價值與購回比例成正相關，和股票真實報酬率及市場報酬率的相關係數成負相關，且兩者皆為顯著，符合模型預期結果。另外，與報酬標準差具有正向變動關係，亦與預期相符，唯該數值尚未達到顯著水準。

Although there were many empirical studies on the topic of treasury stock repurchase announcement effects so far, this paper will explore the stock repurchase effects from the viewpoint of applying option pricing model. This study adopts the Ikenberry and Vermaelen (1996) pricing model by considering of exchange options and treasury stock characteristics simultaneously. In this study, the data includes all the treasury stock samples from Taiwan listed companies between August 9, 2000 and December 31, 2004. Our empirical results show that the positive abnormal return occurs when the firm repurchases stock. Moreover, the additional value created by stock repurchases increases when the fraction of share repurchases increases, the correlation coefficient between the observed market rate of return on the stock and the true rate of return decreases. The above two factors are significant, and the results fit in with the expectation in the model. Furthermore, the additional value created by stock repurchases increases when the standard deviation of returns increases. Although the coefficient of standard deviation isn't significant, the positive relationship still conforms to our expectation in the pricing model.

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