台灣電子股與傳產股在多頭與空頭市場中實施庫藏股宣告對股票報酬率之影響

Differential Effects of Stock Repurchases on Stock Returns in Bullish Markets and Bearish Markets-A Comparison of the Electronics Industry and the Traditional Industry in Taiwan

10.30065/JCER.201203.0008

鄭廳宜(Ting-Yi Cheng)；王永昌(Yung-Chang Wang)

多頭市場 ； 空頭市場 ； 異常報酬率 ； 事件研究法 ； Bullish Market ； Bearish Market ； Abnormal Returns ； Event Study

華人經濟研究

10卷1期（2012 / 03 / 01）

165 - 179

繁體中文

本文以2000年8月7日至2010年12月31日期間台灣上市和上櫃公司宣告實施庫藏股之公司為研究對象，利用事件研究法比較在公司宣告實施庫藏股前後多頭市場與空頭市場投資人對股價之反應。實證結果指出：（1）公司宣告實施庫藏股前股價呈現負的異常報酬率及公司宣告實施庫藏股後股價呈現正的異常報酬率，支持信號假說。（2）公司宣告實施庫藏股前，空頭市場之負異常報酬率酬絕對值大於多頭市場，顯示在空頭市場時期股票價值被低估較為嚴重。（3）公司宣告實施庫藏股後，多頭市場之正異常報酬率都大於空頭市場，顯示股票市場在多頭市場時有明顯助漲之效果。（4）除在空頭市場傳產股平均累積異常報酬率大於電子股外，其他二者皆無差異。

This study collected the data on closing prices for the listed companies traded on the exchange and over the counter in Taiwan for the period from August 7, 2000 to December 31, 2010. The event study approach is employed to examine the investors' reaction to a company's announcement of stock repurchases in bearish markets and bullish markets Evidence indicates that (1)negative and positive abnormal returns are found before and after the announcement of stock repurchases; (2)negative abnormal returns are found to be larger in absolute value in bearish markets than in bullish markets before announcement of stock repurchases, implying that shares are undervalued more in bearish markets than in bullish ones; (3)positive abnormal returns are found to be larger in bullish markets than bearish markets after announcement of stock repurchases; and (4)average accumulative abnormal returns are found to be larger in the traditional industry than in the electronics industry, but no differences are found elsewhere.

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