上市公司宣告買回庫藏股之宣告效果與買回動機之研究

Abstract

本論文旨在探討我國上市公司宣告買回庫藏股之宣告效果與宣告買回之動機。我國庫藏股制度於民國89年8月9日開始正式實施，而本研究之樣本期間特設定為民國92年1月1日至94年12月31日，藉以排除亞洲金融風暴與本土型金融危機時期，空頭市場行情對本研究結果之影響。 研究結果發現，我國上市公司宣告買回庫藏股確實有短期的正向宣告效果。而且平均每股買回價格愈高、過去股價績效愈差、淨值市價比愈高之公司，其宣告買回庫藏股之累積異常報酬率愈高，並達顯著水準；顯示公司藉由宣告買回庫藏股降低資訊不對稱的情形，也顯示管理當局看好公司前景，並向市場傳遞其股價受低估的訊息，故支持資訊訊號假說。 再者，現金流量允當比率愈高，其宣告買回庫藏股之累積異常報酬率愈高，並達顯著水準；故支持自由現金流量假說。內部人持股比率愈高、董監質押持股比率愈低，則宣告買回庫藏股之累積異常報酬率愈高，惟均未達顯著水準。在過去會計資訊方面，公司之營運槓桿度愈低、獲利能力愈高，則宣告買回庫藏股之累積異常報酬率愈高，表示公司宣告買回庫藏股時，市場將會重新評估其過去會計資訊之意涵。

This paper examines the effects and motives of Taiwan Stock Exchange listed companies that announced stock repurchases. The stock repurchases system has carried out since 9th of August in 2000 in Taiwan. To avoid the influence of Asian financial meltdown and local financial crisis, we use samples from January 2003 to December 2005. The results show that there are short-run positive effects when companies announce to repurchase their stocks. The average prices of repurchase stocks and the book-to-market ratios of companies are positively related to companies’ cumulative abnormal returns. The performances of past stock prices are negatively related to companies’ cumulative abnormal returns. The information asymmetry phenomenon can be mitigated, so the results support the information or signaling hypothesis. Furthermore, we find that the cash flow proper ratios are positively related to companies’ cumulative abnormal returns, so we support the free cash flow hypothesis. However, insider-stock-hold ratios and insider-stock-mortgage ratios of companies are not significantly related to companies’ cumulative abnormal returns. In another aspect, we find that when companies announce to repurchase their stocks, the investors will revaluate their past accounting information.