以公司特徵及庫藏股執行面探討美國上市科技業公司宣告買回庫藏股後之異常報酬

Abstract

由企業出資自公開市場買回部分流通在外自己股票的行為，稱為庫藏股買回（Buyback）。企業會有不同買回庫藏股之原因，如: 捍衛價值被低估之公司股價、調整公司的資本結構、節省股東稅負、員工認股權、股票選擇權或分紅配股之準備、穩定股利政策…等，其中公司價值低估為最常見之原因，在此價值低估情形下內部經理人最有可能執行庫藏股買回之選擇Ikenberry and Vermaelen (1996)。因此，本研究樣本為美國上市科技業公司，樣本期間1999年~2021年，以長、短期事件研究法檢視短期累積異常報酬CAR 0~2個交易日的市場初期反應及0~20個交易日亦即事件日後一個月的市場反應，搭配公司特性做出不同群體之短期累積異常報酬CAR之強弱;長期部分則以買進持有異常報酬BHAR衡量1年(12個月)至3年(36個月)的長期報酬，搭配「控制公司法」配對出控制公司後，先求得整體樣本BHAR，再以是否為半導體業公司(SEMI)、股利發放率(Payout)進行特殊特性BHAR差異之檢視。研究實證結果指出是否為半導體業公司(SEMI)之特性對於長期異常報酬並未有差異，然而前一年度未發放現金股利Payout Ratio=0之公司反而長期持有1~2年的BHAR皆大於有發放現金股利Payout Ratio>0之公司。相同的是，不管短期或長期，市場皆偏好公司規模較小、市值較低之公司，但相異之處為短期市場偏好「淨值市價比」較大之價值型公司(Value Stocks)、長期市場則偏好「淨值市價比」較小之魅力型公司(Glamour Stocks)。

The act of firms buying back part of its own outstanding shares from the open market is called stock buyback. Companies have different reasons for buying back shares, such as: defending the stock price of an undervalued company, adjusting capital structure, stock options, dividend distribution, dividend policy, etc. Among those the undervaluation is the most common reason, and in this undervaluation situation, the managers are most likely to execute the stock buyback Ikenberry and Vermaelen (1996). Therefore, the sample of this study is the US listed technology companies from 1999 to 2021. Short-term event study method are used to examine the initial market reaction of cumulative abnormal returns for 0~2 trading days and 0~20 trading days. In short-term event study method, we divided sample into different characteristic to examine the strength of CAR in different groups. Long-term abnormal return is measured by buy and hold abnormal return for 1 year (12 months) to 3 years (36 Month) with the "Control Firm Method". In Long-term event study method, we also divided sample into different characteristic such as semiconductor company (SEMI) and dividend payout ratio (Payout). The empirical results of the research indicate that there is no difference in the long-term abnormal return whether it is a semiconductor company (SEMI) or not. However, companies that do not pay cash dividends with Payout Ratio=0 have BHAR 1~2 years greater than those companies that pay cash dividends. In sum, on one hand, regardless of short-term or long-term, the market prefers companies with smaller size. On the other hand, the market prefers companies with a larger “book-to-market ratio” (Value Stocks) in the short run, but prefers companies with a lower “book-to-market ratio” (Glamour Stocks) in the long run.