臺灣博碩士論文加值系統

本研究探討實施庫藏股前後一段時間的媒體關注度對庫藏股宣告時的股價影響。本研究的樣本為台灣的庫藏股宣告之公司，期間為2000年至2015年。研究結果顯示，當媒體關注越多時，其平均累積報酬率將越高，而其異常交易量則會下降，這與我們提出的假設一致，市場投資人視媒體為可了解公司及其價值之管道。

This paper studies the impact of the announcement effect media attention on share price reaction during the stock repurchases. In a sample of Taiwan firms that under take stock repurchases from 2000 through 2015.We find that the average abnormal return and abnormal volume for firms with media attention is higher.

中文摘要 ii
Abstract iii
誌謝 iv
目錄 v
圖表目錄 vi
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 論文架構與研究流程 3
第貳章 文獻探討 5
第一節 庫藏股相關文獻 5
第二節 媒體關注度相關文獻 7
第參章 研究方法 9
第一節 樣本期間與資料來源 9
第二節 衡量公司的媒體關注度 9
第三節 事件研究法 10
第四節 累積異常報酬率與累積異常交易量 12
第五節 回歸方程式 14
第肆章 實證結果 15
第一節 全體樣本與異常報酬 15
第二節 迴歸分析 17
第伍章 結論與建議 24
第一節 結論 24
第二節 未來研究建議 25
文 獻 26

沈中華與李建然，2000，事件研究法：財務與會計實證研究必備。台北：華泰。
郭敏華、洪舒雯，2003，內部人持股變動與庫藏股宣告效果，台灣金融財務季刊，第四輯第二期，頁81-102
陳達新，2003，庫藏股制度對股票價格的宣告效果¬-台灣上市公司的實證研究， 商管科技季刊，第4卷第四期，頁377-398
陳振遠與吳香蘭，2002，台灣上市公司庫藏股購回宣告資訊內涵之研究，中山管理評論，第10卷第一期，頁127-154.
Aboody, D., 1996. Market valuation of employee stock options. Journal of Accounting and Economics 22, 357~391.
Barber, Brad M., Terrance Odean, and Ning Zhu, 2006, Do noise traders move markets?, working paper, UC Davis and UC Berkeley.
Barber, Brad M. and Terrence Odean, (2008),All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investor, Review of Financial Studies, 21 (2), 785-818.
Comment, R.,and G.A. Jarrell, 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.
Carroll, Craig; McCombs, Maxwell (2003): Agenda-Setting Effects of Business News on the Public‘s Images and Opinions about Major Corporations. In: Corporate Reputation Review, Volume 6, Heft 1 2003, 36-46.
De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98(4), 703-738.
Dann, L.Y., Masulis, R.W., Mayers, D., 1991. Repurchase tender offers and earnings information. Journal of Accounting and Economics 14, 217—251.
Denis, D.J., 1990. Defensive changes in corporate payout policy: share repurchases and special dividends. Journal of Finance 45, 1433—1456.
Dyck, I.J. Alexander, and Luigi Zingales, 2002a, Private benefits of control: An international comparison, Working paper 8711, NBER.
Dyck, I.J. Alexander, and Luigi Zingales, 2002b, The corporate governance role of the media, in Roumeen Islam, ed.: The Right to Tell: The Role of Mass Media in Economic Development, Chap. 7 (The World Bank, Washington).
Fang, Lily H., and Joel Peress, (2009), “Media Coverage and the Cross-Section of Stock Returns”, Journal of Finance, 64 (5), 2023-2052.
Grullon, G., & Michaely, R. (2002). Dividends, share repurchases, and the substitution hypothesis. Journal of Finance, 57(4), 1649-1684.
Hertzel, M., Jain, P.C., 1991. Earnings and risk changes around stock repurchase tender offers. Journal of Accounting and Economics 14, 253—274.
Howe, K.M., He, J., Kao, G.W., 1992. One-time cash flow announcements and free cash-flow theory: share repurchases and special dividends. Journal of Finance 47, 1963—1975.
Lee, D.S., Mikkelson, W.H., Partch, M.M., 1992. Managers’ trading around stock repurchases. Journal of Finance 47, 1947—1961.
Lee, D.S., Mikkelson, W.H., Partch, M.M., 1992. Managers’ trading around stock repurchases. Journal of Finance 47, 1947—1961.
McCombs, M. E. and Shaw, D. L. (1972). The Agenda-Setting Function of Mass Media. Public Opinion Quarterly, 36, 176- 187.
Majluf, Nicholas S. and Stewart C. Myers. "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have," Journal of Financial Economics, Vol. 13, No. 2, 1984, 187-221.
Vermaelen, T., 1981. Common stock repurchases and market signaling: an empirical study. Journal of Financial Economics 9, 139—183.
Zhang, L., 2005. The value premium. Journal of Finance 60 (1), 67–103.