臺灣博碩士論文加值系統

公司在決定是否執行庫藏股時(Stock Repurchase)，有許多的考量，因此出現了許多探討執行因素的假說。其中，訊號理論是一個被廣泛研究的假說。Dann (1981)、Vermaelen (1981)、Asquith and Mullins(1986)以及Comment and Jarrell (1991)的研究都支持了訊號理論。而Grullon(2004)的研究反對了訊號理論。
本文鑒於訊號理論為庫藏股執行假說為最常討論的議題，而多數研究多會以異常報酬的形式證明或推翻此理論，但異常報酬僅是代表市場的認同，其實另一方面也可能經理人認為股價低估而執行庫藏股，但因市場不認同而沒有異常報酬。所以，本文期待能以不同的方式驗證這個假說，更加強調的是經理人的動機，即執行庫藏股是否是基於對股價的低估，而非結果，即股價是否上漲。
本文視執行庫藏股為公司對自己本身的投資案，由於此類投資案的價值具有高度不確定性(Uncertainty)以及不可回復性(Irreversibility)，並非傳統上以淨現值(Net Present Value)大於零就投資如此簡單。因此，期待透過訊號理論的假說，以實質選擇權(Real Option)模擬出經理人在公司股價低估下，買回庫藏股的時機，再對模型參數做實證，若參數顯著且與市場方向相符，則可以藉與以往不同的實證方式支持訊號理論。

This paper takes real option approach to model how companies consider exercising share repurchase when stock price are undervalued. Companies in deciding whether to execute the stock repurchase, there are many considerations, so there were many factors to explore the implementation of the hypothesis and there are many Share Repurchases Hypothesis. Signal Theory is one of the most discussed and widely studied. The researches of Dann (1981), Vermaelen (1981), Asquith and Mullins (1986) and Comment and Jarrell (1991) support the signal theory while Grullon (2004)’s against the signal theory. Most verifications use abnormal return. However, in this paper I want to verify the motivation, not reactions about share repurchase. Therefore, I take real option approach to model how companies consider exercising share repurchase. Then the model’s parameter is verified. If parameter’s direction consistent with market direction. It supposed to be a successful evidence for the Signal Theory.

目錄
中文摘要 ii
Abstract iii
目錄 iv
表目錄 v
圖目錄 vi
第一章、前言 1
第二章、文獻回顧 3
2.1：實質選擇權(Real option)與淨現值法(Net Present Value, NPV) 3
2.2：庫藏股制度與相關法令說明 5
2.3：庫藏股(Stock Repurchase) 的執行假說 8
第三章、模型 11
3.1：模型假設 11
3.2：公司未來獲利確定性 13
3.3：公司未來獲利隨機性 14
第四章、實證 17
4.1：模型結果 17
4.2：假設 17
4.3：資料 18
4.4：方法 19
4.5：結果 20
第五章、結論 21
參考文獻 22
附錄一 24
附錄二 26
附錄三 28

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