臺灣博碩士論文加值系統

本研究探討公司宣告購回庫藏股前負面媒體報導對宣告期間公司股價的反應。過去研究指出因資訊不對稱，公司宣告購回庫藏股會帶給投資人公司股票被低估的訊息，因此實施後會有正的異常報酬率，而公司管理階層可能為降低購回成本或為私人利益，而在庫藏股宣告前透過媒體揭露更多壞消息，導致股價負向反應使購回成本降低。而若實施購回庫藏股前公司有較多的負面媒體報導，讓投資人情緒悲觀預期公司未來前景堪憂，此時公司卻雪中送炭的宣告購回庫藏股傳遞公司價值被低估的訊息，投資人感到劇烈反差於是過度反應公司宣告購回庫藏股的好消息，正向影響公司宣告期間股價。本文研究樣本從2009年至2010，進行購回庫藏股的台灣上市公司。研究結果顯示宣告前負面媒體報導比率較高的公司，宣告期間異常報酬率顯著高於宣告前負面媒體報比率較低的公司，爾後因投資人過度反應所造成的股價反轉，宣告前負面媒體報比率較高的公司其宣告後異常報酬率逐步下降。總結庫藏股購回宣告前負面媒體報導比率會影響宣告期間異常報酬率，對宣告期間公司股價有正向反應。

This study investigated before the stock repurchase announcement, the negative media reports on the conduct of shares declared company''s stock price reaction. It’s sample is Taiwan listed companies repurchase treasury shares declared based on 2009-2010. The results show that the before declaring’s negative media coverage make a positive influence to the after declaring’s abnormal returns. And before declaring, the high negative media reports of the company’s abnormal returns significantly higher than the low negative media reports of the company. And later as investors over react caused by the price reversal, the company reported by high negative media’s abnormal returns will gradual decline after declared. Summary, before the treasury stock repurchase announcement, the negative media coverage affects the abnormal returns during the declaration, and has the forward reaction to declaring the company''s share price during the declaration.

目錄
中文摘要 I
ABSTRACT II
誌謝 III
目錄 IV
表目錄 V
圖目錄 VI
壹、 緒論 1
貳、 樣本資料的說明與研究方法 6
一、研究樣本與資料來源 6
二、衡量庫藏股宣告前負面媒體報導 6
三、異常報酬率檢定─事件研究法 7
四、迴歸分析 9
伍、控制變數 11
參、 實證結果 16
一、累積平均異常報酬差異檢定 16
二、迴歸分析 17
肆、 結論 20
參考文獻 22

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