臺灣博碩士論文加值系統

中文摘要
本研究以事件研究法探討國內上市、上櫃公司宣告實施庫藏股後之股價變動情形，並探討股票的異常報酬與購回庫藏股之比例、董監事的持股比例、內部人持股變化、公司的益本比、公司產業別與公司的風險等之相關性。研究目的如下：
（1）探討一般企業在實施庫藏股宣告後，股價是否會有異常報酬。
（2）探討購回庫藏股的比例、內部關係人持股比例高低及其變化、公司的益本比、beta風險、與產業別，對實施庫藏股制度後所產生的異常報酬有何影響。
（3）探討不同模式對事件研究法的差異及其優劣。
本研究以民國89年8月7日通過庫藏股法令至民國89年12月31日間，第一次宣告實施庫藏股的公司為研究對象，利用市場模式、市場模式結合GARCH模式、三因子模式、與三因子結合GARCH模式四種模式進行探討，實證結果歸納如下：
（1）台灣股市宣告實施庫藏股的效應為顯著的正值。
（2）宣告效應與宣告的買回比例呈正相關、與公司風險呈負相關、與產業別有關，其餘因素對於宣告實施庫藏股的影響並不顯著。
（3）三因子結合GARCH模式在台灣股市具有一定程度的適用性。

Abstract
This paper uses the methodology of event-study to study the announcement effects of stock repurchases and to investigate the relationship between abnormal return and factors including the board holding, the change of insiders’ holding, the earnings to price ratio, the sector, and the firm’s individual risk. The purposes of this research are to examine：
（1） if there is abnormal return after the announcement of stock-repurchase,
（2） which factors would affect the magnitude of abnormal return after the announcement, and
（3） the differences of results between each event-study models.
Firms, which announced their stock-repurchase intentions between the period of 08-07-2000 and 12-31-2000, are included in research sample. All of the market model, the market model combined with GARCH(1,1), three-factor model, and the three-factor model combined with GARCH(1,1) are used to evaluate normal returns. The major results are follows:
（1） The stock-repurchase announcements could cease the decline of share prices.
（2） The announcement effect is positively related to the variable of the ratio of stock repurchases, negatively related to the variable of firm’s risk, and correlated to the variable of sector significantly.
（3） Three-factor model combined with GARCH(1,1) performs better than other models at Taiwan stock market.

目錄
頁次
中文摘要…………………………………………………………….….Ⅰ
英文摘要…………………………………………………………….….Ⅱ
謝 辭…………………………………………………………….….Ⅲ
目 錄…………………………………………………………….….Ⅳ
圖 次………………………………………………………………..Ⅵ
表 次………………………………………………………………..Ⅶ
第一章 緒論………………………………………………………...…...1
第一節、 研究背景與動機………………………………………….1
第二節、 研究目的………………………………………………….2
第二章 文獻探討………………………………………………………..5
第一節、 理論基礎……………………………………………….…5
第二節、 購回庫藏股相關文獻探討……………………………….7
第三章 研究方法………………………………………………………23
第一節、 研究假說………………………………………………...23
第二節、 關鍵名詞及研究變數定義……………………………...25
第三節、 研究方法………………………………………………...28
第四節、 研究範圍………………………………………………...36
第四章 實證結果………………………………………………………39
第一節、 事件日前後股價異常報酬情形………………………...39
第二節、 分群檢定…………………………………………..…….40
第三節、 迴歸模型實證結果………………………………….…..42
第四節、 四種模式的比較………………………………….….….42
第五章 結論與建議…………………………………………...…….…58
參考文獻………………………………………………………...……...60
附 錄…………………………………………………………...…...63
圖次
圖3-1 事件研究法日期界定圖……………………………………28
圖4-1 事件日前後20天的異常報酬與累積異常報酬……….…..49
PANEL－A 市場模式..…………….……………………………49
PANEL－B 市場模式結合GARCH（1,1）………………...……49
PANEL－C 三因子模式……………...…………………………50
PANEL－D 三因子模式結合GARCH（1,1）…………………...50
表次
表3-1 以SBC準則決定最適模式…………………………………38
表3-1 樣本公司實施庫藏股情形分布狀況………………………38
表4-1 事件日前後20天的異常報酬與累積異常報酬……..…….47
PANEL－A 市場模式與市場模式結合GARCH（1,1）…….….47
PANEL－B 三因子模式與三因子模式結合GARCH（1,1）…...48
表4-2 分組檢定的結果……………………………………………51
表4-3 迴歸分析的結果……………………………………………52
PANEL－A 市場模式累積異常報酬之迴歸結果…...…………52
PANEL－B 市場模式結合GARCH（1,1）累積異常報酬
之迴歸結果…………………….…………………..53
PANEL－C 三因子模式累積異常報酬
之迴歸結果………………………...………………54
PANEL－D 三因子模式結合GARCH（1,1）累積異常報酬
之迴歸結果…………….…………………..………55
表4-4 不同產業迴歸的結果………………………………………56
表4-5 事件研究法迴歸模式的比較………………………………57

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