臺灣博碩士論文加值系統

本研究藉由檢測短期宣告效果，探討公司宣告股票購回是否在謀求控制股東的個人利益，而非全體股東的利益。實證結果發現，當控制股東大量使用本身持股作為個人銀行借款的擔保之用，或者擁有較少的現金流量請求權時，市場投資人會將公司股票購回的行為解讀為控制股東在謀求個人利益，因此市場不會有任何宣告效果，符合個人利益假說(personal interest hypothesis)的預期。反之，如果控制股東沒有藉由個人股票質押取得銀行借款，或者擁有較多的現金流量請求權時，公司股票購回的宣告效果則顯著為正，符合過去文獻中訊息釋放假說(signaling hypothesis)。此外，當我們檢測公司長期營運績效與長期異常報酬時，亦得到相同的結果。

This paper differs from the existing literature as it takes into account the possibility that share repurchases are not used to serve for the general shareholders’ interests. When controlling shareholders heavily use their stockholdings as a pledge for personal loans or when their cash flow rights is low, investors do not respond to the announcement of repurchases. This evidence is in favor of a personal interest hypothesis. On the contrary, the market reacts favorably to buyback programs when there are no pledged stocks or when the cash flow rights is high. The evidence is consistent with the signaling hypothesis. Evidence based on operating performances and long-run abnormal return paints the same conclusion.

口試委員會審定書 i
誌謝 ii
中文摘要 iii
英文摘要 iv
1. Introduction 1
2. Regulatory Environment 7
3. Data and Sample Selection 8
3.1. Repurchase sample 8
3.2. Identification of controlling shareholder 9
3.3. Ownership structure data and other variables 10
4. Short-term Market Reaction 14
4.1. Univariate analysis 14
4.2. Cross-sectional regression 16
4.3. Restrict sample to high control right companies 20
4.4. Prior return and short-term market reaction 21
4.5. Alternative model specifications in stock pledge ratio 23
4.6. Relationship between the market reaction ad free cash flow 25
5. Long-run Performance 27
5.1. Operating performance 27
5.2. Long-run abnormal return 30
5.3. Cross-sectional regression 32
5.4. Prior return and subsequent long-run abnormal return 34
5.5. Alternative model specifications in stock pledge ratio 35
6. Summary and Conclusion 36
Reference 38
Appendix 42
A. Methodology of Examining Long-run Abnormal Return 42
B. Estimation of Fama-French Three-factor Returns in Taiwan Stock Market 44
C. Cross-sectional Regression of Long-run Abnormal Return 46
D. Calculation of Discretionary Accrual 48

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