臺灣博碩士論文加值系統

股票買回為一個不定期之宣告，投資人很難預測公司股票買回宣告的時機與規模，因此過去文獻認為股票買回宣告應該具有傳遞訊號給投資人的效果，其實證結果也顯示股票買回宣告日前後有顯著的異常報酬率。然而，一般文獻也呈現法人相對於散戶具有資訊優勢，尤其是外資交易往往與未來報酬率方向一致。因此，法人是否也因股票買回宣告而轉變其買賣行為為本研究感興趣著重點。若法人於宣告後改變買賣行為，表示股票買回宣告對於法人亦具有訊號效果。
本研究檢驗台灣2011年至2015年所有宣告股票買回之上市公司，報酬率與法人買賣超資料下載自台灣經濟新報。研究方法採事件研究法，並以事件日前45天至前6天為估計期間，事件日前後5天為事件期間，估算事件前後超額報酬率與法人異常買賣超。本研究發現重要結論有：1. 市場正面反應股票買回宣告，符合半強式效率市場假說。2. 外資交易對於宣告訊息判斷正確，轉買超較多者，宣告後異常報酬率高於其他股票。自營商也有類似結果，只是較外資不明顯。3. 投信對於宣告資訊判斷似乎有偏差，轉賣出較高的股票卻有較高的宣告後異常報酬率。
綜合上述結果發現，股票買回不僅對投資人而言具有顯著訊號效果，對三大法人也具效果，但外資相對於投信與自營商具資訊優勢，符合先前文獻證據，結論亦可供投資人投資參考。

Share repurchase announcements, unlike dividend announcements, are an irregular event. It is difficult for investors to predict the timing and the size of the announcements. Thus, a number of literature argues that the announcements conveys new information to investors who possess few information. The previous evidence from the literature also shows that share repurchase announcements arise positive returns around the announcement day. On the other hand, institutional investors, in comparison to retail Investors, are believed to have information advantage. This research, therefore, primarily focuses on the question that whether institutional investors change their trading behaviour around the announcement day. The change in trading behaviour indicates that share repurchase announcements convey valuable and new information to institutional investors.
This research examines all the share repurchase announced by the listed firms on the Taiwan Stock Exchange during the period of 2010 to 2015. The research method adopts the event study approach. The estimation period is 45 to 6 days prior the announcement day, and the event period is 5 days before to 5 days after the announcement day. Consistent with the suggestions of previous research, the evidence shows that the market responds positively to the announcements. Furthermore, foreign investors are found to possess information advantage in that they who increase net buying after repurchase announcements earn higher abnormal returns. Evidence for securities dealers is consistent with but a little weaker than that for foreign investors. Domestic mutual funds appear to respond the information inaccurately since evidence indicates that those increasing net selling or decreasing net buying earns higher returns. Investors are suggested to follow the trading strategies of foreign investors and securities dealers.

目 錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文架構 4
第四節 研究流程圖 5
第二章 文獻探討 6
第一節 台灣股票買回制度與相關法令 6
第二節 股價低估與訊號假說 8
第三節 自由現金流量假說 9
第四節 三大法人資訊優勢 10
第三章 研究方法及假設建立 11
第一節 假設建立 11
第二節 研究方法 13
第三節 資料來源與樣本選取 16
第四章 實證結果分析 17
第一節 敘述性統計 17
第二節 股票買回宣告前後之異常報酬率與累積異常報酬率 18
第三節 法人資訊優勢與報酬率 20
第五章 結論與建議 26
第一節 研究結論 26
第二節 研究限制與建議 27
參考文獻 28
附錄：研究樣本 31

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