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研究生:張立群
研究生(外文):LI-CHUN CHANG
論文名稱:股票購回之績效表現的實證研究-根據公司不同購回目的
論文名稱(外文):Stock Performance of Share Repurchase Based on Different Purpose
指導教授:周德瑋周德瑋引用關係
指導教授(外文):De-Wai Chou
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:英文
中文關鍵詞:股票購回
外文關鍵詞:stock repurchase
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此篇文章研究在不同股票購回目的下,長期的股票表現有何不同。樣本為1992年到2003年間在美國NYSE、AMEX與NASDAQ交易之公司,我們將樣本分為自稱股價被低估而宣告股票買回與一般目的買回。首先我們使用CAR、BHAR、Fama-French三因子與四因子模型分別計算出各自的異常報酬。我們發現不管樣本是否自稱股價被低估而宣告買回之長期異常報酬皆顯著為正,其結果與Ikenberry, Lakonishok and Vermaelen (1995)一致。
接下來,我們使用Wilcoxon Two-Sample Test探討不同購回目的之間股票績效差異。結果顯示強調股價被低估而宣告股票購回的公司其長期績效表現比一般目的購回的公司表現為差。此現象可以藉由De-Wai Chou, J. R. Philip Lin (2003) 所提出的論點解釋,即以公開市場進行股票購回的公司通常會傳遞錯誤訊息給投資大眾,特別是強調股價被低估的公司。
We examine the long-term performance of share repurchase based on different purposes, relatively, with a self-styled reason of undervaluation and general corporate purpose. At first, we calculate the abnormal returns by using CAR, BHAR, the Fama-French three-factor model and four-factor model. Both samples with a self-styled reason of undervaluation and with a self-styled reason of general corporate purpose have positive significantly abnormal returns in long-term following announcements of share repurchase. Our result is consistent with Ikenberry, Lakonishok and Vermaelen (1995).
Moreover, we use the Wilcoxon Two-Sample Test to detect what the differences in buy-and-hold abnormal returns. We find that firms emphasize the reason of share repurchase is due to undervalued the long term stock performance after announcements of share repurchase is worse then others. This phenomenon could be explained by false signals posed by De-Wai Chou, J. R. Philip Lin (2003). They posed that open-market share repurchase programs have been used to send a false signal to the marketplace, by emphasizing an undervalued equity. On the other hand, firms emphasize the reason of share repurchase is due to undervalued were not really undervalued. Therefore, their long-term performance is worse then firms’ with a self-styled reason of general corporate purpose.
Contents
I. Introduction 1
II. Review of Literature 3
III. Data and Methodology 5
A. The sample 6
B. Methodology 7
C. Measuring Abnormal Post-Offering Returns……………………………….8
IV. Empirical Result 12
A. CAR approach 12
B. BHAR approach 13
C. The Fama-French three-factor model 14
D. The Fama-French four-factor model 15
V. Conclusion 15
References 17

Tables
Table 1 19
Table 2 20
Table 3 21
Table 4 24
Table 5 25
Table 6 28
Table 7 29
Table 8 32
References
Asquith, Paul and Daniel Mullins, 1986, Signaling with dividends, stock repurchases and equity issues, Financial Management 15, 27-44.
Barber, Brad M. and John D. Lyon, 1996, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372.
Comment, Robert and Gregg A. Jarrell, 1991, The Relative Signaling Power of Dutch-Auction And Fixed-Price Self-Tender Offers And Open-Market Share Repurchase, Journal of Finance 46, 1243-1272.
Chou, De-Wai, Michael Gombola and Feng-Ying Liu, 2005, Earnings Management and the Long-Run Underperformance of Private Placements of Equity, Journal of Financial and Quantitative Analysis (forthcoming).
Chou, De-Wai, Michael Gombola, and Feng-Ying Liu, 2005, Earnings Management and Stock Performance of Reverse Leveraged Buyouts, Journal of Financial and Quantitative Analysis.
Chou, De-Wai, J. R. Philip Lin, 2003, False Signals from Stock Repurchase Announcements: Evidence from Earnings Management and Analysts’ Forecast Revisions, working paper.
Dittmar, Amy k., 2000, Why Do Firms Repurchase Stock, The Journal of Business 73, 331-355.
Fama, Eugene F. and Kenneth R. French. 1996. Multifactor Explanation Of Asset
Pricing Anomalies. Journal of Finance 51, 55-84.
Fama, Eugene F. and Kenneth R. French. 1993. Common Risk Factors In The Returns
On Stocks And Bonds. Journal of Financial Economics 33, 3-56.
Ikenberry, David, Josef Lakonishok and Theo Vermaelen., 1995, Market Underreaction To Open Market Share Repurchases. Journal of Financial Economics 39 (October, November): 181-208.
Ikenberry, David, Josef Lakonishok and Theo Vermaelen., 2000, Stock Repurchase in Canada: Performance and Strategic Trading, Journal of Finance 55, 2373-2397.
Liu, Chao-Shin and David A. Ziebart, 1997, Stock Returns and Open-Market Stock Repurchase Announcements, The Financial Review 32, 709-728.
Lee, Scott D., Wayne H. Mikkelson, and M. Megan Partch, 1992, Managers’ Trading Around Stock Repurchases, Journal of Finance 47, 1947-1961.
Stephens, Clifford P. and Michael Weisbach, 1998, Actual Share Reacquisitions in Open-Market Repurchase Programs, The Journal of Finance 53, 313-333.
Teoh, S.H., Welch, I., and Wong, T. J., 1998, Earnings Management and the Long-Run Market Performance of Initial Public Offerings, Journal of Finance 54, 1936-1974.
Vermaelen, Theo. 1981. Common Stock Repurchases And Market Signaling: An
Empirical Study. Journal of Financial Economics 9, 138-183.
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