臺灣博碩士論文加值系統

本研究以庫藏股法開始實施至2005年12月31日止實施庫藏股之上市（櫃）公司為基礎樣本，再進一步蒐集各公司在庫藏股宣告前發行公司債者深入分析，使庫藏股制度對公司價值的影響，能在結合債券下提供不同的看法。透過投資不足的問題，實證探討公司可能藉由股票購回以剝削債權人財富。實證結果發現在控制時間與產業效果後，相較於未舉債融資者，公司以舉債融資方式進行股票購回者市場會給予較低的市場反應。與訊號假說、自由現金流量假說相左，實證結果支持財富剝削假說，我們發現股票購回前發行公司債的公司後續伴隨資本支出與營運績效的降低，且控制股東會降低其持股。且此類型的公司未來其系統風險與現金準備率會明顯地提高。最後，實證發現庫藏股宣告效果與未來績效、自由現金流量、內部人士持股具有正向關係，並與系統風險及負債比率具有負向關係。

This paper empirically examines the underinvestment problem and the use of repurchase to expropriate lenders’ wealth. This paper find that, after controlling for timing and industry effects, the repurchasing firm with debt financing has a much smaller stock price response than those without debt financing. Contrary to the implications of many payout theories, the announcements of share repurchases with previous debt issues are followed by reductions in investments, in operating performance, and in insider holdings. Results also indicate that firms with debt financing experience a significant increase in systematic risk relative to those without. Finally, evidences indicate that the short-term market reactions are positively associated with future changes in profitability and free cash flows, and negatively associated with future changes in risk, insider net selling activities and debt ratios.

ABSTRACT II
ACKNOWLEDGMENTS III
TABLE OF CONTENTS V
LIST OF FIGURES VI
LIST OF TABLES VII
LIST OF TABLES VII

Chapter 1 Introduction 1
1.1. Motivation and Research Purpose 1
1.2. Thesis Structure 7
Chapter 2 Theoretical Framework 8
2.1. Implications of Information/Signaling Hypothesis 8
2.2. Implications of Free Cash Flow Hypothesis 10
2.3. Implications of Wealth Transfer Hypothesis 12
Chapter 3 Data and Methodology 17
3.1. Sample and Data Description 17
3.2. Methodology 27
Chapter 4 Discussion of Empirical Results 29
4.1. Abnormal Returns and the Announcement of Repurchase Programs after Debt Issues 29
4.2. Operating Performance of Repurchasing Firms Following Debt Issues 34
4.3. Changes in Capital Expenditures, Research and Development Expenses, and Cash Reserves 37
4.4. Risk Changes 42
4.5. Changes in Insider Trading 45
4.6. Change in Risk, Profitability, Insider Holding, and Stock Price Reactions 50
Chapter 5 Conclusions and Future Research 55
5.1. Conclusions and Implications 55
5.2. Limitations and Future Research 56
References 58

Bagwell, Laurie , 1991, Share repurchase and takeover deterrence, Rand Journal of Economics 22, 72-88.
Bagwell, Laurie Simon, and John Shoven, 1989, Cash distributions to shareholders, Journal of Economic Perspectives 3, 129-140.
Barber, Brad, and John Lyon, 1996, Detecting abnormal operating performance: The empirical power and specification of tests-statistics, Journal of Financial Economics 41, 359-399.
Berk, Jinathan B., Richard C. Green, and Vasant Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance 54, 1007-1034.
Bhattacharya, Sudipto, 1979, Imperfect information, dividend policy, and “the bird in the hand” fallacy, Bell Journal of Economics 10, 259-270.
Chung, Kee, and Charlie Charoenwong, 1991, Investment options, assets in place, and the risk of stocks, Financial Management 20, 21-33.
Claessens, Stijn, Simeon Djankov, and Larry Lang, 2000, The separation of ownership and control in East Asian corporations, Journal of Financial Economics 58, 81-112.
Comment, Robert, and Gregg Jarrell, 1991, The relative signaling power of Duch auction and fixed- price self-tender offers and open market share repurchases, Journal of Finance 46, 1243-1271.
Dittmar Amy K., 2000, Why do firms repurchase stock?, The Journal of Business 73, 331-355.
Easterbrook, Frank Hoover, 1984, Two agency-cost explanations of dividends, American Economic Review 74, 220-230.
Franks, Julian, and Colin Mayer,1990, Capital markets and corporate control: a study of France, Germany and the UK, Economic Policy 5, 189-231.
Grullon, Gustavo, and Roni Michaely, 2002, Dividends, share repurchases and the substitution hypothesis, Journal of Finance 57, 1649-1684.
Grullon, Gustavo, and Roni Michaely, 2004, The information content of share repurchase programs, Journal of Finance 59, 651-680.
Heinkel, Robert, 1982, A theory of capital structure relevance under imperfect information, Journal of Finance 37, 1141-1150.
Henderson, Andrew, and James Fredrickson, 1996, Information processing demands as a determinant of CEO compensation, Academy of Management Journal 39, 575-606.
Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 1995, Market underreaction to open market share repurchases, Journal of Financial Economics 39, 181-208.
Jensen, Michael, 1986, Agency costs of free cash flow, corporate finance, and takeovers, American Economic Review 76, 323-329.
La Porta, Rafael, Florencio Lopez-de-Silanes, and Andrei Shleifer, 1999, Corporate ownership around the world, Journal of Finance 54, 471-518.
Lang, Larry, Eli Ofek, and Rene Stulz, 1996, Leverage, investment and firm growth, Journal of Financial Economics 40, 3-29.
Lee, Scott, Wayne Mikkelson, and Megan Partch, 1992, Managers'' trading around stock repurchases, Journal of Finance 47, 1947-1961
Lehn, Kenneth, and Annette Poulsen, 1989, Contractual resolution of bondholder-stockholder conflicts in leveraged buyouts, Journal of Law and Economics 34, 645-673.
Lewellen, Wilbur, Claudio Loderer, and Kenneth Martin, 1987, Executive compensation and executive incentive problems, Journal of Accounting and Economics 9, 287-310.
Lie, Erik, 2001, Detecting abnormal operating performance: Revisited, Financial Management 30, 77-91.
Long, Michael, Ileen Malitz, and Stephan Sefcik , 1994, An empirical examination of dividend policy following debt issues, Journal of Financial and Quantitative Analysis 29, 131-144.
Maxwell, William, and Clifford Stephens, 2003, The wealth effects of repurchases on bondholders, Journal of Finance 58, 895-920.
Mayers, David, and Clifford Smith, 1987, Corporate insurance and the underinvestment problem, Journal of Risk and Insurance 54, 45-54.
Miller, Merton, and Franco Modigliani, 1961, Dividend policy, growth, and the valuation of shares, Journal of Business 34, 411-433.
Miller, Merton, and Kevin Rock, 1985, Dividend policy under asymmetric information, Journal of Finance 40, 1031-1051.
Myers, Stewart, 1977, Determinants of corporate borrowing, Journal of Financial Economics 5, 147-175.
Noe, TH, 1988, Capital structure and signaling game equilibria, Review of Financial Studies 1, 331-355.
Opler, Tim, and Sheridan Titman, 1996, The debt-equity choice: An analysis of issuing firms. Working paper, Tucson: University of Arizona.
Ross, Stephen, 1977, The determination of financial structure: The incentive signaling approach, Bell Journal of Economics 1, 23-40.
Rozeff, Michael S., 1982, Growth, beta and agency costs as determinants of dividend payout ratios, Journal of Financial Research 5, 249-259.
Sanders, Gerard, and Mason Carpenter, 2003, Strategic satisficing? A behavioral--agency theory perspective on stock repurchase program announcements, Academy of Management Journal 46, 160-178.
Smith, Clifford, and Ross Watts, 1992, The investment opportunity set and corporate financing, dividend and compensation policies, Journal of Financial Economics 32, 263-292.
Stephens, Clifford, and Michael Weisbach, 1998, Actual share reacquisition in open-market repurchase programs, Journal of Finance 53, 313-333.
Vermaelen, Theo, 1984, Repurchase tender offers, signaling and managerial incentives, Journal of Financial and Quantitative Analysis 19, 163-181.
Yeh, Yin-hua, Tsun-siou Lee, and Tracie Woidtke, 2001, Family control and corporate governance: Evidence from Taiwan, International Review of Finance 2, 21-48.